INTC Options History — September 2020 In September 2020, INTC traded between $48.94 and $52.57. ATM implied volatility averaged 35.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.2% (HV 20d: 26.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.47.
Notable Days 2020-09-02 : Highest Volume — 969,220 contracts2020-09-21 : Largest IV spike — 17.7% change2020-09-23 : Highest IV Rank — 35.3%2020-09-03 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $50.16 $48.94 $52.57 $50.68 $51.73 Max Pain $49.76 $47.50 $50.00 $47.50 $50.00 ATM IV 35.0% 27.1% 43.5% 32.9% 36.8% Expected Move 8.7% 7.6% 10.7% 9.4% 7.6% HV 20d 26.8% 18.3% 29.2% 18.3% 28.9% HV 60d 43.6% 43.2% 45.0% 43.6% 43.7% IV Rank 23.0% 11.7% 35.3% 20.0% 25.6% IV Percentile 62.4% 29.4% 85.7% 59.5% 69.8% Term Structure 2.0% -2.4% 11.1% -0.2% 0.3% VWIV 31.2% 27.1% 38.9% 34.7% 27.1% Skew 25d 1.6% -3.4% 5.2% -1.1% 5.2% Skew 10d 3.0% -4.1% 8.0% -4.1% 4.5% Call IV 25d 34.8% 27.5% 43.5% 34.2% 37.0% Put IV 25d 36.5% 28.6% 46.1% 33.1% 42.2% Bid-Ask Spread % 2.84 1.73 6.79 2.32 3.84 Gamma HHI 0.07 0.05 0.13 0.05 0.07 Net GEX 33.9M -257.1K 92.1M 49.6M 44.4M Net DEX 61.7M -1.78B 846.5M -478.0M -505.1M Net VEX -18.2M -20.5M -17.2M -19.1M -17.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.11 0.77 0.39 0.67 Total Volume 205,160.571 80,611 969,220 372,542 146,465 Total OI 2,778,324.762 2,286,182 3,142,857 2,893,025 2,376,664
Daily Data (21 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 2020-09-01 $50.68 $47.50 32.9% 9.4% 18.3% 20.0% 34.7% -1.1% -0.2% 49.6M -478.0M -19.1M 0.39 2.32 267,176 105,366 1,660,890 1,232,135 2020-09-02 $52.57 $47.50 36.4% 10.5% 22.0% 25.1% 38.9% -3.4% -1.7% 92.1M -1.78B -20.2M 0.11 3.98 872,754 96,466 1,693,696 1,258,212 2020-09-03 $50.34 $50.00 37.0% 10.7% 27.4% 25.9% 38.2% 0.1% 0.6% 56.3M -297.4M -20.5M 0.20 2.95 340,165 66,785 1,810,588 1,296,783 2020-09-04 $50.36 $50.00 35.4% 10.1% 27.1% 23.7% 36.5% 1.3% -0.1% 58.5M -270.8M -20.3M 0.39 6.79 241,968 94,760 1,831,466 1,311,391 2020-09-08 $49.06 $50.00 36.2% 10.1% 27.5% 24.8% 37.0% 0.5% -0.9% 23.7M 560.5M -18.9M 0.48 2.68 121,248 57,887 1,739,970 1,256,224 2020-09-09 $49.68 $50.00 31.4% 9.0% 27.1% 17.9% 32.1% 1.1% -0.2% 32.7M 278.2M -18.5M 0.36 2.31 108,348 39,374 1,759,772 1,268,650 2020-09-10 $49.09 $50.00 30.5% 8.7% 26.9% 16.6% 30.8% 1.7% -0.3% 16.9M 672.5M -18.1M 0.45 2.43 126,844 56,979 1,778,468 1,281,887 2020-09-11 $49.34 $50.00 29.2% 8.3% 26.7% 14.7% 29.7% 2.6% -0.4% 24.2M 530.7M -18.2M 0.47 1.73 108,337 50,809 1,797,407 1,299,640 2020-09-14 $49.50 $50.00 27.5% 7.9% 26.7% 12.3% 28.5% 1.3% 10.5% 23.1M 420.2M -17.4M 0.54 1.82 85,853 46,589 1,715,110 1,282,087 2020-09-15 $50.05 $50.00 27.1% 7.8% 27.0% 11.7% 27.8% 1.1% 9.7% 39.7M 14.9M -17.9M 0.49 2.55 99,730 48,534 1,730,606 1,296,676 2020-09-16 $50.66 $50.00 28.3% 8.1% 27.1% 13.5% 29.2% 0.9% 9.9% 50.5M -447.4M -18.1M 0.50 2.17 81,062 40,802 1,743,886 1,312,504 2020-09-17 $50.28 $50.00 31.1% 8.3% 27.2% 17.4% 29.5% 1.3% 9.5% 44.0M -204.5M -18.1M 0.77 2.11 63,961 49,403 1,747,657 1,313,672 2020-09-18 $49.74 $50.00 32.0% 8.1% 26.7% 18.7% 28.7% 0.5% 11.1% 42.5M 263.9M -17.6M 0.66 2.19 94,762 62,434 1,759,229 1,327,831 2020-09-21 $49.61 $50.00 37.6% 8.5% 26.6% 26.9% 30.2% 0.4% -1.9% 7.6M 540.9M -17.5M 0.51 2.63 90,436 45,947 1,234,200 1,051,982 2020-09-22 $50.07 $50.00 39.4% 8.3% 26.8% 29.4% 29.4% 4.1% -1.1% 15.7M 339.9M -17.7M 0.49 2.76 54,032 26,579 1,254,020 1,070,711 2020-09-23 $48.94 $50.00 43.5% 9.1% 27.9% 35.3% 32.2% 2.1% -1.9% -257.1K 846.5M -17.4M 0.54 2.95 65,343 35,160 1,272,900 1,085,359 2020-09-24 $49.12 $50.00 42.5% 8.9% 27.9% 33.8% 31.1% 5.1% -2.4% 1.1M 841.0M -17.2M 0.47 3.44 66,434 31,421 1,290,094 1,099,876 2020-09-25 $50.05 $50.00 39.4% 7.8% 28.8% 29.4% 27.4% 4.3% -0.3% 26.6M 381.2M -17.4M 0.43 2.97 68,810 29,815 1,302,460 1,103,769 2020-09-28 $51.25 $50.00 39.6% 7.9% 29.2% 29.7% 27.7% 2.9% 1.5% 28.5M -193.1M -17.5M 0.36 2.63 99,859 35,915 1,255,296 1,075,270 2020-09-29 $51.25 $50.00 40.3% 8.0% 28.9% 30.6% 28.7% 2.3% 0.8% 34.4M -220.1M -17.5M 0.51 2.44 55,647 28,113 1,277,889 1,087,893 2020-09-30 $51.73 $50.00 36.8% 7.6% 28.9% 25.6% 27.1% 5.2% 0.3% 44.4M -505.1M -17.4M 0.67 3.84 87,871 58,594 1,287,826 1,088,838
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