INTC Options History — February 2016

In February 2016, INTC traded between $28.22 and $30.84. ATM implied volatility averaged 27.1%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 5.7% (HV 20d: 32.8%). Max pain ranged from $30.00 to $31.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-02-19: Highest Volume — 134,825 contracts
  • 2016-02-02: Largest IV spike — 12.8% change
  • 2016-02-10: Highest IV Rank — 77.5%
  • 2016-02-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.21$28.22$30.84$30.84$29.69
Max Pain$30.52$30.00$31.50$31.50$30.00
ATM IV27.1%22.7%32.5%22.7%24.3%
Expected Move7.8%6.4%9.2%6.4%7.3%
HV 20d32.8%22.0%41.2%40.0%27.2%
HV 60d30.0%28.9%30.4%28.9%30.3%
IV Rank50.6%28.3%77.5%28.3%36.7%
IV Percentile67.5%41.7%95.6%41.7%50.0%
Term Structure-0.3%-1.4%1.0%0.3%0.2%
VWIV27.0%24.0%31.7%24.4%25.4%
Skew 25d5.9%4.7%7.3%5.2%4.7%
Skew 10d12.8%9.7%16.5%11.0%9.7%
Call IV 25d24.7%20.9%28.8%20.9%22.0%
Put IV 25d30.6%26.1%36.0%26.1%26.7%
Bid-Ask Spread %10.527.4023.9511.659.06
Gamma HHI0.090.080.110.090.11
Net GEX6.1M-4.6M18.0M11.8M16.2M
Net DEX168.3M-54.6M349.2M-49.1M-1.3M
Net VEX-6.1M-6.7M-5.6M-6.3M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.562.580.701.59
Total Volume65,124.937,548134,82558,52537,548
Total OI1,256,030.951,141,7141,350,7851,141,7141,328,877

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$30.84$31.5022.7%6.4%40.0%28.3%24.4%5.2%0.3%11.8M-49.1M-6.3M0.7011.6534,39424,131713,787427,927
2016-02-02$29.79$31.5025.5%7.3%40.9%42.7%25.7%4.8%-0.1%5.1M157.4M-5.9M0.9410.0026,24224,750733,960435,233
2016-02-03$29.35$31.5027.0%7.8%41.0%49.8%25.6%5.4%-0.4%4.4M200.9M-5.9M0.5614.0852,36729,337742,093442,940
2016-02-04$29.75$31.0026.6%7.4%41.2%48.1%25.8%5.4%-0.1%6.4M114.4M-6.2M0.798.2034,83627,357753,983453,224
2016-02-05$28.95$31.0028.8%8.2%40.9%59.2%29.5%6.3%-0.1%-701.4K257.9M-5.9M1.5410.7320,54931,581765,175462,290
2016-02-08$28.83$31.0030.8%8.9%40.6%68.8%31.3%7.1%0.3%2.2M230.6M-6.0M1.089.3624,40426,385752,141452,886
2016-02-09$28.84$31.0030.8%8.7%39.7%68.9%31.4%6.9%-0.3%2.1M232.7M-6.0M1.429.8820,53229,177762,124463,851
2016-02-10$28.22$31.0032.5%9.0%39.0%77.5%30.4%7.3%-1.2%-694.2K338.7M-5.6M2.5810.5116,37642,248770,065471,136
2016-02-11$28.29$31.0031.4%9.2%38.6%72.2%31.7%7.2%1.0%-4.6M349.2M-5.7M1.079.1924,41926,242774,888487,698
2016-02-12$28.64$30.0029.3%8.2%37.9%61.4%26.8%6.5%-1.3%1.1M286.4M-5.8M0.608.2449,10329,580780,213488,799
2016-02-16$28.70$30.0028.0%8.0%22.0%55.1%27.9%6.4%1.0%698.3K276.7M-5.7M1.138.9926,17029,515774,769477,900
2016-02-17$29.46$30.0027.7%8.0%24.2%53.7%27.5%6.3%-1.4%7.1M102.4M-6.1M0.849.5146,09238,680787,608483,224
2016-02-18$29.42$30.0026.8%7.7%24.0%49.1%26.6%6.1%-0.9%4.0M111.3M-6.1M2.289.0721,22048,452804,127492,304
2016-02-19$28.79$30.0025.7%7.4%25.0%43.5%24.4%5.5%0.2%4.1M272.1M-5.7M0.909.3971,04363,782813,221498,973
2016-02-22$29.35$30.0024.6%7.1%26.1%38.3%24.0%5.4%-0.5%9.1M115.6M-6.2M0.6511.1648,26031,544751,181493,813
2016-02-23$28.80$30.0025.0%7.4%26.7%40.1%25.2%5.4%-0.4%9.1M237.3M-6.1M1.1912.2933,44539,964782,125501,457
2016-02-24$29.13$30.0026.0%7.7%26.9%45.1%26.7%5.7%-0.7%10.1M148.0M-6.4M1.4623.9527,68840,292794,352513,765
2016-02-25$29.53$30.0024.8%7.2%27.4%39.2%25.3%5.4%-0.3%18.0M39.4M-6.7M2.287.7315,38135,028808,040529,685
2016-02-26$29.81$30.0023.7%6.8%27.5%33.5%24.3%5.4%-0.3%17.4M-54.6M-6.7M1.067.4026,43527,949812,487538,298
2016-02-29$29.69$30.0024.3%7.3%27.2%36.7%25.4%4.7%0.2%16.2M-1.3M-6.6M1.599.0614,51123,037806,748522,129