INTC Options History — January 2016

In January 2016, INTC traded between $29.59 and $33.85. ATM implied volatility averaged 28.5%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.8% (HV 20d: 32.3%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-01-15: Highest Volume — 239,156 contracts
  • 2016-01-19: Largest IV drop — 11.0% change
  • 2016-01-08: Highest IV Rank — 80.2%
  • 2016-01-08: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.16$29.59$33.85$33.85$30.31
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV28.5%23.0%33.0%28.6%23.0%
Expected Move7.8%6.4%8.9%7.5%6.4%
HV 20d32.3%20.3%40.7%22.3%39.1%
HV 60d25.6%20.7%29.6%20.8%28.7%
IV Rank57.5%29.8%80.2%58.3%29.8%
IV Percentile77.5%45.6%97.2%78.2%45.6%
Term Structure-0.9%-2.5%0.3%-1.0%0.3%
VWIV27.2%23.1%30.1%25.4%23.4%
Skew 25d6.5%5.1%7.7%6.4%5.1%
Skew 10d13.3%9.4%16.6%15.2%11.3%
Call IV 25d25.8%21.1%30.2%25.5%21.1%
Put IV 25d32.2%26.2%37.3%31.9%26.2%
Bid-Ask Spread %10.507.1017.659.958.09
Gamma HHI0.090.070.150.150.09
Net GEX8.0M-3.5M27.3M25.4M11.9M
Net DEX-60.7M-731.3M651.5M-730.2M48.9M
Net VEX-6.2M-7.1M-5.4M-7.1M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.321.880.511.42
Total Volume76,625.31624,565239,15659,83424,565
Total OI1,489,629.0531,004,5261,953,5881,797,4821,140,570

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$33.85$32.0028.6%7.5%22.3%58.3%25.4%6.4%-1.0%25.4M-730.2M-7.1M0.519.9539,51220,322977,046820,436
2016-01-05$33.80$32.0027.8%7.3%20.3%54.2%27.1%5.8%-1.5%27.3M-731.3M-7.0M0.917.1020,20218,451985,273822,341
2016-01-06$33.02$32.0030.1%7.9%21.6%65.7%26.9%6.3%-1.7%13.9M-435.7M-6.8M0.7710.3529,23622,434992,382830,724
2016-01-07$32.01$32.0032.3%8.4%23.8%76.6%28.3%6.6%-1.5%1.2M-110.8M-6.6M1.1811.2737,24743,826994,161834,848
2016-01-08$31.48$32.0033.0%8.9%24.2%80.2%29.4%7.1%-1.7%-3.5M54.3M-6.3M1.1610.5938,24144,3331,001,320839,939
2016-01-11$32.10$32.0031.0%8.3%25.7%70.3%28.4%6.4%-1.6%4.3M-179.1M-6.3M1.358.6929,80340,215985,319837,744
2016-01-12$32.73$32.0030.2%7.9%26.7%66.2%27.9%6.4%-2.5%13.0M-400.8M-6.5M0.509.7976,23338,021994,894841,661
2016-01-13$31.97$32.0032.4%8.8%27.5%76.9%30.0%7.0%-1.4%7.4M-162.5M-6.5M1.0011.8841,88641,9891,038,035852,361
2016-01-14$32.65$32.0030.9%8.3%27.2%69.4%28.7%7.0%-2.3%15.3M-395.2M-6.7M0.6111.0994,89457,5751,045,458863,457
2016-01-15$29.86$32.0030.9%8.6%40.6%69.8%30.1%7.4%-1.5%2.0M651.5M-5.5M1.2113.22107,985131,1711,077,423876,165
2016-01-19$29.85$32.0027.5%7.9%40.7%52.8%27.9%6.9%-0.7%1.1M172.4M-5.4M0.649.9745,58129,283630,401374,125
2016-01-20$29.59$32.0029.7%8.5%39.8%63.4%28.8%7.7%-0.5%2.3M186.6M-5.6M0.959.0446,43344,207654,354385,623
2016-01-21$29.74$32.0027.9%8.0%39.7%54.4%28.6%6.8%-0.2%4.1M163.8M-5.7M0.509.6944,09121,855674,196392,161
2016-01-22$29.85$32.0024.9%7.1%39.2%39.3%25.4%6.2%-0.1%4.3M145.1M-5.7M0.7712.1526,16420,243698,165402,283
2016-01-25$29.61$32.0026.5%7.7%38.7%47.5%26.6%6.8%-0.2%4.2M162.7M-5.6M0.848.5426,56522,319684,463397,988
2016-01-26$29.85$32.0025.5%7.3%39.0%42.6%26.8%5.8%-0.1%5.8M132.2M-5.9M1.888.6514,16326,639696,314412,118
2016-01-27$29.76$32.0024.9%7.2%39.0%39.6%23.1%5.7%0.1%5.4M157.6M-5.8M0.3217.6544,24214,082699,935417,394
2016-01-28$29.97$32.0024.2%6.9%38.5%36.0%24.8%5.5%0.2%7.1M116.4M-5.9M1.3811.7113,38818,485710,181421,694
2016-01-29$30.31$32.0023.0%6.4%39.1%29.8%23.4%5.1%0.3%11.9M48.9M-6.1M1.428.0910,15214,413714,168426,402