INTC Options History — February 2017

In February 2017, INTC traded between $35.31 and $36.59. ATM implied volatility averaged 15.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.2% (HV 20d: 16.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2017-02-09: Highest Volume — 110,905 contracts
2017-02-10: Largest IV drop — 7.9% change
2017-02-28: Highest IV Rank — 11.6%
2017-02-01: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.18	$35.31	$36.59	$36.57	$36.12
Max Pain	$37.37	$37.00	$38.00	$37.00	$37.00
ATM IV	15.8%	14.4%	16.9%	16.6%	16.4%
Expected Move	4.6%	4.1%	5.1%	5.1%	4.6%
HV 20d	16.0%	13.8%	17.9%	13.9%	15.5%
HV 60d	16.7%	15.8%	17.0%	17.0%	16.7%
IV Rank	6.6%	0.0%	11.6%	9.5%	11.6%
IV Percentile	6.1%	0.0%	14.3%	9.9%	14.3%
Term Structure	0.3%	-0.1%	1.0%	0.1%	0.1%
VWIV	15.4%	11.1%	17.9%	17.9%	16.2%
Skew 25d	1.9%	1.5%	2.5%	2.5%	2.1%
Skew 10d	4.1%	3.1%	5.3%	4.3%	4.3%
Call IV 25d	15.2%	14.1%	16.1%	15.8%	15.6%
Put IV 25d	17.1%	15.9%	18.4%	18.3%	17.7%
Bid-Ask Spread %	14.04	5.99	24.28	20.90	24.28
Gamma HHI	0.13	0.10	0.18	0.17	0.11
Net GEX	20.6M	-18.7M	48.5M	38.9M	15.9M
Net DEX	-54.2M	-219.6M	348.1M	-219.6M	-44.4M
Net VEX	-6.6M	-6.9M	-5.9M	-6.6M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.39	1.44	1.00	1.10
Total Volume	63,527.368	33,482	110,905	72,655	48,864
Total OI	1,244,213.421	1,109,158	1,354,522	1,243,581	1,176,128

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$36.57	$37.00	16.6%	5.1%	13.9%	9.5%	17.9%	2.5%	0.1%	38.9M	-219.6M	-6.6M	1.00	20.90	36,317	36,338	709,935	533,646
2017-02-02	$36.59	$37.00	16.9%	4.8%	13.9%	10.7%	14.4%	2.3%	-0.0%	37.5M	-216.6M	-6.7M	0.60	5.99	50,909	30,557	727,788	556,646
2017-02-03	$36.51	$38.00	16.1%	4.6%	13.8%	6.6%	11.1%	2.0%	0.2%	22.8M	-149.3M	-6.7M	1.44	14.49	24,800	35,789	723,439	575,263
2017-02-06	$36.19	$38.00	16.8%	4.9%	14.0%	10.1%	13.7%	1.7%	0.3%	26.3M	-51.8M	-6.4M	1.24	6.25	27,375	33,911	703,794	561,615
2017-02-07	$36.30	$38.00	16.2%	4.8%	14.0%	7.2%	13.2%	1.9%	0.6%	30.7M	-78.8M	-6.4M	0.89	7.39	28,866	25,578	715,426	573,088
2017-02-08	$36.44	$38.00	16.3%	4.9%	14.1%	7.4%	17.1%	1.7%	0.9%	40.0M	-145.5M	-6.5M	0.58	13.08	21,207	12,275	728,509	575,475
2017-02-09	$35.44	$38.00	16.6%	5.0%	16.8%	9.3%	17.0%	1.9%	1.0%	-727.8K	229.6M	-6.0M	0.93	18.25	57,413	53,492	734,627	576,005
2017-02-10	$35.31	$38.00	15.3%	4.5%	16.7%	1.9%	15.5%	2.1%	0.5%	-18.7M	348.1M	-5.9M	0.99	12.71	50,659	50,245	753,385	601,137
2017-02-13	$35.83	$38.00	14.7%	4.2%	17.6%	0.0%	14.9%	1.9%	0.6%	4.5M	104.2M	-6.2M	0.39	12.59	72,434	28,586	665,023	576,351
2017-02-14	$35.94	$37.00	14.4%	4.1%	17.7%	0.0%	15.0%	1.9%	0.4%	9.3M	55.9M	-6.4M	0.91	7.44	29,137	26,640	665,361	588,024
2017-02-15	$36.02	$37.00	15.1%	4.3%	17.7%	4.2%	16.3%	2.2%	0.2%	11.7M	45.9M	-6.6M	1.37	13.87	21,610	29,643	673,293	604,044
2017-02-16	$36.31	$37.00	15.4%	4.4%	17.9%	5.9%	15.7%	1.5%	-0.0%	17.5M	-88.0M	-6.8M	0.66	9.57	42,797	28,337	679,248	619,607
2017-02-17	$36.38	$37.00	15.0%	4.3%	17.8%	3.9%	15.1%	1.8%	-0.1%	14.1M	-117.7M	-6.9M	0.42	8.64	35,403	14,856	697,347	628,819
2017-02-21	$36.48	$37.00	15.4%	4.3%	17.8%	6.2%	15.5%	1.6%	0.3%	26.6M	-205.8M	-6.8M	0.52	15.90	25,041	13,140	569,612	539,546
2017-02-22	$36.02	$37.00	16.2%	4.6%	16.2%	10.5%	16.9%	2.0%	0.1%	20.3M	-36.4M	-6.8M	0.99	22.69	34,095	33,907	581,424	544,335
2017-02-23	$36.09	$37.00	15.8%	4.4%	16.1%	8.1%	16.3%	1.9%	0.1%	22.8M	-55.8M	-6.7M	0.81	11.68	25,183	20,288	592,401	563,783
2017-02-24	$36.47	$37.00	15.2%	4.2%	16.7%	4.8%	14.9%	1.9%	0.4%	48.5M	-216.6M	-6.9M	0.60	18.60	30,153	17,970	602,105	568,179
2017-02-27	$36.46	$37.00	15.7%	4.5%	16.0%	7.8%	16.0%	2.0%	0.0%	23.7M	-187.6M	-6.8M	1.14	22.49	24,809	28,396	590,086	565,561
2017-02-28	$36.12	$37.00	16.4%	4.6%	15.5%	11.6%	16.2%	2.1%	0.1%	15.9M	-44.4M	-6.8M	1.10	24.28	23,290	25,574	600,068	576,060