INTC Options History — October 2016

In October 2016, INTC traded between $34.77 and $38.10. ATM implied volatility averaged 22.4%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.5% (HV 20d: 21.9%). 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 8 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-10-18: Highest Volume — 299,325 contracts
  • 2016-10-19: Largest IV drop — 21.3% change
  • 2016-10-11: Highest IV Rank — 62.3%
  • 2016-10-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.54$34.77$38.10$37.69$34.89
Max Pain$34.90$34.00$35.00$35.00$35.00
ATM IV22.4%17.4%26.2%25.3%18.7%
Expected Move6.6%5.2%8.2%8.0%5.7%
HV 20d21.9%15.0%25.7%23.0%23.8%
HV 60d18.8%16.2%20.2%18.2%19.9%
IV Rank41.3%13.4%62.3%57.3%20.4%
IV Percentile51.7%13.1%82.5%75.0%23.0%
Term Structure-0.4%-2.0%0.4%-0.7%0.2%
VWIV23.3%18.7%29.8%28.4%21.5%
Skew 25d4.1%3.2%5.3%4.7%3.6%
Skew 10d7.7%3.2%16.6%7.7%7.1%
Call IV 25d20.7%16.3%24.4%22.6%17.8%
Put IV 25d24.8%19.8%29.5%27.3%21.4%
Bid-Ask Spread %12.726.7424.758.6224.75
Gamma HHI0.130.100.250.110.11
Net GEX68.8M18.6M115.0M92.5M20.6M
Net DEX-1.18B-2.12B-137.7M-1.90B-224.9M
Net VEX-7.9M-8.4M-7.3M-8.3M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.232.260.430.26
Total Volume88,053.23829,970299,32529,97095,396
Total OI1,882,722.3811,679,6022,184,5991,812,4921,722,373

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$37.69$35.0025.3%8.0%23.0%57.3%28.4%4.7%-0.7%92.5M-1.90B-8.3M0.438.6220,9049,0661,084,096728,396
2016-10-04$37.49$35.0025.3%8.2%22.6%57.4%29.8%4.5%-0.6%92.5M-1.82B-8.3M2.268.1717,51239,5261,092,114731,552
2016-10-05$38.08$35.0025.1%8.0%23.1%56.4%28.9%4.3%-0.7%96.1M-2.11B-8.1M0.708.6242,89730,1211,095,022743,203
2016-10-06$38.08$34.0024.8%6.9%23.1%54.6%24.8%4.1%-0.5%97.1M-2.10B-8.3M0.468.0235,88516,4401,107,712754,632
2016-10-07$38.10$34.0024.8%7.0%20.2%54.4%24.4%4.3%0.2%103.2M-2.12B-8.3M0.897.9542,46637,7691,118,508758,127
2016-10-10$38.03$35.0024.6%6.9%19.9%53.1%24.9%4.7%-0.1%97.9M-2.09B-8.1M1.196.7418,79022,4121,118,733769,133
2016-10-11$37.21$35.0026.2%7.3%20.8%62.3%26.1%5.2%-1.1%86.7M-1.60B-8.4M0.989.3536,41335,7801,125,179781,667
2016-10-12$37.20$35.0026.1%7.3%20.8%61.5%26.1%4.4%-0.8%86.5M-1.62B-8.2M1.0412.4616,37917,0881,132,718796,864
2016-10-13$36.99$35.0025.9%7.4%18.8%60.2%24.3%5.3%-0.2%85.4M-1.48B-8.3M0.7510.9639,12629,4381,135,980799,426
2016-10-14$37.52$35.0025.2%7.1%15.9%56.8%26.0%4.5%-0.9%115.0M-1.79B-8.2M0.6710.3033,74522,6311,156,108816,104
2016-10-17$37.34$35.0025.5%7.3%15.0%58.4%24.9%4.0%-2.0%92.8M-1.68B-8.2M0.479.6155,53326,3461,154,250806,788
2016-10-18$37.74$35.0025.0%7.1%15.5%55.6%25.3%3.5%-0.8%93.2M-1.91B-8.0M0.4813.20202,31097,0151,150,492814,463
2016-10-19$35.63$35.0019.7%5.6%25.7%26.0%20.5%3.4%0.1%61.9M-459.4M-7.3M0.6518.69180,413117,4051,224,677866,988
2016-10-20$35.43$35.0019.8%5.7%25.5%26.8%19.8%3.2%-1.9%52.2M-356.4M-7.6M0.6115.0352,68032,3071,267,698900,704
2016-10-21$35.15$35.0019.3%5.6%25.5%23.8%19.2%3.5%-0.6%53.3M-240.6M-7.5M0.2310.26115,51426,5691,278,541906,058
2016-10-24$35.17$35.0018.5%5.5%25.1%19.6%18.9%3.6%0.2%33.4M-362.7M-7.6M0.5817.7735,47320,518993,035694,472
2016-10-25$35.06$35.0017.9%5.3%24.5%16.3%18.7%3.8%0.3%25.5M-286.2M-7.6M0.9217.3146,97943,179977,877701,725
2016-10-26$34.95$35.0017.4%5.2%24.2%13.4%18.7%3.5%0.4%22.1M-241.9M-7.6M0.6112.3731,86019,3141,000,971727,402
2016-10-27$34.80$35.0017.8%5.4%24.2%15.5%19.2%3.3%0.4%19.3M-184.4M-7.6M0.9018.5523,29320,9731,009,871736,008
2016-10-28$34.77$35.0018.2%5.5%23.7%17.8%19.8%3.7%0.2%18.6M-137.7M-7.8M0.7118.3924,31717,3361,013,218744,285
2016-10-31$34.89$35.0018.7%5.7%23.8%20.4%21.5%3.6%0.2%20.6M-224.9M-7.6M0.2624.7575,67719,719989,771732,602