INTC Options History — March 2007

In March 2007, INTC traded between $18.86 and $19.59. ATM implied volatility averaged 26.8%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.2% (HV 20d: 20.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2007-03-01: Highest Volume — 234,634 contracts
  • 2007-03-12: Largest IV spike — 60.5% change
  • 2007-03-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.19$18.86$19.59$19.59$19.13
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV26.8%16.3%32.3%23.1%30.3%
Expected Move7.9%6.6%8.7%6.6%8.7%
HV 20d20.6%17.3%22.5%19.4%17.3%
HV 60d24.4%23.4%25.5%25.2%23.4%
Term Structure-2.1%-4.4%3.2%3.2%-4.4%
VWIV28.2%23.1%30.5%23.1%30.5%
Skew 25d1.2%-0.2%5.4%1.5%1.6%
Skew 10d1.6%-6.5%10.9%-2.1%-3.6%
Call IV 25d29.3%24.5%31.6%27.3%31.6%
Put IV 25d30.5%27.9%33.2%28.8%33.2%
Bid-Ask Spread %2.401.423.261.532.58
Gamma HHI0.220.210.270.270.21
Net GEX5.2M1.3M13.3M1.3M6.1M
Net DEX-25.9M-152.8M59.2M-152.8M-88.7M
Net VEX-13.7M-14.0M-13.3M-13.9M-14.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.231.250.580.69
Total Volume80,083.31833,623234,634234,63478,213
Total OI3,161,1742,896,5873,291,7052,896,5873,291,705

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$19.59$20.0023.1%6.6%19.4%0.0%23.1%1.5%3.2%1.3M-152.8M-13.9M0.581.53148,08686,5481,794,1691,102,418
2007-03-02$19.22$20.0024.5%7.0%19.7%0.0%24.6%5.4%2.8%2.4M-14.9M-13.7M0.351.8971,45024,7881,849,3921,131,165
2007-03-05$19.11$20.0027.5%8.0%19.3%0.0%28.3%0.9%-1.6%3.3M41.8M-13.4M0.472.71106,01649,4621,860,2561,130,403
2007-03-06$19.40$20.0023.1%7.6%20.5%0.0%27.0%0.1%-1.0%6.8M-60.5M-13.7M0.433.0264,14827,4551,901,6631,155,691
2007-03-07$19.12$20.0025.1%7.7%20.7%0.0%27.7%0.4%-1.4%5.6M59.2M-13.5M0.302.6964,18019,1961,936,6281,166,855
2007-03-08$19.23$20.0023.4%7.5%20.4%0.0%27.0%0.1%-1.0%8.0M25.7M-13.4M0.432.0741,64718,1181,962,6541,164,747
2007-03-09$19.10$20.0016.3%7.4%20.4%0.0%27.2%0.5%-1.4%6.7M28.8M-13.6M0.882.6121,18818,6711,976,2551,178,714
2007-03-12$19.48$20.0026.1%7.8%21.9%0.0%27.8%0.6%-1.8%13.3M-130.9M-13.9M0.592.9482,84448,4821,980,6421,189,059
2007-03-13$19.12$20.0024.1%8.3%22.4%0.0%29.4%-0.2%-3.4%9.1M19.0M-13.8M0.571.9333,18418,8532,033,4841,222,533
2007-03-14$19.23$20.0032.3%8.3%22.5%0.0%29.2%0.2%-2.5%10.8M-43.4M-13.9M1.251.4237,98847,5862,039,4851,206,141
2007-03-15$19.14$20.0028.8%8.3%21.6%0.0%29.2%0.1%-2.5%7.4M48.6M-13.6M1.111.8224,02326,6652,056,8261,227,098
2007-03-16$19.15$20.0028.7%8.2%21.1%0.0%30.0%0.4%-2.8%4.3M14.8M-13.6M0.811.8421,02516,9662,066,3481,218,024
2007-03-19$19.11$20.0028.2%8.1%21.2%0.0%29.1%1.2%-2.4%2.3M877.3K-13.5M0.572.1339,56922,5051,911,2041,168,822
2007-03-20$18.99$20.0027.7%7.9%21.1%0.0%27.9%1.1%-2.4%1.5M53.3M-13.3M0.542.9786,54746,8921,926,7591,177,933
2007-03-21$19.34$20.0027.5%7.9%22.4%0.0%27.9%1.3%-2.4%3.4M-103.1M-13.8M0.432.4248,27620,9241,978,8691,192,596
2007-03-22$19.16$20.0028.3%8.1%22.3%0.0%28.4%1.3%-3.2%3.5M-58.5M-13.8M0.373.2637,45113,8192,002,0741,197,279
2007-03-23$19.27$20.0027.4%7.9%22.5%0.0%27.9%1.2%-2.4%3.6M-88.0M-14.0M0.232.3941,9209,4862,011,1791,199,112
2007-03-26$19.29$20.0027.9%8.0%22.4%0.0%28.4%2.2%-2.9%3.5M-80.8M-13.7M0.542.3321,76611,8572,021,2371,200,851
2007-03-27$19.06$20.0029.4%8.4%18.2%0.0%29.7%1.5%-3.8%3.6M-372.7K-13.7M0.623.0024,68215,3042,027,4401,203,873
2007-03-28$18.86$20.0029.9%8.6%18.3%0.0%30.2%1.9%-4.2%3.2M27.3M-13.3M0.282.8349,18414,0012,038,3501,186,896
2007-03-29$19.09$20.0029.7%8.5%18.5%0.0%30.4%2.5%-4.1%5.2M-66.4M-13.6M0.702.4935,73825,1302,067,6801,191,319
2007-03-30$19.13$20.0030.3%8.7%17.3%0.0%30.5%1.6%-4.4%6.1M-88.7M-14.0M0.692.5846,35031,8632,086,3841,205,321