This is true, and holds for any non-empty family of sets $A_i, i \in I$:
$\operatorname{Int}(\bigcap_{i \in I} A_i) \subseteq \operatorname{Int} A_{i_0} = O$ for any $i_0 \in I$.
On the other hand, we know that $O \subseteq A_i$ for all $i$, so $O \subseteq \bigcap_{i \in I} A_i$, and so $O \subseteq \operatorname{Int}(\bigcap_{i \in I} A_i)$, as $O$ is open, and the interior is the largest open set inside a set.
You can also deduce it from this dual fact, by considering $B_i = X \setminus A_i$ and noting that $\operatorname{Cl}(B_i) = X \setminus \operatorname{Int}(A_i) = X \setminus O$, and $\bigcup_i B_i = X \setminus \bigcap_i A_i$ by de Morgan.