INTC Options History — March 2016

In March 2016, INTC traded between $30.28 and $32.73. ATM implied volatility averaged 23.8%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.8% (HV 20d: 18.9%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2016-03-18: Highest Volume — 158,971 contracts
  • 2016-03-21: Largest IV spike — 15.5% change
  • 2016-03-24: Highest IV Rank — 41.2%
  • 2016-03-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.57$30.28$32.73$30.28$32.38
Max Pain$30.36$30.00$31.00$30.00$31.00
ATM IV23.8%20.6%25.2%22.1%25.0%
Expected Move6.2%5.2%7.0%6.5%5.2%
HV 20d18.9%14.5%27.4%27.4%15.3%
HV 60d29.7%29.2%30.6%30.6%29.2%
IV Rank33.9%17.8%41.2%25.3%40.0%
IV Percentile46.3%15.9%60.7%29.8%58.3%
Term Structure0.8%-1.4%5.1%0.2%-0.4%
VWIV22.9%18.5%28.0%23.8%18.5%
Skew 25d5.1%4.1%6.1%4.6%4.8%
Skew 10d11.3%7.0%13.9%8.8%11.1%
Call IV 25d21.7%17.9%23.3%20.7%23.3%
Put IV 25d26.8%22.4%28.5%25.2%28.1%
Bid-Ask Spread %12.226.5924.2612.019.48
Gamma HHI0.130.080.190.120.19
Net GEX22.8M5.5M47.1M23.7M41.3M
Net DEX-490.0M-1.03B-177.1M-177.1M-632.7M
Net VEX-7.2M-7.5M-6.7M-6.7M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.705.991.691.92
Total Volume74,326.18237,503158,97161,65370,137
Total OI1,483,740.8181,336,9121,723,2621,336,9121,486,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$30.28$30.0022.1%6.5%27.4%25.3%23.8%4.6%0.2%23.7M-177.1M-6.7M1.6912.0122,94438,709808,385528,527
2016-03-02$30.52$30.0022.4%6.7%24.5%27.0%23.6%5.5%-0.0%25.8M-276.4M-6.9M1.6713.1718,34430,608820,696540,425
2016-03-03$30.64$30.0022.8%6.2%23.8%29.1%23.3%4.9%0.2%27.9M-327.2M-6.9M1.4513.7726,65438,589829,031556,068
2016-03-04$30.67$30.0022.8%6.5%23.4%29.2%23.0%5.1%0.2%20.9M-312.1M-7.0M1.5823.1431,18449,273841,564573,635
2016-03-07$30.87$30.0022.9%6.6%20.8%29.8%25.8%5.6%-0.1%17.9M-335.0M-7.0M2.579.4020,98753,996839,499581,019
2016-03-08$30.53$30.0024.9%6.8%21.2%39.4%25.3%5.0%-1.0%9.3M-181.2M-7.1M3.5811.6819,16168,587844,467611,453
2016-03-09$30.81$30.0023.9%6.8%21.3%34.4%24.9%5.6%0.2%5.5M-269.0M-7.2M1.898.9513,59125,674850,014643,046
2016-03-10$31.18$30.0024.4%7.0%19.4%37.2%24.6%5.4%0.2%12.4M-427.5M-7.1M2.0113.2122,07744,425853,374648,186
2016-03-11$31.72$30.0023.3%6.4%19.8%31.4%24.9%5.4%-1.4%20.5M-618.6M-7.2M1.907.7242,84281,542859,314662,108
2016-03-14$31.58$30.0023.7%6.7%20.0%33.3%28.0%6.1%5.1%11.3M-553.1M-7.2M2.957.0812,39536,604864,346678,233
2016-03-15$31.60$30.0024.3%6.9%20.0%36.5%27.4%5.9%4.4%9.3M-544.0M-7.2M5.9915.7817,204103,126869,549691,762
2016-03-16$31.68$30.0023.7%6.8%18.3%33.5%28.0%5.6%4.5%6.5M-563.5M-7.2M4.2024.2620,58686,532874,302725,125
2016-03-17$32.02$30.0023.5%6.5%18.4%32.3%23.1%6.0%3.9%6.6M-665.3M-7.2M0.9610.3939,71038,252882,471771,732
2016-03-18$32.64$30.0020.6%5.4%16.4%17.8%20.6%4.5%4.4%30.4M-1.03B-7.1M1.0214.0778,83180,140923,246800,016
2016-03-21$32.23$31.0023.7%5.9%16.9%33.7%20.7%4.1%-0.3%29.5M-562.0M-7.3M1.7815.0422,82140,734802,896611,713
2016-03-22$32.31$31.0023.5%5.5%14.5%32.7%20.7%4.8%-0.5%29.7M-586.6M-7.3M1.0010.1624,81124,788813,415628,767
2016-03-23$32.03$31.0025.2%5.7%15.2%41.1%20.7%4.2%-0.6%24.0M-485.5M-7.4M0.979.8235,94934,787826,330637,508
2016-03-24$31.86$31.0025.2%5.5%15.2%41.2%19.7%5.0%-0.6%30.2M-413.3M-7.5M1.786.5919,62034,963847,664648,325
2016-03-28$31.89$31.0025.0%5.5%15.1%40.0%19.1%5.0%0.5%31.4M-435.4M-7.4M0.7010.8138,66827,051841,398601,081
2016-03-29$32.37$31.0025.1%5.3%15.4%40.6%19.3%4.9%-0.3%39.9M-611.7M-7.4M0.9611.8819,17918,324849,802606,765
2016-03-30$32.73$31.0025.2%5.4%14.5%41.2%18.6%4.7%-0.3%47.1M-774.8M-7.4M1.5310.5024,05236,725859,163609,092
2016-03-31$32.38$31.0025.0%5.2%15.3%40.0%18.5%4.8%-0.4%41.3M-632.7M-7.3M1.929.4824,03246,105863,255623,531