INTC Options History — September 2017

In September 2017, INTC traded between $35.02 and $38.08. ATM implied volatility averaged 16.0%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.8% (HV 20d: 12.1%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2017-09-06: Highest Volume — 125,951 contracts
2017-09-25: Largest IV spike — 18.6% change
2017-09-26: Highest IV Rank — 44.9%
2017-09-08: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.60	$35.02	$38.08	$35.10	$38.08
Max Pain	$35.67	$35.00	$36.00	$35.50	$36.00
ATM IV	16.0%	14.4%	19.5%	14.4%	18.2%
Expected Move	4.3%	3.8%	4.6%	3.8%	3.9%
HV 20d	12.1%	10.4%	13.8%	10.6%	11.7%
HV 60d	14.6%	11.8%	15.3%	15.3%	11.8%
IV Rank	17.7%	5.3%	44.9%	5.5%	35.0%
IV Percentile	27.8%	8.3%	62.3%	9.9%	53.2%
Term Structure	1.0%	-1.1%	5.1%	0.8%	-0.6%
VWIV	15.1%	13.1%	17.3%	13.1%	13.7%
Skew 25d	1.8%	0.9%	2.8%	2.8%	1.4%
Skew 10d	3.6%	1.9%	6.5%	6.5%	2.3%
Call IV 25d	15.4%	13.0%	20.0%	13.0%	18.1%
Put IV 25d	17.2%	14.7%	21.7%	15.9%	19.4%
Bid-Ask Spread %	4.69	2.37	14.01	2.80	3.48
Gamma HHI	0.15	0.12	0.21	0.13	0.19
Net GEX	52.0M	261.8K	102.6M	4.5M	102.6M
Net DEX	-637.9M	-1.36B	146.4M	86.4M	-1.36B
Net VEX	-8.1M	-8.3M	-7.8M	-8.1M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.30	1.38	0.57	0.36
Total Volume	67,758.6	27,768	125,951	27,768	84,092
Total OI	1,532,404.95	1,416,383	1,606,164	1,551,767	1,570,464

Daily Data (20 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
2017-09-01	$35.10	$35.50	14.4%	3.8%	10.6%	5.5%	13.1%	2.8%	0.8%	4.5M	86.4M	-8.1M	0.57	2.80	17,730	10,038	783,001	768,766
2017-09-05	$35.02	$35.00	15.5%	4.5%	10.4%	14.2%	17.1%	2.2%	0.5%	261.8K	146.4M	-7.9M	1.38	4.69	25,715	35,434	776,168	761,499
2017-09-06	$35.77	$35.00	15.4%	4.5%	13.2%	13.1%	17.3%	2.3%	0.1%	37.7M	-270.6M	-8.1M	0.78	6.90	70,787	55,164	785,545	759,051
2017-09-07	$35.56	$35.00	15.8%	4.5%	13.1%	16.1%	16.7%	1.8%	-0.2%	46.9M	-183.6M	-8.0M	0.72	8.91	25,589	18,433	808,150	752,858
2017-09-08	$35.24	$35.00	16.0%	4.6%	12.9%	17.9%	16.4%	2.5%	0.2%	11.5M	-1.2M	-7.8M	0.70	4.58	24,648	17,274	815,495	758,145
2017-09-11	$35.77	$35.00	15.1%	4.4%	13.8%	10.8%	15.7%	2.5%	0.4%	48.2M	-251.9M	-7.9M	0.30	3.39	57,453	16,965	786,906	749,457
2017-09-12	$36.04	$35.00	15.3%	4.4%	13.4%	12.2%	15.4%	1.9%	-0.1%	67.9M	-471.5M	-8.0M	0.43	3.07	45,388	19,475	811,650	753,279
2017-09-13	$36.32	$36.00	14.4%	4.3%	13.3%	5.3%	14.8%	1.7%	0.6%	64.8M	-591.3M	-8.0M	0.38	3.69	35,887	13,774	825,886	757,908
2017-09-14	$36.48	$36.00	14.6%	4.2%	13.1%	7.3%	14.2%	1.8%	-0.0%	68.0M	-681.5M	-8.2M	0.78	2.96	62,688	48,669	835,171	761,814
2017-09-15	$36.99	$36.00	14.6%	4.2%	12.5%	7.1%	15.1%	1.4%	0.3%	44.2M	-962.8M	-8.2M	0.38	5.56	64,581	24,825	839,070	767,094
2017-09-18	$37.07	$36.00	14.5%	4.2%	12.4%	6.3%	14.8%	0.9%	3.6%	49.4M	-798.1M	-8.1M	0.81	2.95	48,494	39,229	745,516	670,867
2017-09-19	$37.20	$36.00	14.4%	4.1%	11.7%	5.7%	14.6%	1.2%	3.9%	52.1M	-858.7M	-8.2M	0.36	2.50	51,688	18,444	760,865	680,930
2017-09-20	$37.06	$36.00	14.8%	4.2%	11.5%	8.4%	15.2%	1.1%	3.5%	52.1M	-805.4M	-8.3M	0.95	5.77	38,814	36,885	780,446	681,013
2017-09-21	$37.20	$36.00	15.0%	4.1%	11.5%	10.4%	13.7%	1.8%	4.6%	57.2M	-874.1M	-8.3M	0.58	3.29	41,118	23,808	795,131	694,178
2017-09-22	$37.19	$36.00	15.6%	3.9%	11.5%	14.7%	13.5%	1.7%	5.1%	58.5M	-878.8M	-8.3M	0.71	4.60	30,596	21,602	810,557	701,825
2017-09-25	$37.16	$36.00	18.5%	4.3%	11.5%	37.1%	15.4%	2.4%	-1.1%	59.4M	-834.9M	-8.2M	1.19	3.42	28,326	33,732	806,944	689,685
2017-09-26	$37.47	$36.00	19.5%	4.5%	11.5%	44.9%	15.8%	1.6%	-0.3%	63.4M	-995.1M	-8.3M	0.51	14.01	41,740	21,428	819,527	700,443
2017-09-27	$37.49	$36.00	19.3%	4.2%	11.5%	43.7%	14.9%	1.1%	-0.8%	71.1M	-1.02B	-8.2M	0.45	4.80	39,491	17,620	831,037	702,205
2017-09-28	$37.71	$36.00	18.6%	4.1%	11.5%	38.1%	14.8%	1.8%	-0.5%	80.8M	-1.15B	-8.2M	0.40	2.37	34,061	13,487	843,215	706,338
2017-09-29	$38.08	$36.00	18.2%	3.9%	11.7%	35.0%	13.7%	1.4%	-0.6%	102.6M	-1.36B	-8.1M	0.36	3.48	61,958	22,134	858,654	711,810