INTC Options History — June 2017

In June 2017, INTC traded between $33.64 and $36.52. ATM implied volatility averaged 17.1%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.6% (HV 20d: 13.5%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-06-27: Highest Volume — 119,543 contracts
  • 2017-06-09: Largest IV spike — 26.3% change
  • 2017-06-29: Highest IV Rank — 77.6%
  • 2017-06-29: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.17$33.64$36.52$36.07$33.85
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV17.1%13.7%24.3%14.1%23.3%
Expected Move4.6%3.9%5.7%4.0%5.3%
HV 20d13.5%11.4%15.3%11.5%15.3%
HV 60d14.2%13.1%14.9%13.8%14.9%
IV Rank21.3%0.1%77.6%2.6%70.3%
IV Percentile34.8%0.4%86.9%3.2%84.5%
Term Structure0.9%-0.9%4.6%-0.2%-0.1%
VWIV16.5%13.1%20.8%13.7%19.2%
Skew 25d2.9%1.9%4.3%2.3%4.3%
Skew 10d6.3%4.1%9.2%4.7%9.0%
Call IV 25d16.1%13.1%22.5%13.3%21.7%
Put IV 25d19.0%15.1%26.5%15.6%25.9%
Bid-Ask Spread %6.782.5719.148.725.67
Gamma HHI0.150.120.210.130.18
Net GEX-650.3K-37.8M44.9M26.6M-33.2M
Net DEX270.3M-426.7M954.3M-131.6M866.5M
Net VEX-8.9M-9.5M-8.1M-9.2M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.492.510.950.80
Total Volume70,601.22731,238119,54371,72569,177
Total OI1,649,506.0451,497,3661,767,9081,568,7931,767,908

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$36.07$36.0014.1%4.0%11.5%2.6%13.7%2.3%-0.2%26.6M-131.6M-9.2M0.958.7236,77534,950807,415761,378
2017-06-02$36.24$36.0014.0%3.9%11.7%2.0%13.1%2.0%-0.1%31.9M-249.4M-9.4M0.5215.1236,28619,009826,812783,799
2017-06-05$36.32$36.0013.7%4.2%11.7%0.1%15.2%1.9%0.3%40.3M-314.3M-9.4M1.266.9413,82917,409837,446780,204
2017-06-06$36.10$36.0014.4%4.4%11.6%3.9%15.5%2.1%0.3%32.1M-189.7M-9.3M2.179.1321,11445,762841,603783,169
2017-06-07$36.33$36.0014.3%4.4%11.8%3.5%15.0%2.1%0.4%40.8M-321.0M-9.5M1.266.9033,27641,767851,080805,684
2017-06-08$36.52$36.0014.2%4.1%11.4%2.6%16.0%2.1%0.3%44.9M-426.7M-9.5M1.142.9923,66026,939858,888815,500
2017-06-09$35.58$36.0017.9%4.9%14.5%23.5%17.5%3.2%0.1%1.8M134.3M-9.5M0.8119.1438,62231,389869,180818,278
2017-06-12$35.63$36.0018.0%5.0%14.4%24.2%18.2%2.9%-0.9%12.5M108.0M-9.1M1.018.5345,56846,171865,127813,299
2017-06-13$35.92$36.0015.8%4.4%14.6%11.7%16.1%3.3%-0.7%26.8M-50.4M-9.3M1.297.2722,83829,489873,702835,203
2017-06-14$35.42$36.0016.4%4.9%15.3%15.3%18.1%3.1%0.6%-1.3M255.3M-9.0M1.2911.9722,24128,643880,486847,443
2017-06-15$35.29$36.0016.8%4.9%13.6%17.4%18.9%3.4%0.0%-10.6M350.4M-8.8M1.192.8840,19047,945885,568851,910
2017-06-16$35.24$36.0016.2%4.6%13.5%14.0%16.8%3.0%-0.0%-2.6M331.9M-8.8M1.043.6534,37135,881889,126863,930
2017-06-19$35.43$36.0014.0%4.0%13.6%2.0%13.9%2.8%4.6%-460.9K176.9M-8.6M0.822.5730,12224,614753,952743,414
2017-06-20$34.87$36.0016.2%4.6%14.1%14.1%17.0%3.5%3.6%-16.6M401.4M-8.6M1.324.2333,26643,754770,063751,856
2017-06-21$34.55$36.0016.3%4.7%14.3%14.5%16.2%3.3%4.1%-25.4M566.2M-8.4M1.043.6150,73552,813783,570765,467
2017-06-22$34.39$36.0016.7%4.5%13.7%16.6%15.8%2.7%4.5%-28.5M608.8M-8.5M0.493.9263,35231,358805,593793,798
2017-06-23$34.24$36.0017.4%4.6%13.4%21.0%16.3%3.0%4.4%-26.4M675.7M-8.4M1.374.0426,00235,699826,788801,662
2017-06-26$34.10$36.0019.8%4.7%13.4%34.1%16.0%3.4%-0.0%-27.4M680.2M-8.3M0.593.6332,51619,329821,508791,834
2017-06-27$33.78$36.0021.4%5.1%13.6%43.0%17.9%3.4%-0.4%-29.1M790.4M-8.1M2.516.7334,06885,475830,044795,405
2017-06-28$34.17$36.0021.4%4.9%14.6%54.0%17.0%3.0%-0.0%-32.6M729.3M-8.9M0.852.6437,60532,096842,324861,831
2017-06-29$33.64$36.0024.3%5.7%15.2%77.6%20.8%4.0%-0.6%-37.8M954.3M-8.7M1.368.8832,62344,499860,461875,425
2017-06-30$33.85$36.0023.3%5.3%15.3%70.3%19.2%4.3%-0.1%-33.2M866.5M-9.1M0.805.6738,48530,692873,049894,859