INTC Options History — April 2007

In April 2007, INTC traded between $19.13 and $22.26. ATM implied volatility averaged 27.1%. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 8.8% (HV 20d: 18.3%). 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 0 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-04-17: Highest Volume — 253,038 contracts
  • 2007-04-12: Largest IV drop — 25.9% change
  • 2007-04-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.91$19.13$22.26$19.13$21.50
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV27.1%23.1%34.0%32.0%26.3%
Expected Move7.4%6.6%9.2%9.2%7.5%
HV 20d18.3%15.7%20.8%17.1%20.8%
HV 60d20.7%19.0%22.7%21.8%20.2%
Term Structure-2.1%-6.0%-0.1%-6.0%-2.6%
VWIV26.3%23.4%31.8%31.8%26.4%
Skew 25d1.0%-0.7%3.2%2.2%-0.7%
Skew 10d0.1%-5.1%4.9%-2.0%-5.1%
Call IV 25d27.2%23.1%33.0%33.0%26.3%
Put IV 25d28.2%23.8%35.2%35.2%25.6%
Bid-Ask Spread %2.071.123.243.242.04
Gamma HHI0.340.210.570.210.37
Net GEX31.3M5.6M72.4M5.8M39.4M
Net DEX-1.13B-2.00B-81.0M-81.0M-1.25B
Net VEX-14.8M-15.5M-13.9M-14.0M-14.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.242.191.320.55
Total Volume118,946.951,609253,03887,31958,753
Total OI3,361,511.152,939,1143,694,7123,320,6133,058,550

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$19.13$20.0032.0%9.2%17.1%0.0%31.8%2.2%-6.0%5.8M-81.0M-14.0M1.323.2437,69649,6232,101,5581,219,055
2007-04-03$19.31$20.0030.5%8.7%16.6%0.0%30.7%2.1%-5.2%5.6M-162.3M-13.9M0.612.1760,33336,8082,116,5611,221,040
2007-04-04$19.38$20.0030.1%8.6%15.7%0.0%31.0%2.1%-4.7%9.3M-239.6M-14.2M0.551.7062,76434,5482,151,9991,215,244
2007-04-05$19.58$20.0029.7%8.5%16.0%0.0%29.8%2.2%-4.9%12.2M-366.7M-14.7M0.421.7269,00928,7242,188,5251,221,020
2007-04-09$20.10$20.0030.4%7.0%18.1%0.0%25.5%0.8%-0.6%19.0M-754.4M-14.6M0.392.08122,28047,0852,226,7821,229,773
2007-04-10$20.68$20.0032.1%7.0%19.4%0.0%24.7%0.8%-0.3%25.9M-1.13B-15.1M0.532.3595,34850,5062,222,6681,243,672
2007-04-11$20.47$20.0034.0%7.1%18.3%0.0%25.1%0.6%-1.1%24.3M-992.4M-14.7M0.682.1348,82933,4332,244,6401,257,288
2007-04-12$20.50$20.0025.2%7.2%18.3%0.0%25.3%1.6%-1.0%22.6M-970.8M-14.9M2.192.7621,68747,4522,258,3721,277,089
2007-04-13$20.46$20.0026.0%7.4%18.2%0.0%28.5%2.0%-1.2%19.2M-936.2M-14.9M1.542.2127,82542,7642,245,7691,301,593
2007-04-16$20.69$20.0028.7%8.2%18.4%0.0%28.5%3.2%-3.2%23.7M-1.11B-14.8M1.042.4773,03276,0222,250,6871,318,937
2007-04-17$20.98$20.0028.3%8.1%18.6%0.0%28.3%0.5%-3.4%28.0M-1.31B-14.8M0.812.37139,553113,4852,253,0461,337,758
2007-04-18$21.35$20.0023.3%6.7%18.6%0.0%23.5%0.7%-0.1%36.9M-1.60B-14.8M0.302.65154,94646,0472,292,3801,359,045
2007-04-19$21.81$20.0024.0%6.9%18.9%0.0%24.3%-0.1%-0.8%54.5M-1.89B-15.0M0.381.72135,18051,2952,306,1911,363,609
2007-04-20$22.16$20.0023.2%6.7%18.3%0.0%23.8%1.1%-0.3%72.4M-2.00B-15.0M0.251.12134,98633,8992,318,8451,375,867
2007-04-23$21.91$20.0024.4%7.0%19.5%0.0%24.6%0.2%-2.1%41.6M-1.48B-14.9M0.381.85102,28138,8621,901,8071,037,307
2007-04-24$21.94$20.0023.3%6.7%19.5%0.0%23.4%0.4%-1.2%44.6M-1.51B-15.1M0.431.7756,62124,5231,936,6871,050,936
2007-04-25$22.26$20.0023.3%6.7%18.4%0.0%23.5%0.8%-1.0%48.2M-1.68B-15.2M0.241.2682,19319,4561,956,8551,062,167
2007-04-26$22.09$20.0023.7%6.8%18.0%0.0%23.9%-0.1%-1.2%47.7M-1.60B-15.5M1.012.0734,61134,8701,980,9441,069,832
2007-04-27$21.87$20.0023.1%6.6%19.0%0.0%24.0%0.5%-0.6%44.7M-1.46B-15.3M0.551.8133,24818,3611,971,7681,084,357
2007-04-30$21.50$20.0026.3%7.5%20.8%0.0%26.4%-0.7%-2.6%39.4M-1.25B-14.9M0.552.0438,00520,7481,970,5021,088,048