INTC Options History — January 2007

In January 2007, INTC traded between $20.35 and $22.30. ATM implied volatility averaged 27.6%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 5.8% (HV 20d: 33.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-01-16: Highest Volume — 610,784 contracts
  • 2007-01-11: Largest IV drop — 26.6% change
  • 2007-01-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.06$20.35$22.30$20.35$20.96
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV27.6%21.9%36.0%28.2%24.6%
Expected Move7.5%6.3%9.8%8.1%7.0%
HV 20d33.4%31.6%35.2%35.2%31.6%
Term Structure-0.5%-5.8%1.8%-1.7%-0.7%
VWIV26.6%22.3%34.1%29.6%25.2%
Skew 25d-1.3%-6.4%2.5%-6.4%-3.5%
Skew 10d-2.7%-10.4%14.5%-10.4%-3.0%
Call IV 25d27.7%23.8%33.9%32.8%27.4%
Put IV 25d26.3%21.8%34.3%26.4%23.9%
Bid-Ask Spread %6.143.7412.953.745.95
Gamma HHI0.360.270.490.390.30
Net GEX21.3M11.2M43.3M15.6M16.3M
Net DEX-927.3M-1.80B-516.9M-516.9M-731.0M
Net VEX-12.0M-13.3M-11.3M-11.3M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.111.320.540.49
Total Volume141,260.449,683610,784106,32084,871
Total OI2,992,129.82,190,8023,714,4323,233,8072,432,485

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$20.35$20.0028.2%8.1%0.0%0.0%29.6%-6.4%-1.7%15.6M-516.9M-11.3M0.543.7468,85537,4652,066,4871,167,320
2007-01-04$21.17$20.0034.3%9.8%0.0%0.0%34.1%0.4%-5.8%25.4M-1.03B-11.9M0.445.67118,85852,4622,083,5521,185,345
2007-01-05$21.10$20.0033.9%8.2%0.0%0.0%27.9%2.5%-0.7%23.5M-952.1M-11.9M0.704.9350,32335,4002,105,8991,204,405
2007-01-08$21.01$20.0035.7%8.2%0.0%0.0%30.9%1.8%-0.4%23.5M-916.7M-11.7M0.434.8563,89427,3592,116,3041,197,816
2007-01-09$21.03$20.0033.6%7.9%0.0%0.0%29.2%-0.5%0.2%24.7M-941.8M-11.5M0.115.2891,97510,4212,144,7671,194,924
2007-01-10$21.52$20.0036.0%7.8%0.0%0.0%27.7%-0.1%-0.6%33.3M-1.30B-12.2M0.444.97112,54149,3962,211,5081,198,761
2007-01-11$21.92$20.0026.4%7.6%0.0%0.0%27.4%1.7%0.2%38.8M-1.55B-12.2M0.545.7598,03652,7702,219,7221,218,465
2007-01-12$22.13$20.0028.8%8.3%0.0%0.0%29.6%0.5%-1.9%41.2M-1.69B-12.3M0.308.26135,28241,0462,225,5491,229,893
2007-01-16$22.30$20.0032.8%9.4%0.0%0.0%33.4%1.3%-4.4%43.3M-1.80B-12.2M0.658.52370,045240,7392,246,7921,239,185
2007-01-17$21.04$20.0025.6%7.3%0.0%0.0%25.8%-0.4%0.8%16.4M-992.2M-11.7M0.537.41137,51473,5612,394,7441,319,688
2007-01-18$20.65$20.0025.4%7.3%0.0%0.0%24.8%-3.2%1.7%14.4M-865.7M-11.3M0.387.9092,82835,7232,394,6641,289,913
2007-01-19$20.82$20.0023.8%6.8%0.0%0.0%23.0%-0.1%1.8%16.0M-973.6M-11.7M0.6512.9581,75153,3962,387,9861,266,808
2007-01-22$20.79$20.0024.4%7.0%0.0%0.0%24.0%0.2%-0.7%14.6M-613.9M-11.8M0.944.2937,33434,9251,405,937784,865
2007-01-23$20.55$20.0023.6%6.8%0.0%0.0%23.8%-3.3%-0.6%12.1M-537.9M-11.9M0.614.8030,84318,8401,429,207813,347
2007-01-24$20.84$20.0022.5%6.4%0.0%0.0%22.6%-2.0%1.0%13.7M-621.2M-12.1M0.644.9334,13821,8721,438,866822,928
2007-01-25$20.60$20.0022.7%6.5%35.2%0.0%22.8%-3.8%-0.4%12.3M-557.7M-12.0M0.764.6243,25132,6851,453,159830,120
2007-01-26$20.53$20.0021.9%6.3%34.0%0.0%22.3%-5.1%0.7%11.2M-557.1M-12.2M1.325.0928,77838,1171,465,590842,876
2007-01-29$20.89$20.0023.2%6.7%33.6%0.0%23.3%-3.3%0.5%13.8M-673.3M-12.6M0.226.66192,35742,6191,471,215858,045
2007-01-30$20.93$20.0023.9%6.8%32.6%0.0%23.9%-3.3%0.3%16.9M-725.8M-13.3M0.266.2642,01510,9231,602,505880,954
2007-01-31$20.96$20.0024.6%7.0%31.6%0.0%25.2%-3.5%-0.7%16.3M-731.0M-12.9M0.495.9556,83628,0351,554,906877,579