INTC Options History — December 2020

In December 2020, INTC traded between $46.09 and $51.95. ATM implied volatility averaged 33.4%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.0% (HV 20d: 30.5%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2020-12-29: Highest Volume — 433,761 contracts
2020-12-18: Largest IV spike — 14.5% change
2020-12-30: Highest IV Rank — 29.6%
2020-12-18: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.31	$46.09	$51.95	$49.59	$49.84
Max Pain	$51.48	$50.00	$52.50	$50.00	$50.00
ATM IV	33.4%	26.4%	41.9%	26.4%	41.8%
Expected Move	8.7%	8.0%	9.4%	8.0%	9.3%
HV 20d	30.5%	23.6%	40.0%	23.9%	39.6%
HV 60d	35.4%	33.1%	38.4%	33.5%	38.4%
IV Rank	19.5%	10.7%	29.6%	10.7%	29.5%
IV Percentile	49.4%	17.5%	83.3%	17.5%	82.9%
Term Structure	2.0%	-1.0%	8.8%	1.8%	-0.3%
VWIV	31.5%	28.8%	34.5%	28.8%	34.5%
Skew 25d	0.7%	-1.8%	2.5%	1.1%	-1.8%
Skew 10d	1.8%	-3.9%	5.6%	2.3%	-3.9%
Call IV 25d	34.0%	26.7%	44.0%	26.8%	44.0%
Put IV 25d	34.7%	27.5%	43.4%	27.9%	42.2%
Bid-Ask Spread %	4.19	2.00	19.21	3.85	2.39
Gamma HHI	0.08	0.06	0.18	0.07	0.18
Net GEX	20.4M	-49.4M	79.9M	20.7M	79.9M
Net DEX	98.1M	-1.18B	1.42B	-21.4M	-370.7M
Net VEX	-16.7M	-17.5M	-15.4M	-16.3M	-17.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.22	1.00	0.26	0.31
Total Volume	183,676.136	66,050	433,761	252,516	220,779
Total OI	2,569,972.091	2,385,952	2,690,143	2,385,952	2,671,635

Daily Data (22 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
2020-12-01	$49.59	$50.00	26.4%	8.0%	23.9%	10.7%	28.8%	1.1%	1.8%	20.7M	-21.4M	-16.3M	0.26	3.85	200,528	51,988	1,234,654	1,151,298
2020-12-02	$49.92	$50.00	26.9%	8.2%	23.6%	11.5%	29.2%	1.0%	1.9%	25.6M	-186.2M	-16.7M	0.37	3.80	80,836	30,063	1,267,563	1,153,637
2020-12-03	$50.90	$50.00	26.8%	8.3%	23.8%	11.2%	29.0%	0.8%	1.7%	30.5M	-668.1M	-16.9M	0.42	3.43	180,171	75,565	1,278,006	1,157,966
2020-12-04	$51.95	$50.00	27.3%	8.1%	24.1%	11.9%	29.1%	0.3%	1.7%	63.7M	-1.18B	-17.4M	0.27	2.30	204,171	54,620	1,331,559	1,190,810
2020-12-07	$49.92	$52.50	29.6%	8.7%	29.1%	15.4%	31.3%	1.3%	0.5%	18.3M	-1.3M	-17.0M	1.00	6.22	145,000	144,387	1,314,612	1,184,508
2020-12-08	$50.59	$52.50	28.6%	8.4%	29.0%	13.8%	30.3%	1.4%	0.8%	31.1M	-335.6M	-17.3M	0.67	2.00	75,213	50,140	1,352,610	1,236,942
2020-12-09	$50.03	$52.50	29.8%	8.7%	28.8%	15.6%	31.2%	1.4%	0.4%	23.0M	-155.8M	-17.5M	0.49	4.03	57,551	28,185	1,379,226	1,243,260
2020-12-10	$50.51	$52.50	29.9%	8.8%	28.5%	15.7%	31.2%	1.4%	0.8%	31.7M	-275.4M	-17.3M	0.64	2.75	43,590	27,986	1,358,578	1,252,366
2020-12-11	$49.74	$52.50	30.1%	8.7%	25.4%	16.0%	31.5%	1.8%	0.2%	9.2M	132.9M	-17.1M	0.41	3.00	92,307	37,592	1,360,158	1,253,591
2020-12-14	$50.57	$52.50	30.6%	8.8%	25.4%	16.7%	31.2%	1.9%	7.5%	25.9M	-315.4M	-17.0M	0.22	2.62	141,989	31,616	1,343,164	1,237,350
2020-12-15	$50.66	$52.50	30.3%	8.7%	25.3%	16.3%	31.1%	1.8%	7.9%	35.6M	-397.9M	-16.9M	0.32	2.81	64,098	20,752	1,405,565	1,243,940
2020-12-16	$51.33	$52.50	29.0%	8.3%	24.8%	14.4%	29.8%	2.4%	8.5%	56.5M	-785.3M	-16.7M	0.40	2.98	65,143	25,877	1,419,425	1,249,808
2020-12-17	$50.51	$52.50	31.2%	8.5%	25.6%	17.6%	30.4%	1.3%	8.8%	33.8M	-337.6M	-16.6M	0.71	2.33	146,709	104,296	1,424,330	1,254,991
2020-12-18	$47.59	$52.50	35.8%	9.4%	34.4%	22.4%	34.1%	2.5%	7.0%	-49.4M	1.26B	-15.9M	0.92	19.21	143,629	131,432	1,427,974	1,262,169
2020-12-21	$46.09	$52.50	39.4%	9.3%	36.5%	27.0%	34.3%	1.4%	-0.5%	-29.1M	1.42B	-15.4M	0.74	7.15	161,924	119,109	1,297,447	1,131,664
2020-12-22	$46.09	$52.50	39.6%	9.0%	36.2%	26.2%	33.1%	0.5%	-0.9%	-22.8M	1.33B	-15.6M	0.46	4.18	91,540	42,287	1,361,895	1,156,117
2020-12-23	$46.73	$52.50	40.8%	8.8%	35.8%	28.0%	32.1%	-0.6%	-1.0%	-9.2M	1.06B	-16.1M	0.39	4.04	121,372	47,154	1,397,004	1,169,526
2020-12-24	$46.93	$50.00	39.8%	8.6%	35.8%	26.5%	31.8%	-0.4%	-0.8%	9.6M	949.3M	-16.3M	0.26	4.38	52,270	13,780	1,447,726	1,176,579
2020-12-28	$46.99	$50.00	39.4%	8.7%	35.7%	25.9%	31.5%	-0.4%	-0.4%	-1.2M	935.4M	-15.7M	0.49	3.59	71,267	35,072	1,407,998	1,147,775
2020-12-29	$49.49	$50.00	40.4%	9.4%	40.0%	27.4%	33.8%	-1.8%	-0.6%	39.6M	-126.6M	-17.1M	0.34	2.79	323,316	110,445	1,427,496	1,150,825
2020-12-30	$48.82	$50.00	41.9%	9.2%	38.9%	29.6%	33.2%	-1.0%	-0.7%	25.4M	218.4M	-16.7M	0.51	2.32	115,888	59,238	1,449,439	1,176,200
2020-12-31	$49.84	$50.00	41.8%	9.3%	39.6%	29.5%	34.5%	-1.8%	-0.3%	79.9M	-370.7M	-17.4M	0.31	2.39	168,183	52,596	1,484,855	1,186,780