INTC Options History — January 2017

In January 2017, INTC traded between $36.34 and $37.99. ATM implied volatility averaged 22.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 9.6% (HV 20d: 12.7%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-01-27: Highest Volume — 170,889 contracts
  • 2017-01-27: Largest IV drop — 32.0% change
  • 2017-01-04: Highest IV Rank — 64.4%
  • 2017-01-26: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.91$36.34$37.99$36.53$36.82
Max Pain$35.60$35.00$37.00$35.00$37.00
ATM IV22.2%15.6%26.6%26.4%16.7%
Expected Move6.2%4.7%7.3%5.5%5.1%
HV 20d12.7%8.8%16.0%15.9%13.8%
HV 60d18.6%16.4%21.0%21.0%17.6%
IV Rank41.0%3.5%64.4%63.3%10.0%
IV Percentile53.1%2.8%86.1%84.9%10.3%
Term Structure-0.9%-1.9%0.2%-1.2%0.1%
VWIV22.0%17.2%26.1%19.7%18.4%
Skew 25d3.2%2.2%4.3%4.3%2.5%
Skew 10d6.4%3.6%8.5%8.5%4.8%
Call IV 25d20.9%15.2%24.9%24.2%16.2%
Put IV 25d24.1%17.4%28.6%28.5%18.7%
Bid-Ask Spread %13.465.7028.6228.6213.38
Gamma HHI0.200.140.400.140.20
Net GEX76.7M44.1M138.3M59.1M50.4M
Net DEX-950.3M-1.28B-337.1M-998.9M-337.1M
Net VEX-6.3M-6.7M-6.0M-6.3M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.291.020.341.02
Total Volume77,683.841,687170,88941,68771,294
Total OI1,587,529.35997,9901,913,4661,663,2681,226,643

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$36.53$35.0026.4%5.5%15.9%63.3%19.7%4.3%-1.2%59.1M-998.9M-6.3M0.3428.6231,08510,602883,634779,634
2017-01-04$36.46$35.0026.6%5.4%16.0%64.4%19.6%3.8%-1.2%62.5M-990.9M-6.3M0.4217.7678,34932,625894,576783,281
2017-01-05$36.34$35.0026.1%7.1%16.0%61.6%24.5%3.5%-1.3%67.4M-964.3M-6.4M0.906.1225,28822,744960,506808,572
2017-01-06$36.57$35.0025.3%6.6%14.3%57.1%24.9%3.4%-1.1%77.7M-1.08B-6.5M0.355.7031,85511,220969,277819,075
2017-01-09$36.66$35.0025.5%6.8%14.2%58.5%24.0%3.3%-1.6%77.6M-1.13B-6.3M0.5711.8929,79216,907966,136817,924
2017-01-10$36.59$35.0024.7%6.6%14.2%55.4%23.5%2.9%-1.7%79.8M-1.09B-6.2M0.8412.4352,34343,808977,258825,569
2017-01-11$36.89$35.0023.8%6.6%14.3%50.4%22.8%3.7%-0.7%87.6M-1.28B-6.3M0.706.9924,80917,3711,010,979854,773
2017-01-12$36.65$35.0023.8%6.4%12.5%50.4%21.9%4.0%-1.9%86.6M-1.13B-6.3M0.489.4630,41214,7241,012,322856,852
2017-01-13$36.78$35.0022.1%6.1%12.5%40.9%22.0%3.5%-1.5%97.2M-1.15B-6.2M0.868.2030,42126,2071,021,679862,247
2017-01-17$36.72$36.0022.4%6.4%12.4%42.3%22.8%3.9%-0.5%89.5M-1.09B-6.0M0.299.2157,18516,8101,011,460865,200
2017-01-18$36.78$36.0021.5%6.2%10.7%37.4%22.5%3.6%-1.1%89.5M-1.17B-6.0M0.407.9432,54313,1781,026,022872,864
2017-01-19$36.56$36.0021.4%6.2%9.2%36.9%23.1%3.5%-0.6%74.5M-1.03B-6.0M0.529.8333,35117,2211,031,851876,134
2017-01-20$36.71$36.0020.4%5.9%8.8%30.9%21.4%3.6%-0.9%82.1M-1.07B-6.0M0.348.5355,78219,1081,029,420884,046
2017-01-23$36.82$36.0020.4%6.3%8.8%31.3%21.8%3.1%-0.9%44.1M-456.2M-6.0M0.4715.2275,92935,648570,813427,177
2017-01-24$37.64$36.0021.5%6.7%11.7%37.1%23.0%2.3%-1.1%64.2M-804.5M-6.3M0.5719.2065,10937,232624,513448,244
2017-01-25$37.78$36.0021.1%6.6%11.8%34.9%23.5%2.7%-1.0%69.1M-863.0M-6.4M0.5323.1559,39031,669655,097471,942
2017-01-26$37.56$36.0022.9%7.3%12.0%45.4%26.1%2.2%-1.0%60.5M-775.4M-6.7M0.9018.6080,66572,693676,088498,072
2017-01-27$37.99$36.0015.6%4.7%11.4%3.5%17.2%2.2%0.2%138.3M-975.0M-6.5M0.6119.61106,23264,657714,362538,988
2017-01-30$37.43$36.0016.3%4.9%12.9%7.6%17.5%2.4%0.2%77.3M-628.3M-6.7M0.7217.4644,94432,474687,529509,828
2017-01-31$36.82$37.0016.7%5.1%13.8%10.0%18.4%2.5%0.1%50.4M-337.1M-6.7M1.0213.3835,33735,957703,525523,118