INTC Options History — November 2016

In November 2016, INTC traded between $33.65 and $35.49. ATM implied volatility averaged 19.9%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.4% (HV 20d: 21.3%). Max pain ranged from $35.00 to $35.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-11-02: Highest Volume — 94,672 contracts
  • 2016-11-07: Largest IV drop — 11.9% change
  • 2016-11-04: Highest IV Rank — 52.0%
  • 2016-11-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.80$33.65$35.49$34.47$34.83
Max Pain$35.02$35.00$35.50$35.50$35.00
ATM IV19.9%17.0%24.4%21.2%17.8%
Expected Move5.8%4.8%6.8%6.5%5.4%
HV 20d21.3%16.4%26.9%24.0%17.7%
HV 60d21.2%20.0%21.7%20.0%21.6%
IV Rank27.4%11.1%52.0%34.5%15.4%
IV Percentile30.9%10.7%62.3%38.1%19.0%
Term Structure-0.0%-0.9%0.7%-0.3%-0.1%
VWIV20.9%16.8%27.7%23.2%19.0%
Skew 25d4.2%2.8%5.1%4.2%3.3%
Skew 10d8.6%4.6%11.6%6.7%6.0%
Call IV 25d18.4%15.9%22.2%19.6%16.9%
Put IV 25d22.5%19.2%26.9%23.8%20.2%
Bid-Ask Spread %15.217.9927.4620.3621.88
Gamma HHI0.120.080.330.100.12
Net GEX26.9M1.7M76.4M15.5M28.9M
Net DEX-291.3M-657.4M234.5M-69.6M-328.7M
Net VEX-7.7M-8.4M-7.1M-7.9M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.531.961.560.81
Total Volume52,751.09528,50794,67269,01842,727
Total OI1,769,617.6671,575,7241,888,1591,750,7161,634,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$34.47$35.5021.2%6.5%24.0%34.5%23.2%4.2%-0.3%15.5M-69.6M-7.9M1.5620.3626,95342,0651,010,275740,441
2016-11-02$34.67$35.0021.1%6.7%23.2%34.1%23.5%3.9%-0.2%15.3M-126.4M-8.2M0.8525.4851,08943,5831,016,130770,872
2016-11-03$33.90$35.0023.1%6.7%23.9%44.9%25.7%4.9%-0.2%8.2M126.4M-8.0M1.3715.7932,89645,1301,028,711796,780
2016-11-04$33.65$35.0024.4%6.8%23.8%52.0%27.7%4.7%-0.3%1.7M234.5M-8.1M0.9913.9035,15334,8621,040,191822,685
2016-11-07$34.65$35.0021.5%6.1%26.9%35.9%21.4%5.0%-0.3%16.9M-211.5M-8.1M1.0812.3233,26635,8531,019,650819,884
2016-11-08$34.80$35.0020.9%6.2%26.3%33.0%23.1%5.0%0.7%18.8M-257.2M-8.4M1.248.7017,70921,9931,032,740835,844
2016-11-09$34.72$35.0020.2%5.8%26.3%29.1%22.3%4.8%0.1%19.9M-248.0M-8.1M1.2712.7627,50934,9301,036,318838,143
2016-11-10$34.52$35.0021.6%6.2%26.3%36.8%22.7%5.1%0.1%15.3M-129.9M-8.2M1.1811.3121,34025,2111,038,714839,664
2016-11-11$34.54$35.0020.7%5.9%25.5%31.7%21.8%4.4%-0.0%17.8M-169.4M-8.0M1.969.1222,39743,9561,043,383844,776
2016-11-14$34.42$35.0022.1%6.5%25.5%39.7%21.4%4.7%-0.9%9.0M-72.5M-7.9M0.7711.0616,08312,4241,022,465834,455
2016-11-15$34.98$35.0020.4%5.9%26.0%30.3%19.9%4.3%0.1%29.0M-398.5M-7.7M0.8110.2427,94822,7201,030,064814,712
2016-11-16$34.82$35.0020.4%5.8%16.6%30.0%21.2%4.1%0.1%23.2M-284.7M-7.8M0.937.9918,06016,7151,036,734815,545
2016-11-17$34.98$35.0020.0%5.7%16.6%27.9%20.7%4.2%0.1%30.2M-385.7M-7.5M0.8113.2430,21024,4841,040,417821,658
2016-11-18$34.97$35.0019.1%5.4%16.4%22.7%19.5%4.2%0.3%76.4M-361.2M-7.5M1.1410.7823,58226,8541,056,776819,205
2016-11-21$34.92$35.0017.7%5.0%16.4%14.8%17.6%4.1%0.0%27.6M-405.9M-7.1M1.0127.4628,87729,309839,640736,084
2016-11-22$35.45$35.0017.3%4.9%17.2%12.8%17.7%3.7%-0.0%38.2M-618.5M-7.3M0.8220.9427,20522,403853,295744,040
2016-11-23$35.21$35.0017.5%5.0%17.4%14.0%16.8%3.4%0.0%38.7M-531.7M-7.3M0.5321.8726,25614,005864,588750,751
2016-11-25$35.44$35.0017.0%4.8%17.4%11.1%18.0%3.2%-0.1%46.2M-630.7M-7.3M0.649.9918,29811,705877,840757,205
2016-11-28$35.49$35.0017.2%5.0%17.4%12.4%17.5%3.3%0.1%45.1M-657.4M-7.2M1.1116.7116,54918,439864,660748,292
2016-11-29$35.33$35.0017.1%5.0%17.5%11.5%17.9%2.8%-0.0%43.1M-591.0M-7.1M1.2517.5416,45920,566871,579752,112
2016-11-30$34.83$35.0017.8%5.4%17.7%15.4%19.0%3.3%-0.1%28.9M-328.7M-7.2M0.8121.8823,55519,172874,441760,212