INTC Options History — May 2007

In May 2007, INTC traded between $21.74 and $22.99. ATM implied volatility averaged 22.1%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.2% (HV 20d: 18.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-05-18: Highest Volume — 176,793 contracts
  • 2007-05-07: Largest IV spike — 12.0% change
  • 2007-05-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.21$21.74$22.99$21.80$22.18
Max Pain$22.16$20.00$22.50$20.00$22.50
ATM IV22.1%20.0%25.1%24.6%21.4%
Expected Move6.4%5.7%7.2%7.0%6.1%
HV 20d18.8%16.1%21.5%20.8%19.3%
HV 60d20.1%18.9%20.5%20.4%19.2%
Term Structure1.9%-1.7%4.5%-1.7%4.5%
VWIV22.4%20.0%25.0%25.0%21.6%
Skew 25d1.3%0.1%3.5%1.9%3.5%
Skew 10d1.0%-5.1%4.3%-1.2%3.2%
Call IV 25d23.8%22.3%26.3%25.3%24.3%
Put IV 25d25.1%23.6%27.8%27.2%27.8%
Bid-Ask Spread %1.661.203.111.961.70
Gamma HHI0.410.310.660.390.32
Net GEX53.7M39.3M84.8M44.9M40.9M
Net DEX-1.53B-2.08B-852.5M-1.42B-1.43B
Net VEX-15.2M-15.9M-8.3M-15.1M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.221.220.571.22
Total Volume75,370.54529,704176,79342,10035,714
Total OI3,050,165.2271,688,4213,254,7103,067,6963,098,426

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$21.80$20.0024.6%7.0%20.8%0.0%25.0%1.9%-1.7%44.9M-1.42B-15.1M0.571.9626,80815,2921,979,8951,087,801
2007-05-02$21.93$20.0025.1%7.2%20.8%0.0%24.7%0.2%-1.5%46.3M-1.44B-15.4M0.361.5369,41225,2981,979,1911,094,798
2007-05-03$21.74$20.0022.6%6.5%21.5%0.0%21.3%2.3%-0.3%46.5M-1.35B-15.4M0.341.7969,83124,0151,970,3791,113,251
2007-05-04$21.90$22.5020.1%6.3%21.4%0.0%22.4%0.7%1.6%52.6M-1.44B-15.3M0.262.2675,24219,3751,988,1861,116,059
2007-05-07$21.96$22.5022.4%6.6%20.0%0.0%23.1%0.1%1.6%51.9M-1.43B-15.7M0.393.1165,69825,4831,992,1951,122,430
2007-05-08$22.15$22.5021.1%6.5%18.0%0.0%23.1%0.4%1.1%59.2M-1.55B-15.8M0.221.4850,45711,2902,008,5911,134,064
2007-05-09$22.47$22.5020.6%6.4%17.6%0.0%23.4%0.4%1.8%66.2M-1.77B-15.6M0.351.41114,15539,8971,996,1761,121,935
2007-05-10$22.21$22.5022.9%6.6%18.5%0.0%22.6%0.9%1.6%63.1M-1.58B-15.7M0.561.4267,36137,9772,021,3711,140,542
2007-05-11$22.28$22.5021.8%6.2%18.4%0.0%21.8%1.3%2.3%70.1M-1.62B-15.9M0.231.5145,40810,6672,052,4161,153,958
2007-05-14$22.12$22.5022.3%6.4%18.6%0.0%23.0%1.3%1.9%53.0M-852.5M-8.3M0.861.5725,80222,2541,078,389610,032
2007-05-15$22.01$22.5022.3%6.4%18.4%0.0%22.5%0.6%2.5%63.1M-1.47B-15.5M0.261.7144,36311,4622,069,5871,160,222
2007-05-16$22.18$22.5024.2%6.9%17.7%0.0%24.3%1.1%1.4%74.0M-1.56B-15.8M0.421.3533,19813,8702,084,9661,159,820
2007-05-17$22.23$22.5023.5%6.7%16.1%0.0%23.7%1.7%1.7%84.8M-1.62B-15.7M0.481.2027,29513,0942,092,8271,161,644
2007-05-18$22.70$22.5022.8%6.5%16.8%0.0%22.8%1.4%1.7%59.8M-2.08B-15.5M0.531.43115,21161,5822,090,4541,164,256
2007-05-21$22.63$22.5021.1%6.0%16.2%0.0%21.0%1.3%2.2%47.9M-1.74B-15.5M0.521.5337,49419,5891,938,7631,066,624
2007-05-22$22.99$22.5022.0%6.3%17.0%0.0%21.9%1.0%1.6%49.0M-1.92B-15.3M0.461.5954,49225,1281,943,6291,077,071
2007-05-23$22.67$22.5021.6%6.2%17.3%0.0%21.6%0.6%2.4%46.0M-1.72B-15.3M0.591.6344,44026,2921,931,3961,084,286
2007-05-24$21.97$22.5020.7%5.9%20.6%0.0%20.8%2.0%3.2%39.3M-1.32B-15.3M0.481.7971,41534,1271,938,5831,094,941
2007-05-25$22.16$22.5020.0%5.7%20.5%0.0%20.0%0.9%3.5%41.3M-1.43B-15.3M0.971.9415,06614,6381,950,4051,102,480
2007-05-29$22.30$22.5021.1%6.0%19.5%0.0%21.1%2.9%4.1%41.9M-1.50B-15.3M0.321.3039,77612,6861,953,0511,107,508
2007-05-30$22.08$22.5021.3%6.1%19.3%0.0%21.3%2.4%4.1%40.5M-1.40B-15.5M0.601.4440,96124,5371,962,6471,108,390
2007-05-31$22.18$22.5021.4%6.1%19.3%0.0%21.6%3.5%4.5%40.9M-1.43B-15.5M1.221.7016,09619,6181,976,1041,122,322