INTC Options History — April 2016

In April 2016, INTC traded between $30.25 and $32.39. ATM implied volatility averaged 23.7%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.9% (HV 20d: 15.8%). Max pain ranged from $31.00 to $31.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-04-19: Highest Volume — 275,439 contracts
  • 2016-04-20: Largest IV drop — 33.9% change
  • 2016-04-07: Highest IV Rank — 59.3%
  • 2016-04-19: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.66$30.25$32.39$32.39$30.25
Max Pain$31.12$31.00$31.50$31.00$31.00
ATM IV23.7%17.2%28.8%25.0%22.5%
Expected Move6.4%4.9%7.4%5.1%6.6%
HV 20d15.8%14.0%18.4%15.3%18.4%
HV 60d23.0%19.1%29.2%29.2%19.6%
IV Rank33.6%0.9%59.3%40.1%27.5%
IV Percentile44.7%0.4%77.8%59.1%32.1%
Term Structure-1.1%-2.7%0.4%-0.7%-0.4%
VWIV23.0%18.1%27.6%18.6%23.6%
Skew 25d5.1%3.6%6.1%4.7%5.1%
Skew 10d10.0%6.3%13.8%10.8%8.7%
Call IV 25d21.4%15.6%26.1%23.4%20.6%
Put IV 25d26.5%19.6%32.1%28.1%25.6%
Bid-Ask Spread %11.846.7324.6917.0017.72
Gamma HHI0.130.090.180.180.09
Net GEX19.9M-12.8M44.6M44.6M-133.7K
Net DEX-255.1M-635.1M290.5M-635.1M290.5M
Net VEX-7.1M-7.4M-6.7M-7.4M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.483.171.701.56
Total Volume87,983.47637,137275,43969,264147,381
Total OI1,491,010.6191,274,2151,630,2471,506,5661,412,982

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$32.39$31.0025.0%5.1%15.3%40.1%18.6%4.7%-0.7%44.6M-635.1M-7.4M1.7017.0025,68843,576877,960628,606
2016-04-04$31.94$31.0026.7%6.9%16.4%48.4%24.9%5.2%-1.2%35.7M-428.6M-7.2M2.5610.0719,32749,540873,720622,133
2016-04-05$31.90$31.0027.3%7.1%16.4%51.3%24.2%5.5%-1.4%33.7M-410.0M-7.3M1.526.7328,54743,283880,685641,286
2016-04-06$32.10$31.0026.8%6.9%15.8%49.0%25.6%5.4%-1.2%37.4M-479.7M-7.4M2.4512.2013,58433,336890,472659,467
2016-04-07$31.51$31.0028.8%7.2%17.2%59.3%26.0%6.0%-1.9%24.0M-221.1M-7.2M3.178.6430,38796,207894,914667,018
2016-04-08$31.58$31.0028.3%7.1%16.7%56.7%26.6%5.9%-2.1%24.6M-254.6M-7.1M2.008.4017,58435,188903,907677,504
2016-04-11$31.73$31.0027.6%7.2%15.7%53.1%26.4%6.0%-2.1%26.9M-313.3M-7.0M0.547.9758,86431,876900,968660,134
2016-04-12$31.84$31.0027.3%7.3%15.6%51.6%27.6%6.1%-1.6%25.4M-343.5M-7.1M1.559.8814,54622,591915,693674,179
2016-04-13$32.13$31.0026.1%7.0%15.9%45.5%25.0%6.1%-1.8%33.6M-470.2M-7.2M0.488.8627,90713,454918,538685,632
2016-04-14$31.80$31.0025.8%7.0%16.4%43.8%24.9%5.9%-2.0%17.0M-302.5M-7.0M1.027.4029,15429,805916,480689,182
2016-04-15$31.51$31.0026.2%7.1%16.2%46.0%25.7%5.8%-2.7%-12.8M-185.8M-6.9M1.0610.7546,82349,503929,519700,728
2016-04-18$31.64$31.0024.9%7.0%14.5%39.5%24.5%5.4%-1.2%12.0M-174.1M-6.8M0.899.8940,39435,803704,173570,042
2016-04-19$31.49$31.0026.0%7.4%14.0%45.0%26.5%5.4%-1.7%11.7M-150.5M-6.9M1.8514.9196,679178,760731,672589,952
2016-04-20$32.03$31.0017.2%4.9%15.4%0.9%18.1%4.0%-0.0%24.4M-368.2M-7.1M1.0717.8590,71197,322792,271696,710
2016-04-21$31.98$31.5017.8%5.1%15.1%3.8%18.4%4.3%0.1%14.0M-318.7M-7.2M0.6510.3451,20833,258809,192708,767
2016-04-22$31.60$31.5018.9%5.4%15.6%9.3%19.4%4.3%0.4%6.7M-147.3M-7.1M1.2310.6540,91150,316815,156716,460
2016-04-25$31.33$31.5018.9%5.5%15.8%9.6%19.8%4.3%-0.3%13.6M-87.2M-7.0M0.937.7431,40029,132777,697592,623
2016-04-26$31.37$31.5019.1%5.5%14.7%10.6%20.1%4.0%-0.2%14.2M-95.1M-7.0M0.8010.4020,78416,699784,702608,521
2016-04-27$31.75$31.5017.9%5.2%14.8%4.5%18.2%3.6%-0.1%25.3M-256.5M-7.2M1.4524.6923,90934,622788,579610,259
2016-04-28$31.08$31.0019.0%5.5%16.1%10.2%19.6%4.2%-0.2%6.6M-5.2M-6.9M1.1616.5831,27636,318791,063601,677
2016-04-29$30.25$31.0022.5%6.6%18.4%27.5%23.6%5.1%-0.4%-133.7K290.5M-6.7M1.5617.7257,50689,875799,079613,903