INTC Options History — May 2016

In May 2016, INTC traded between $29.66 and $31.58. ATM implied volatility averaged 20.2%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.9% (HV 20d: 19.3%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-05-05: Highest Volume — 84,510 contracts
  • 2016-05-24: Largest IV drop — 7.7% change
  • 2016-05-04: Highest IV Rank — 26.4%
  • 2016-05-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.40$29.66$31.58$30.63$31.58
Max Pain$31.19$31.00$32.00$31.00$31.00
ATM IV20.2%17.6%22.3%21.2%18.2%
Expected Move5.8%4.7%6.7%6.2%5.1%
HV 20d19.3%17.7%22.4%18.7%17.7%
HV 60d18.1%17.1%19.6%19.6%17.6%
IV Rank15.8%2.3%26.4%21.2%4.9%
IV Percentile13.7%0.4%29.0%20.2%2.4%
Term Structure0.3%-0.7%1.8%0.6%-0.2%
VWIV20.6%16.9%23.7%23.1%17.7%
Skew 25d4.2%3.4%4.8%4.6%4.1%
Skew 10d8.5%4.3%11.2%11.2%10.1%
Call IV 25d18.5%16.1%20.5%19.3%16.5%
Put IV 25d22.6%19.6%25.3%23.9%20.5%
Bid-Ask Spread %10.886.1138.379.039.58
Gamma HHI0.130.090.310.090.16
Net GEX712.6K-41.6M45.6M-16.8K33.1M
Net DEX120.2M-338.8M389.7M125.7M-295.0M
Net VEX-6.6M-6.9M-6.1M-6.7M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.593.490.940.87
Total Volume52,110.52420,70684,51049,28333,365
Total OI1,424,679.3331,288,2241,485,2421,403,5841,364,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$30.63$31.0021.2%6.2%18.7%21.2%23.1%4.6%0.6%-16.8K125.7M-6.7M0.949.0325,39523,888784,702618,882
2016-05-03$30.34$31.0021.5%6.4%18.9%22.7%23.7%4.5%0.3%-4.2M206.9M-6.7M0.9411.8331,86229,841792,872623,102
2016-05-04$29.89$31.0022.3%6.7%19.1%26.4%23.1%4.8%0.5%-11.7M291.1M-6.6M1.0014.4122,03322,074797,995634,356
2016-05-05$29.86$32.0022.0%6.4%18.3%25.2%22.5%4.5%0.1%-15.4M306.2M-6.5M3.4911.6618,80465,706803,892642,870
2016-05-06$30.02$32.0021.2%6.2%18.4%21.2%22.6%4.1%0.5%-41.6M265.6M-6.6M1.438.7025,28336,265808,367665,288
2016-05-09$29.78$32.0021.1%6.2%18.3%20.5%21.4%4.2%0.3%-14.0M349.1M-6.5M1.017.7219,63719,844792,886651,810
2016-05-10$30.15$32.0020.1%6.0%19.0%15.7%21.2%4.1%0.6%-9.9M236.0M-6.5M0.5910.3227,99916,614798,416655,244
2016-05-11$30.09$31.0020.3%6.0%18.5%16.3%21.1%4.1%0.6%-10.3M242.7M-6.6M0.997.3113,79313,685808,944658,961
2016-05-12$29.77$31.0020.3%6.0%18.5%16.4%21.1%4.1%0.9%-15.4M355.6M-6.4M0.679.8324,31416,336813,468663,615
2016-05-13$29.92$31.0020.5%6.0%18.6%17.8%21.4%4.2%0.7%-23.9M307.9M-6.5M1.887.3523,81344,696821,467663,775
2016-05-16$30.39$31.0020.7%6.0%19.6%18.5%20.1%4.5%-0.7%-209.3K125.0M-6.6M0.696.4926,03017,908805,929656,725
2016-05-17$30.39$31.0021.1%6.1%19.5%20.7%22.0%4.6%-0.4%757.6K146.9M-6.6M1.156.499,61811,088812,937656,878
2016-05-18$29.92$31.0020.8%5.9%18.8%18.7%20.3%4.3%0.4%-5.9M294.6M-6.3M1.1910.3116,58619,689814,324656,756
2016-05-19$29.66$31.0020.7%5.9%18.9%18.5%21.9%4.2%1.8%-12.0M389.7M-6.1M1.226.1124,98130,504818,348662,278
2016-05-20$30.14$31.0019.9%5.7%19.9%14.6%20.5%4.0%0.3%6.7M181.1M-6.3M1.5910.3129,00546,035822,878662,288
2016-05-23$30.24$31.0020.1%5.5%19.8%15.6%19.2%4.0%-0.7%7.2M99.9M-6.3M1.007.5435,86535,699719,422568,802
2016-05-24$31.08$31.0018.6%5.1%22.4%7.0%17.7%3.4%0.0%23.3M-161.1M-6.7M0.7411.8547,55435,322742,163567,500
2016-05-25$31.43$31.0018.0%5.0%22.3%4.3%18.0%3.9%0.1%31.9M-293.4M-6.8M1.0310.6732,81733,792761,555580,301
2016-05-26$31.50$31.0017.8%4.9%20.9%2.9%17.2%3.9%0.3%31.0M-311.8M-6.9M0.7212.7025,80118,494771,677591,512
2016-05-27$31.55$31.0017.6%4.7%18.2%2.3%16.9%3.5%0.3%45.6M-338.8M-6.9M0.6538.3725,58816,698782,228598,505
2016-05-31$31.58$31.0018.2%5.1%17.7%4.9%17.7%4.1%-0.2%33.1M-295.0M-6.8M0.879.5817,84815,517768,344596,004