INTC Options History — December 2015

In December 2015, INTC traded between $33.98 and $35.43. ATM implied volatility averaged 23.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.5% (HV 20d: 21.9%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2015-12-18: Highest Volume — 110,795 contracts
  • 2015-12-11: Largest IV spike — 20.6% change
  • 2015-12-14: Highest IV Rank — 56.4%
  • 2015-12-14: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.78$33.98$35.43$35.09$34.58
Max Pain$32.09$32.00$33.00$33.00$32.00
ATM IV23.4%18.6%28.3%18.7%25.0%
Expected Move7.3%5.6%8.5%5.6%8.2%
HV 20d21.9%20.6%23.7%20.6%22.6%
HV 60d21.8%20.4%22.7%21.8%20.4%
IV Rank31.8%8.2%56.4%8.3%39.9%
IV Percentile45.7%5.2%76.2%5.2%62.3%
Term Structure0.6%-1.7%4.4%0.5%0.2%
VWIV26.5%19.8%32.9%19.8%30.9%
Skew 25d4.4%2.8%6.2%2.9%4.9%
Skew 10d9.9%6.1%14.8%6.7%10.2%
Call IV 25d21.6%17.5%26.8%17.5%22.8%
Put IV 25d26.0%20.5%32.3%20.5%27.7%
Bid-Ask Spread %8.115.9513.788.406.82
Gamma HHI0.160.120.220.150.15
Net GEX44.3M26.0M62.8M47.5M33.9M
Net DEX-1.17B-1.45B-851.0M-1.32B-999.4M
Net VEX-7.5M-8.0M-7.1M-7.5M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.311.430.831.06
Total Volume60,039.45532,676110,79551,03067,278
Total OI1,838,336.2731,742,6681,922,9981,796,4551,819,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$35.09$33.0018.7%5.6%20.6%8.3%19.8%2.9%0.5%47.5M-1.32B-7.5M0.838.4027,94823,082935,920860,535
2015-12-02$34.85$33.0018.6%5.7%20.6%8.2%20.5%2.8%0.4%46.7M-1.22B-7.6M0.8410.0532,59927,240950,478866,982
2015-12-03$34.05$32.0020.4%7.1%22.1%17.2%24.8%3.4%0.3%37.4M-899.4M-7.7M0.438.1951,64922,085963,049870,652
2015-12-04$34.90$32.0018.7%6.6%23.7%8.4%23.9%3.2%0.6%57.0M-1.30B-7.4M0.529.4149,52825,521987,869874,094
2015-12-07$34.99$32.0019.3%6.7%23.6%11.3%24.2%3.2%4.2%52.7M-1.29B-7.5M0.726.3123,36816,914976,365870,893
2015-12-08$34.84$32.0019.7%6.9%23.0%13.6%25.1%3.4%4.2%51.0M-1.23B-7.5M0.806.2623,10418,439988,621878,628
2015-12-09$34.80$32.0020.5%7.0%22.8%17.5%25.1%3.6%4.0%49.2M-1.20B-7.5M0.468.3542,60719,477990,813880,284
2015-12-10$34.71$32.0021.6%7.1%22.8%22.9%26.2%3.9%4.0%48.1M-1.18B-7.4M0.676.4036,47524,611993,165884,512
2015-12-11$34.21$32.0026.0%8.3%21.3%45.2%30.8%4.7%4.4%33.4M-957.1M-7.8M1.045.9550,72052,9151,003,328892,478
2015-12-14$34.40$32.0028.3%8.5%20.9%56.4%32.9%5.5%-1.7%33.4M-1.01B-8.0M1.438.6324,78835,504998,650893,404
2015-12-15$35.23$32.0027.5%8.0%22.0%52.5%29.2%5.5%-1.6%49.0M-1.31B-7.9M0.626.7235,60522,0291,002,532905,913
2015-12-16$35.32$32.0026.3%7.5%21.5%46.4%26.9%5.0%-1.7%62.8M-1.45B-7.5M1.1713.7822,99426,8221,008,019906,145
2015-12-17$35.04$32.0025.9%7.5%21.4%44.4%28.3%5.2%-0.9%59.6M-1.33B-7.5M1.088.0525,15127,1781,008,258904,486
2015-12-18$33.98$32.0026.8%7.8%20.9%49.1%29.3%6.2%-1.7%26.9M-851.0M-7.6M1.368.5847,04363,7521,012,132910,866
2015-12-21$34.19$32.0025.9%7.7%20.9%44.5%27.0%4.9%-0.6%26.0M-856.9M-7.4M0.917.6823,67121,443915,861826,807
2015-12-22$34.66$32.0025.2%7.4%21.4%41.0%25.6%4.9%-0.5%35.1M-1.06B-7.3M0.317.2446,30214,439923,998827,856
2015-12-23$34.98$32.0023.5%7.0%21.6%32.7%25.0%4.6%-0.6%42.5M-1.21B-7.3M0.836.4430,45925,134948,951829,237
2015-12-24$34.98$32.0023.5%7.1%21.6%32.4%25.1%4.8%-0.1%44.3M-1.23B-7.3M1.046.7016,04916,627963,335836,852
2015-12-28$34.90$32.0024.4%7.6%21.6%36.8%27.2%4.8%0.3%43.0M-1.16B-7.1M0.9712.0917,00616,559950,983811,386
2015-12-29$35.43$32.0023.9%7.8%22.0%34.4%27.4%5.0%0.4%51.2M-1.36B-7.1M0.707.6539,84327,856958,672816,201
2015-12-30$35.01$32.0024.3%8.0%22.3%36.4%28.6%4.8%0.1%44.3M-1.21B-7.1M0.538.6638,69920,355967,094827,665
2015-12-31$34.58$32.0025.0%8.2%22.6%39.9%30.9%4.9%0.2%33.9M-999.4M-7.2M1.066.8232,58534,693989,857829,572