INTC Options History — September 2021

In September 2021, INTC traded between $52.77 and $55.09. ATM implied volatility averaged 26.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.8% (HV 20d: 15.7%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-09-10: Highest Volume — 185,867 contracts
  • 2021-09-20: Largest IV spike — 30.2% change
  • 2021-09-30: Highest IV Rank — 54.8%
  • 2021-09-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.93$52.77$55.09$53.68$53.50
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV26.5%20.4%34.2%20.9%34.2%
Expected Move6.5%5.7%7.9%5.7%7.2%
HV 20d15.7%14.4%18.5%15.1%16.0%
HV 60d21.1%20.5%21.7%21.5%20.5%
IV Rank24.1%0.0%54.8%1.0%54.8%
IV Percentile26.5%0.0%60.7%0.4%60.7%
Term Structure2.0%-1.5%9.5%0.2%0.0%
VWIV23.1%20.4%29.9%20.4%25.5%
Skew 25d3.7%1.8%7.0%2.2%5.0%
Skew 10d8.2%2.3%17.4%5.1%11.0%
Call IV 25d25.4%20.0%32.3%20.6%32.0%
Put IV 25d29.1%22.0%39.3%22.8%37.0%
Bid-Ask Spread %2.351.742.902.502.36
Gamma HHI0.070.070.080.070.07
Net GEX-3.7M-24.9M39.6M-394.3K-15.7M
Net DEX255.7M-249.7M593.8M430.4M393.1M
Net VEX-19.0M-19.5M-18.4M-19.2M-18.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.381.130.450.78
Total Volume94,157.66760,844185,86761,28979,006
Total OI2,331,498.192,091,6922,537,1212,396,1252,261,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$53.68$55.0020.9%5.7%15.1%1.0%20.4%2.2%0.2%-394.3K430.4M-19.2M0.452.5042,23519,0541,274,7231,121,402
2021-09-02$53.62$55.0020.9%6.3%15.0%0.7%22.0%2.3%0.6%-5.7M457.4M-18.8M1.092.0440,10143,8951,283,6811,127,958
2021-09-03$53.53$55.0020.4%6.2%14.9%0.0%21.3%2.0%0.0%-20.8M525.6M-19.1M0.681.7450,19134,0791,287,0711,133,173
2021-09-07$53.62$55.0021.1%6.4%14.9%2.8%22.1%1.8%1.1%-16.8M421.6M-18.8M0.492.1160,12029,4431,251,8351,110,085
2021-09-08$53.51$55.0021.8%6.5%14.9%5.3%22.5%3.0%1.2%-22.4M506.1M-18.9M0.732.3548,28535,3351,266,9431,128,061
2021-09-09$53.55$55.0021.9%6.5%14.8%5.7%22.4%3.0%1.2%-17.3M511.4M-19.0M1.132.2541,34846,5831,285,8501,138,904
2021-09-10$53.93$55.0022.1%6.3%14.4%6.7%23.1%2.9%-0.1%-2.9M292.6M-19.2M0.612.90115,74570,1221,297,2261,153,921
2021-09-13$54.89$55.0022.9%6.6%15.6%10.0%23.5%3.1%7.3%23.6M-133.7M-19.1M0.511.9181,94641,5231,278,3651,134,792
2021-09-14$54.41$55.0023.3%6.6%15.9%11.3%23.4%4.0%8.6%11.3M130.3M-19.5M0.972.3859,37057,4651,301,8831,153,785
2021-09-15$55.09$55.0022.0%6.3%15.2%6.4%22.6%2.8%8.3%39.6M-249.7M-19.3M0.732.2436,68126,8451,322,5541,167,302
2021-09-16$54.89$55.0023.5%6.2%15.3%12.3%22.7%2.5%8.9%18.4M-114.5M-19.3M0.472.2862,79929,6871,330,1501,189,920
2021-09-17$54.16$55.0025.4%6.3%16.3%19.9%22.8%3.2%9.5%3.3M301.3M-19.1M0.742.2170,97252,3411,337,5191,199,602
2021-09-20$52.77$55.0033.1%7.9%18.5%50.4%29.9%7.0%-1.1%-21.2M593.8M-18.8M0.952.7183,73379,4821,063,8321,027,860
2021-09-21$53.03$55.0032.5%7.3%16.2%48.3%24.8%6.4%-1.2%-24.9M545.7M-18.4M0.552.7149,12627,0531,079,9541,042,927
2021-09-22$53.55$55.0031.4%6.5%16.2%43.7%22.4%5.4%-1.1%-23.9M371.3M-18.7M0.462.8141,65419,1901,111,6501,067,532
2021-09-23$54.01$55.0030.8%6.1%16.5%41.3%21.0%4.5%-1.1%-15.9M198.3M-18.8M0.472.6948,72923,1361,127,5191,072,608
2021-09-24$54.34$55.0030.8%5.8%15.9%41.3%20.6%3.8%-1.5%480.3K1.4M-19.0M0.742.5448,19035,6931,143,9121,080,393
2021-09-27$54.68$55.0030.9%6.2%15.6%41.8%21.2%3.9%-0.3%15.9M-142.2M-19.1M0.382.1754,62620,4871,129,3771,039,977
2021-09-28$54.16$55.0033.2%7.2%15.9%50.9%25.0%4.2%0.5%4.3M36.6M-19.0M0.682.3044,43230,3311,147,6591,055,950
2021-09-29$53.61$55.0033.2%7.2%16.3%51.0%25.8%4.8%-0.1%-7.8M293.1M-18.7M0.652.2758,30237,9761,169,0121,062,635
2021-09-30$53.50$55.0034.2%7.2%16.0%54.8%25.5%5.0%0.0%-15.7M393.1M-18.6M0.782.3644,28734,7191,184,6261,077,334