INTC Options History — December 2016

In December 2016, INTC traded between $33.65 and $37.16. ATM implied volatility averaged 19.9%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.4% (HV 20d: 20.4%). 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 18 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-12-13: Highest Volume — 99,433 contracts
  • 2016-12-27: Largest IV spike — 19.8% change
  • 2016-12-30: Highest IV Rank — 55.2%
  • 2016-12-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.09$33.65$37.16$33.65$36.30
Max Pain$34.43$34.00$35.00$35.00$35.00
ATM IV19.9%17.7%24.9%21.0%24.9%
Expected Move5.5%4.9%6.5%6.5%5.3%
HV 20d20.4%16.4%21.7%21.5%16.4%
HV 60d21.5%20.7%22.9%22.7%21.0%
IV Rank27.5%15.1%55.2%33.5%55.2%
IV Percentile34.9%18.3%73.8%39.7%73.8%
Term Structure1.5%-0.4%5.8%-0.4%0.2%
VWIV19.4%17.3%22.2%22.2%20.3%
Skew 25d2.7%1.7%3.8%3.7%3.8%
Skew 10d5.1%1.6%10.6%3.2%5.1%
Call IV 25d18.9%16.7%23.9%19.3%23.9%
Put IV 25d21.7%18.4%27.7%23.0%27.7%
Bid-Ask Spread %13.766.2222.5322.5314.87
Gamma HHI0.140.100.170.100.13
Net GEX53.0M7.0M79.8M7.0M53.3M
Net DEX-929.8M-1.37B70.7M70.7M-899.9M
Net VEX-6.9M-7.3M-6.5M-6.7M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.191.440.870.97
Total Volume50,978.23826,01999,43349,01142,670
Total OI1,671,681.4291,612,3121,750,3651,648,4411,664,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$33.65$35.0021.0%6.5%21.5%33.5%22.2%3.7%-0.4%7.0M70.7M-6.7M0.8722.5326,14122,870883,200765,241
2016-12-02$34.15$35.0019.9%6.0%20.7%27.2%20.6%2.8%-0.1%14.0M-112.3M-6.9M1.4411.1424,08534,644886,596769,673
2016-12-05$34.38$34.0019.1%5.8%20.6%22.8%19.1%3.6%0.2%17.8M-202.1M-6.8M0.6612.2416,33410,809879,779768,262
2016-12-06$34.69$34.0018.6%5.4%18.0%20.3%19.3%3.2%0.4%25.2M-329.4M-6.9M1.0014.4214,83214,857882,247769,879
2016-12-07$35.45$34.0017.9%5.5%19.5%16.1%19.7%2.3%0.5%44.2M-667.8M-6.9M0.5510.7031,27117,279887,556774,001
2016-12-08$35.72$34.0019.8%5.7%19.6%26.7%20.4%2.6%0.5%45.6M-760.1M-7.3M0.2217.7564,62714,287897,688775,050
2016-12-09$35.78$34.0019.2%5.7%19.5%23.2%21.4%3.0%0.4%50.9M-847.3M-7.2M0.8013.4227,87822,330921,283778,513
2016-12-12$35.99$34.0019.8%5.9%19.5%26.8%20.6%3.0%0.5%58.4M-933.5M-7.1M0.3013.2536,02210,942916,906776,153
2016-12-13$36.76$34.0019.1%5.6%20.5%22.6%19.8%2.9%0.2%71.1M-1.31B-7.1M0.2913.4076,93022,503931,848778,994
2016-12-14$36.66$34.0019.4%5.6%20.0%24.7%19.8%2.3%-0.0%72.9M-1.27B-7.0M0.4315.2632,89014,218944,197779,231
2016-12-15$36.85$34.0018.5%5.5%19.9%19.3%19.4%2.9%0.6%79.8M-1.37B-7.0M0.4320.9131,54113,709958,506783,455
2016-12-16$36.24$34.0018.3%5.4%21.0%18.2%18.3%2.6%0.7%58.0M-1.10B-6.9M0.6410.4739,49825,188963,957786,408
2016-12-19$36.84$34.0018.2%5.3%21.6%18.0%19.2%2.2%4.5%68.9M-1.26B-6.8M1.0517.8026,48427,807883,534728,778
2016-12-20$37.16$34.0017.8%5.1%21.7%15.7%18.3%2.2%4.9%66.8M-1.36B-6.7M0.697.6026,57118,263880,772747,745
2016-12-21$37.01$35.0017.7%5.1%21.4%15.1%18.7%2.0%5.2%67.2M-1.30B-6.8M1.0411.7527,33228,437889,172756,428
2016-12-22$36.91$35.0018.4%5.0%21.2%18.7%17.9%1.8%5.6%66.4M-1.25B-6.9M0.518.9930,51915,696896,756768,403
2016-12-23$36.93$35.0019.1%4.9%21.1%23.1%17.8%1.7%5.8%65.7M-1.25B-6.7M0.556.2222,50812,352899,046771,444
2016-12-27$37.10$35.0022.9%5.1%21.1%44.0%18.4%2.5%0.5%63.5M-1.28B-6.6M0.1918.9853,02210,255889,896768,458
2016-12-28$36.63$35.0024.7%5.2%21.7%53.7%17.3%3.1%0.3%55.6M-1.04B-6.7M0.3314.6342,73414,189869,563770,308
2016-12-29$36.66$35.0024.5%5.2%20.9%52.7%18.0%3.5%0.1%59.9M-1.07B-6.5M0.5012.5217,3328,687888,073774,180
2016-12-30$36.30$35.0024.9%5.3%16.4%55.2%20.3%3.8%0.2%53.3M-899.9M-6.5M0.9714.8721,63621,034887,878776,253