INTC Options History — July 2016

In July 2016, INTC traded between $32.65 and $35.76. ATM implied volatility averaged 21.5%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.5% (HV 20d: 26.0%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2016-07-20: Highest Volume — 295,617 contracts
2016-07-21: Largest IV drop — 25.5% change
2016-07-07: Highest IV Rank — 51.5%
2016-07-07: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.47	$32.65	$35.76	$32.82	$34.87
Max Pain	$32.40	$31.00	$33.00	$32.00	$33.00
ATM IV	21.5%	15.7%	27.3%	24.9%	15.7%
Expected Move	5.8%	4.4%	7.0%	5.3%	4.4%
HV 20d	26.0%	21.2%	31.4%	25.3%	21.2%
HV 60d	21.0%	20.3%	22.6%	20.3%	20.9%
IV Rank	23.8%	0.0%	51.5%	39.4%	0.0%
IV Percentile	31.9%	0.0%	71.4%	55.6%	0.0%
Term Structure	-0.8%	-2.0%	0.6%	-0.5%	0.6%
VWIV	21.2%	16.1%	25.4%	19.8%	21.5%
Skew 25d	4.3%	2.8%	6.5%	5.9%	2.8%
Skew 10d	8.5%	5.7%	14.2%	14.2%	6.9%
Call IV 25d	19.5%	14.8%	24.4%	23.2%	14.8%
Put IV 25d	23.9%	17.6%	30.4%	29.1%	17.6%
Bid-Ask Spread %	9.92	6.05	14.48	13.95	11.07
Gamma HHI	0.18	0.12	0.47	0.16	0.17
Net GEX	58.6M	27.1M	130.9M	41.4M	60.6M
Net DEX	-1.19B	-1.91B	-690.2M	-794.1M	-938.7M
Net VEX	-7.4M	-8.3M	-6.6M	-7.3M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.32	1.89	1.13	0.67
Total Volume	114,035.85	48,154	295,617	67,300	103,737
Total OI	1,636,651.25	1,331,364	1,839,048	1,616,185	1,657,836

Daily Data (20 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
2016-07-01	$32.82	$32.00	24.9%	5.3%	25.3%	39.4%	19.8%	5.9%	-0.5%	41.4M	-794.1M	-7.3M	1.13	13.95	31,606	35,694	873,112	743,073
2016-07-05	$32.65	$31.00	26.8%	6.7%	25.4%	49.1%	23.4%	5.9%	-1.6%	45.0M	-713.6M	-7.1M	0.73	7.57	27,804	20,350	877,737	755,170
2016-07-06	$32.99	$32.00	27.1%	6.9%	25.6%	50.6%	25.4%	6.5%	-1.8%	53.9M	-867.2M	-7.2M	0.41	9.88	34,630	14,285	890,648	759,055
2016-07-07	$33.24	$32.00	27.3%	7.0%	25.6%	51.5%	24.3%	5.8%	-1.8%	63.4M	-1.03B	-7.1M	0.36	7.44	71,214	25,587	904,136	761,455
2016-07-08	$33.99	$32.00	24.8%	6.3%	26.6%	38.9%	23.7%	6.0%	-1.7%	69.6M	-1.49B	-6.9M	0.45	6.71	56,837	25,411	932,945	771,954
2016-07-11	$34.37	$32.00	24.0%	6.6%	26.8%	34.9%	23.1%	5.1%	-0.3%	66.1M	-1.59B	-6.6M	0.32	8.42	121,829	38,766	919,836	768,188
2016-07-12	$34.95	$32.00	23.3%	6.2%	27.2%	31.5%	21.8%	4.9%	-1.5%	63.3M	-1.85B	-6.7M	0.68	7.62	77,368	52,727	945,694	790,264
2016-07-13	$35.07	$32.00	24.5%	6.5%	27.1%	37.4%	22.3%	4.2%	-1.7%	64.6M	-1.83B	-6.9M	0.49	8.04	94,517	46,253	951,473	813,103
2016-07-14	$35.23	$32.00	23.1%	6.3%	26.1%	30.4%	23.5%	4.3%	-1.5%	70.3M	-1.91B	-7.1M	0.71	6.05	48,973	34,954	983,392	833,300
2016-07-15	$35.06	$32.00	22.1%	6.1%	26.3%	25.6%	20.8%	4.2%	-1.5%	130.9M	-1.83B	-7.2M	0.80	7.51	37,450	29,893	988,442	850,606
2016-07-18	$35.05	$32.00	21.9%	6.1%	26.4%	24.2%	22.8%	4.1%	-1.3%	47.8M	-1.08B	-7.1M	1.89	10.47	31,401	59,216	755,861	575,503
2016-07-19	$35.12	$33.00	23.2%	6.6%	26.1%	30.8%	23.5%	3.9%	-1.3%	45.3M	-1.08B	-7.3M	1.07	11.99	52,560	56,433	772,938	612,653
2016-07-20	$35.76	$33.00	22.7%	6.5%	26.6%	28.5%	23.2%	4.1%	-2.0%	48.2M	-1.35B	-7.3M	0.67	13.71	177,275	118,342	804,628	637,821
2016-07-21	$34.28	$33.00	16.9%	4.9%	31.4%	0.0%	18.3%	3.3%	-0.6%	27.1M	-690.2M	-7.5M	0.82	11.58	148,235	121,188	901,547	704,219
2016-07-22	$34.65	$33.00	16.3%	4.7%	31.0%	0.0%	17.2%	3.0%	-0.1%	53.4M	-935.1M	-8.0M	0.41	12.08	126,250	51,446	956,142	738,830
2016-07-25	$34.62	$33.00	16.6%	4.8%	26.8%	1.8%	16.8%	3.3%	0.4%	57.2M	-904.9M	-8.3M	1.30	7.80	26,777	34,804	923,539	687,047
2016-07-26	$35.03	$33.00	16.4%	4.7%	23.2%	0.7%	17.0%	3.0%	0.2%	57.9M	-1.06B	-8.2M	1.11	14.48	46,727	51,859	909,736	691,487
2016-07-27	$34.81	$33.00	16.2%	4.6%	23.4%	0.0%	16.1%	2.8%	0.4%	51.9M	-894.3M	-8.3M	0.89	11.20	40,180	35,599	923,558	719,162
2016-07-28	$34.77	$33.00	15.8%	4.5%	22.5%	0.0%	19.2%	3.2%	0.4%	54.1M	-891.9M	-8.2M	0.81	10.91	40,122	32,418	934,614	712,321
2016-07-29	$34.87	$33.00	15.7%	4.4%	21.2%	0.0%	21.5%	2.8%	0.6%	60.6M	-938.7M	-8.3M	0.67	11.07	61,952	41,785	943,841	713,995