INTC Options History — June 2016

In June 2016, INTC traded between $30.70 and $32.96. ATM implied volatility averaged 22.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 6.2% (HV 20d: 15.9%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2016-06-30: Highest Volume — 113,137 contracts
2016-06-24: Largest IV spike — 31.4% change
2016-06-27: Highest IV Rank — 72.8%
2016-06-27: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.90	$30.70	$32.96	$31.64	$32.73
Max Pain	$31.09	$31.00	$32.00	$31.00	$31.00
ATM IV	22.1%	17.1%	31.6%	18.5%	25.7%
Expected Move	6.0%	5.2%	8.1%	5.2%	6.0%
HV 20d	15.9%	8.9%	25.3%	17.3%	25.3%
HV 60d	17.4%	16.2%	20.7%	17.6%	20.7%
IV Rank	25.2%	0.0%	72.8%	6.7%	43.5%
IV Percentile	31.4%	0.0%	92.5%	3.2%	62.3%
Term Structure	0.7%	-3.2%	3.6%	0.5%	-0.6%
VWIV	21.9%	17.7%	28.7%	17.7%	23.0%
Skew 25d	5.3%	3.3%	7.9%	3.9%	5.5%
Skew 10d	13.2%	6.3%	21.8%	9.1%	13.2%
Call IV 25d	19.9%	15.7%	27.4%	16.8%	23.0%
Put IV 25d	25.2%	19.7%	34.3%	20.6%	28.5%
Bid-Ask Spread %	14.55	6.79	31.22	16.69	18.16
Gamma HHI	0.15	0.10	0.21	0.17	0.15
Net GEX	34.9M	4.2M	47.2M	34.5M	44.8M
Net DEX	-395.3M	-795.4M	176.3M	-328.7M	-762.9M
Net VEX	-7.1M	-7.4M	-6.8M	-6.8M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.46	1.59	0.76	0.54
Total Volume	64,842.545	39,299	113,137	39,299	113,137
Total OI	1,490,905.227	1,375,487	1,576,622	1,375,487	1,572,459

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-06-01	$31.64	$31.00	18.5%	5.2%	17.3%	6.7%	17.7%	3.9%	0.5%	34.5M	-328.7M	-6.8M	0.76	16.69	22,267	17,032	771,353	604,134
2016-06-02	$31.72	$31.00	18.2%	5.4%	16.0%	5.0%	20.4%	3.3%	-0.2%	37.5M	-341.5M	-6.8M	0.46	10.41	42,937	19,641	779,097	611,695
2016-06-03	$31.64	$31.00	18.0%	5.4%	16.1%	4.1%	21.1%	4.3%	0.4%	35.4M	-349.3M	-6.9M	0.96	11.80	28,379	27,166	801,678	620,868
2016-06-06	$31.68	$31.00	17.7%	5.5%	16.1%	2.8%	21.1%	3.9%	1.6%	34.9M	-349.8M	-6.8M	1.35	12.58	20,335	27,446	802,205	623,095
2016-06-07	$31.86	$31.00	17.1%	5.5%	15.6%	0.0%	20.7%	4.1%	2.2%	39.1M	-421.1M	-6.9M	1.16	6.79	22,569	26,223	815,376	638,890
2016-06-08	$31.92	$31.00	17.1%	5.5%	15.2%	0.0%	18.5%	4.6%	2.0%	42.7M	-448.4M	-7.0M	0.84	8.09	25,364	21,262	826,143	650,538
2016-06-09	$31.98	$31.00	17.6%	5.5%	15.1%	3.0%	20.4%	4.0%	1.7%	45.1M	-471.2M	-7.0M	1.12	8.18	20,295	22,766	838,604	659,242
2016-06-10	$32.05	$31.00	19.1%	5.8%	14.2%	10.3%	22.1%	4.8%	1.6%	43.2M	-537.5M	-7.2M	1.17	31.22	45,230	52,806	844,260	667,479
2016-06-13	$32.13	$31.00	21.5%	6.2%	14.2%	22.3%	22.1%	6.0%	2.0%	44.5M	-532.1M	-7.3M	0.85	14.01	45,994	39,211	844,375	675,437
2016-06-14	$32.11	$31.00	21.8%	6.3%	13.6%	23.9%	23.0%	6.1%	2.8%	47.2M	-537.9M	-7.4M	1.50	16.79	20,921	31,337	859,817	687,631
2016-06-15	$31.61	$31.00	21.2%	6.1%	15.1%	20.6%	22.1%	5.7%	3.2%	37.6M	-274.3M	-7.2M	1.59	18.00	22,618	35,884	854,577	697,037
2016-06-16	$31.72	$31.00	21.8%	6.1%	13.6%	23.8%	23.7%	5.8%	3.6%	43.8M	-328.2M	-7.2M	1.28	12.12	23,008	29,383	863,947	701,514
2016-06-17	$31.75	$31.00	22.6%	6.1%	12.9%	27.9%	21.7%	5.9%	3.6%	22.3M	-342.0M	-7.1M	0.54	13.52	41,500	22,450	867,414	709,208
2016-06-20	$32.20	$31.00	23.2%	6.1%	12.6%	30.6%	21.8%	5.5%	-1.1%	33.2M	-457.8M	-7.0M	0.95	13.84	40,559	38,724	758,008	636,267
2016-06-21	$32.33	$31.00	23.0%	5.8%	12.6%	29.9%	20.4%	5.8%	-0.9%	34.9M	-513.4M	-7.1M	0.59	12.23	35,261	20,767	784,714	661,179
2016-06-22	$32.32	$31.00	24.8%	6.1%	8.9%	38.9%	22.2%	6.6%	-1.1%	36.2M	-507.7M	-7.2M	0.48	12.55	39,134	18,608	804,106	670,344
2016-06-23	$32.96	$31.00	22.5%	5.5%	10.4%	27.5%	19.5%	5.3%	-1.0%	45.8M	-795.4M	-7.1M	0.63	30.20	42,515	26,886	812,052	679,752
2016-06-24	$31.69	$32.00	29.6%	7.1%	18.1%	63.0%	25.2%	7.9%	-3.2%	20.1M	-200.0M	-7.3M	1.32	19.40	30,559	40,391	826,184	695,085
2016-06-27	$30.70	$32.00	31.6%	8.1%	21.4%	72.8%	28.7%	6.7%	-0.7%	4.2M	176.3M	-7.0M	1.41	13.92	46,257	65,266	811,798	692,944
2016-06-28	$31.18	$31.00	28.0%	6.9%	22.2%	55.0%	24.5%	5.6%	-0.2%	12.2M	-8.8M	-6.9M	0.74	10.62	28,463	21,124	834,767	697,667
2016-06-29	$31.94	$31.00	25.6%	5.9%	23.9%	43.0%	22.6%	5.8%	-0.4%	29.4M	-365.6M	-7.1M	0.94	8.89	33,517	31,344	844,050	702,925
2016-06-30	$32.73	$31.00	25.7%	6.0%	25.3%	43.5%	23.0%	5.5%	-0.6%	44.8M	-762.9M	-7.1M	0.54	18.16	73,301	39,836	852,610	719,849