INTC Options History — January 2021

In January 2021, INTC traded between $49.69 and $61.51. ATM implied volatility averaged 40.5%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 3.4% (HV 20d: 43.9%). Max pain ranged from $47.50 to $53.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2021-01-22: Highest Volume — 792,697 contracts
  • 2021-01-22: Largest IV drop — 22.9% change
  • 2021-01-05: Highest IV Rank — 35.1%
  • 2021-01-21: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.01$49.69$61.51$49.69$55.61
Max Pain$50.18$47.50$53.00$47.50$53.00
ATM IV40.5%33.1%45.5%44.0%37.2%
Expected Move11.1%9.5%12.5%11.5%10.6%
HV 20d43.9%36.1%53.8%38.9%53.1%
HV 60d39.4%35.2%42.4%38.1%40.1%
IV Rank27.5%16.4%35.1%32.8%22.5%
IV Percentile71.7%42.9%86.1%85.7%56.0%
Term Structure-1.4%-2.9%0.1%-2.1%-0.3%
VWIV39.7%34.7%44.0%40.5%38.1%
Skew 25d-0.5%-1.6%1.1%-0.3%1.1%
Skew 10d-0.6%-4.2%4.1%-1.1%2.7%
Call IV 25d41.7%34.5%46.9%45.1%38.0%
Put IV 25d41.2%33.5%46.4%44.8%39.1%
Bid-Ask Spread %3.301.789.682.352.28
Gamma HHI0.090.050.150.090.06
Net GEX50.7M-1.7M85.9M40.9M32.6M
Net DEX-1.68B-4.42B-106.6M-106.6M-1.11B
Net VEX-17.3M-18.3M-16.7M-17.2M-18.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.290.850.460.64
Total Volume310,549.263111,560792,697192,899213,083
Total OI2,443,3251,904,7282,887,6832,612,8122,297,264

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$49.69$47.5044.0%11.5%38.9%32.8%40.5%-0.3%-2.1%40.9M-106.6M-17.2M0.462.35131,80161,0981,454,8751,157,937
2021-01-05$50.44$47.5045.5%11.7%38.5%35.1%41.2%-0.5%-2.0%56.0M-473.3M-17.4M0.585.6270,42341,1371,473,9221,178,057
2021-01-06$51.19$47.5043.6%11.6%36.1%32.3%40.5%-0.5%-2.0%64.5M-798.2M-17.6M0.492.69121,64959,1931,478,3301,192,579
2021-01-07$52.08$47.5043.5%11.1%36.3%32.2%39.7%-1.1%-2.1%85.9M-1.29B-17.0M0.532.30112,83960,2471,497,1051,207,712
2021-01-08$51.74$47.5040.4%10.7%36.2%27.4%37.5%-1.6%-0.9%76.1M-1.05B-16.9M0.479.68160,75275,9391,512,4831,230,801
2021-01-11$51.58$50.0043.7%11.5%36.1%32.3%40.6%0.6%-2.4%61.7M-803.3M-16.9M0.392.62101,52539,8231,427,5981,210,057
2021-01-12$53.28$50.0043.3%11.6%37.2%31.8%40.8%-0.2%-2.2%85.7M-1.62B-16.8M0.292.24242,07669,3251,421,7531,223,451
2021-01-13$57.34$50.0043.8%11.6%44.6%32.6%41.6%-0.8%-2.9%82.2M-3.73B-16.7M0.472.11447,131211,1661,451,3131,238,393
2021-01-14$59.30$50.0044.1%12.0%45.6%33.0%42.8%-1.2%-2.5%73.9M-4.42B-16.9M0.301.78442,297134,1261,461,3561,319,859
2021-01-15$57.80$50.0040.5%11.2%47.0%27.5%40.4%-1.1%-2.0%35.8M-3.70B-16.9M0.856.23156,865133,5901,528,7931,358,890
2021-01-19$58.00$50.0039.2%11.2%46.3%25.7%39.5%0.8%-1.4%47.3M-2.09B-17.0M0.612.5498,69360,5851,011,844892,884
2021-01-20$58.80$50.0040.5%11.6%39.1%27.5%41.3%-0.1%-1.1%51.0M-2.33B-17.3M0.583.16131,61076,4401,038,781912,227
2021-01-21$61.51$50.0043.0%12.5%37.5%31.3%44.0%-1.3%-2.7%67.0M-3.21B-17.3M0.635.39394,928250,6431,097,737950,484
2021-01-22$56.88$52.5033.1%9.5%49.8%16.4%34.7%-1.0%0.1%-1.7M-1.39B-17.3M0.601.97496,378296,3191,260,3621,100,466
2021-01-25$55.09$52.5033.8%9.7%52.0%17.5%37.8%-1.2%-0.1%24.8M-971.1M-17.5M0.542.22212,486115,0761,151,271987,358
2021-01-26$55.22$52.5034.3%9.9%52.0%18.2%35.6%-1.1%-0.1%29.2M-1.02B-17.6M0.672.3792,41661,5791,184,8451,011,298
2021-01-27$53.55$52.5038.6%11.3%53.8%24.6%40.5%0.5%-0.2%7.3M-371.6M-18.0M0.682.78125,31285,7621,197,6591,034,478
2021-01-28$56.16$53.0036.7%10.5%53.3%21.9%37.5%0.4%-0.3%43.8M-1.39B-18.2M0.382.38229,25986,8651,228,7361,040,217
2021-01-29$55.61$53.0037.2%10.6%53.1%22.5%38.1%1.1%-0.3%32.6M-1.11B-18.3M0.642.28130,25082,8331,233,8961,063,368