INTC Options History — September 2016

In September 2016, INTC traded between $35.51 and $37.79. ATM implied volatility averaged 20.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.0% (HV 20d: 17.3%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-09-16: Highest Volume — 160,237 contracts
  • 2016-09-19: Largest IV spike — 21.6% change
  • 2016-09-29: Highest IV Rank — 48.7%
  • 2016-09-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$35.51$37.79$35.99$37.79
Max Pain$34.57$34.00$35.00$35.00$35.00
ATM IV20.3%15.0%24.5%16.1%23.3%
Expected Move6.7%4.0%7.5%4.5%7.2%
HV 20d17.3%8.3%23.0%9.0%23.0%
HV 60d20.0%18.6%22.3%19.7%18.7%
IV Rank26.6%0.0%48.7%3.6%43.4%
IV Percentile33.0%0.0%62.7%3.6%53.6%
Term Structure1.3%-1.1%7.0%-0.0%-0.3%
VWIV23.9%13.9%26.6%18.0%25.8%
Skew 25d3.6%2.7%4.4%3.7%3.6%
Skew 10d8.2%5.7%14.9%6.9%8.8%
Call IV 25d18.7%14.0%23.2%14.4%22.1%
Put IV 25d22.3%16.9%27.1%18.1%25.7%
Bid-Ask Spread %11.116.1124.1624.1610.59
Gamma HHI0.140.100.280.180.11
Net GEX80.0M61.6M108.8M78.6M98.0M
Net DEX-1.56B-2.22B-1.01B-1.28B-2.00B
Net VEX-8.2M-8.6M-7.5M-8.1M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.281.140.770.80
Total Volume75,000.28637,856160,23756,93151,913
Total OI1,701,770.5241,559,4921,832,7851,559,4921,832,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$35.99$35.0016.1%4.5%9.0%3.6%18.0%3.7%-0.0%78.6M-1.28B-8.1M0.7724.1632,14824,783888,765670,727
2016-09-02$36.02$35.0015.0%4.0%8.3%0.0%13.9%2.7%0.2%108.8M-1.33B-8.1M0.5914.7951,69930,724902,613676,397
2016-09-06$36.58$34.0015.3%6.2%9.7%1.3%22.5%3.2%0.3%78.2M-1.56B-7.9M0.489.2064,27930,974904,521684,855
2016-09-07$36.42$34.0015.3%6.5%9.8%1.3%23.2%2.7%0.4%79.9M-1.51B-8.0M1.1420.7229,99634,251926,470703,920
2016-09-08$36.54$34.0015.5%6.2%8.6%2.5%22.7%3.3%0.1%78.0M-1.55B-8.1M0.558.6331,83917,353933,662719,291
2016-09-09$35.54$34.0018.8%7.0%13.9%18.9%26.1%3.6%-0.4%66.7M-1.01B-8.4M0.9312.1644,77141,696940,527724,962
2016-09-12$36.06$34.0017.6%7.0%14.6%13.2%25.0%3.9%7.0%75.5M-1.30B-8.0M0.4313.1642,79518,360940,838725,082
2016-09-13$35.51$34.0019.5%7.5%15.4%22.5%25.8%3.9%6.7%64.7M-1.01B-8.3M0.4813.6247,38522,754948,804727,013
2016-09-14$35.62$34.0019.4%7.5%15.3%21.6%26.6%4.1%6.9%70.5M-1.10B-8.1M0.458.7326,18711,669965,492737,894
2016-09-15$36.59$34.0019.2%7.1%17.8%21.0%25.3%3.7%6.7%83.6M-1.63B-8.2M0.479.3744,02120,577974,702739,434
2016-09-16$37.74$34.0019.7%6.5%20.5%23.1%24.1%3.4%4.9%63.0M-2.22B-7.5M0.5613.78103,03057,207983,788747,359
2016-09-19$37.17$35.0023.9%7.2%21.5%44.1%25.6%4.1%-1.0%61.6M-1.58B-7.9M0.456.5978,61035,556899,776683,482
2016-09-20$37.17$35.0024.5%7.2%21.5%47.1%25.1%3.8%-0.8%65.3M-1.59B-8.2M0.399.85102,07839,557927,613696,277
2016-09-21$37.40$35.0022.9%6.6%21.5%39.3%23.9%3.8%-0.6%77.0M-1.72B-8.4M0.2811.58101,82528,8601,005,841717,242
2016-09-22$37.60$35.0023.1%6.7%21.3%40.1%23.7%3.4%-0.9%89.4M-1.89B-8.3M0.396.3441,20915,9941,046,142733,105
2016-09-23$37.23$35.0023.2%6.7%21.7%40.4%24.1%3.3%-1.1%80.1M-1.69B-8.6M0.447.7944,77519,4831,065,141737,295
2016-09-26$36.70$35.0024.5%7.3%22.5%46.8%24.7%3.8%0.1%81.7M-1.43B-8.6M0.577.3032,85318,7611,071,106717,657
2016-09-27$37.18$35.0023.2%7.0%22.8%40.4%24.5%3.7%0.1%91.1M-1.67B-8.4M0.357.6637,78513,1061,078,768724,910
2016-09-28$37.44$35.0022.7%6.9%22.9%40.1%25.1%4.0%-0.0%95.4M-1.81B-8.4M0.656.1123,18415,1231,084,176728,672
2016-09-29$37.42$35.0024.3%7.5%22.8%48.7%26.6%4.4%-0.3%92.5M-1.82B-8.3M0.4611.1031,32714,5091,087,417732,660
2016-09-30$37.79$35.0023.3%7.2%23.0%43.4%25.8%3.6%-0.3%98.0M-2.00B-8.4M0.8010.5928,86223,0511,096,399736,386