INTC Options History — September 2007

In September 2007, INTC traded between $24.85 and $26.18. ATM implied volatility averaged 29.5%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.4% (HV 20d: 27.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-09-04: Highest Volume — 118,985 contracts
  • 2007-09-13: Largest IV spike — 23.9% change
  • 2007-09-17: Highest IV Rank — 74.1%
  • 2007-09-10: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.66$24.85$26.18$26.18$25.86
Max Pain$22.89$22.50$25.00$25.00$22.50
ATM IV29.5%25.9%32.2%28.3%28.8%
Expected Move8.7%8.1%9.5%8.1%8.2%
HV 20d27.1%18.7%30.6%30.4%18.7%
HV 60d29.0%28.1%30.3%29.9%28.1%
IV Rank61.5%44.6%74.1%55.8%58.0%
IV Percentile77.5%53.4%90.4%72.0%72.0%
Term Structure-0.7%-2.7%2.7%1.6%-0.6%
VWIV30.4%27.4%33.1%27.6%28.9%
Skew 25d2.7%0.5%4.1%2.3%0.5%
Skew 10d6.3%2.8%12.8%12.4%2.8%
Call IV 25d29.5%25.4%32.6%25.7%29.5%
Put IV 25d32.1%27.9%35.3%27.9%30.0%
Bid-Ask Spread %2.741.634.143.582.08
Gamma HHI0.260.240.290.260.25
Net GEX43.1M37.3M48.6M48.3M44.0M
Net DEX-2.40B-2.75B-1.97B-2.75B-2.42B
Net VEX-13.8M-14.6M-13.1M-13.7M-13.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.150.860.490.81
Total Volume61,968.89532,031118,985118,98538,650
Total OI3,026,939.2112,938,6353,104,5912,979,4503,003,415

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$26.18$25.0028.3%8.1%30.4%55.8%27.6%2.3%1.6%48.3M-2.75B-13.7M0.493.5880,11038,8751,859,7251,119,725
2007-09-05$25.99$25.0028.3%8.1%30.6%55.8%28.0%1.8%2.7%46.5M-2.62B-14.0M0.693.5324,70217,1081,856,8791,134,044
2007-09-06$26.15$25.0028.1%8.1%29.8%55.0%27.4%2.5%2.7%46.8M-2.70B-14.0M0.484.1023,06410,9661,858,3521,138,035
2007-09-07$25.47$22.5028.3%9.3%29.1%55.7%32.4%3.7%-2.1%44.3M-2.35B-14.1M0.452.3543,67819,5511,858,2821,139,661
2007-09-10$25.35$22.5029.5%9.5%29.3%61.5%33.1%2.9%-1.8%43.0M-2.25B-14.6M0.433.3275,49832,7881,860,9411,141,247
2007-09-11$25.66$22.5028.6%9.4%29.4%57.5%32.6%3.2%-2.7%44.8M-2.42B-14.4M0.434.0262,99227,3171,883,1051,155,489
2007-09-12$25.46$22.5025.9%9.3%29.4%44.6%32.5%3.0%-1.8%48.6M-2.35B-14.3M0.832.6748,50240,2081,904,5601,164,685
2007-09-13$25.35$22.5032.1%9.2%27.6%73.4%32.1%2.9%-1.4%40.7M-2.25B-14.3M0.612.4525,76215,7781,891,8201,183,239
2007-09-14$24.93$22.5031.7%9.1%28.5%71.6%32.3%3.0%-1.0%38.3M-2.00B-14.3M0.861.9934,59029,8101,881,3921,189,282
2007-09-17$24.85$22.5032.2%9.2%27.3%74.1%32.8%2.7%-1.6%37.3M-1.97B-14.0M0.752.5118,34113,6901,885,2911,195,594
2007-09-18$25.41$22.5029.4%8.4%27.8%60.8%29.7%4.1%-0.1%41.1M-2.28B-13.9M0.434.1442,37718,2861,887,7871,200,155
2007-09-19$25.68$22.5029.5%8.5%27.5%61.7%29.4%3.4%-1.1%40.2M-2.43B-13.8M0.663.3941,89027,4671,887,2011,202,696
2007-09-20$25.81$22.5028.8%8.3%27.4%58.1%29.0%3.1%-0.4%40.5M-2.54B-13.3M0.151.9950,9517,6291,889,2911,204,847
2007-09-21$25.87$22.5028.4%8.1%27.4%56.3%28.2%2.8%-0.1%42.6M-2.59B-13.3M0.281.9939,93511,0191,900,1481,204,443
2007-09-24$25.98$22.5029.6%8.5%26.4%61.8%28.9%2.4%-0.8%42.8M-2.46B-13.3M0.432.4422,7999,8431,803,5981,135,037
2007-09-25$25.89$22.5031.5%9.0%25.8%70.7%31.1%2.8%-2.3%42.1M-2.42B-13.1M0.551.8632,18117,5451,812,9361,137,282
2007-09-26$25.91$22.5032.0%9.2%24.4%73.0%31.5%2.8%-2.6%43.2M-2.43B-13.3M0.682.0041,21628,0951,823,1491,138,691
2007-09-27$25.76$22.5030.0%8.6%18.8%63.9%30.3%1.3%-1.1%43.1M-2.37B-13.2M0.791.6335,80128,3951,833,5401,146,281
2007-09-28$25.86$22.5028.8%8.2%18.7%58.0%28.9%0.5%-0.6%44.0M-2.42B-13.1M0.812.0821,30617,3441,842,2601,161,155