INTC Options History — May 2008

In May 2008, INTC traded between $23.14 and $25.00. ATM implied volatility averaged 26.4%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 6.1% (HV 20d: 32.5%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-05-02: Highest Volume — 178,739 contracts
  • 2008-05-30: Largest IV spike — 28.2% change
  • 2008-05-28: Highest IV Rank — 26.2%
  • 2008-05-28: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.72$23.14$25.00$23.29$23.18
Max Pain$23.33$22.00$25.00$22.00$24.00
ATM IV26.4%22.3%29.5%26.1%28.6%
Expected Move7.7%6.4%8.5%7.5%8.2%
HV 20d32.5%25.2%39.5%39.0%26.9%
HV 60d34.9%34.0%35.5%35.0%34.9%
IV Rank18.0%5.8%26.2%17.3%23.7%
IV Percentile26.2%3.6%47.6%23.0%39.7%
Term Structure3.9%-7.3%6.5%1.2%6.5%
VWIV27.8%25.1%31.5%27.2%28.2%
Skew 25d3.3%0.5%4.7%4.0%2.7%
Skew 10d5.8%3.4%8.6%8.1%4.8%
Call IV 25d26.1%23.5%28.8%24.3%27.6%
Put IV 25d29.3%26.3%31.5%28.3%30.2%
Bid-Ask Spread %3.722.669.973.074.05
Gamma HHI0.150.120.210.120.14
Net GEX12.4M4.5M20.9M12.8M4.5M
Net DEX-738.5M-1.33B-406.7M-684.4M-428.6M
Net VEX-10.6M-11.4M-4.0M-11.3M-11.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.182.280.990.72
Total Volume67,477.76214,121178,739124,49530,696
Total OI2,164,659.7621,090,1842,341,3782,202,7092,267,783

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$23.29$22.0026.1%7.5%39.0%17.3%27.2%4.0%1.2%12.8M-684.4M-11.3M0.993.0762,59961,8961,160,2421,042,467
2008-05-02$23.58$22.0023.6%6.8%39.1%10.0%31.5%4.1%2.4%14.0M-790.1M-11.3M0.183.19151,82426,9151,169,5071,054,300
2008-05-05$23.25$23.0027.5%8.1%39.5%21.1%28.0%4.3%4.5%12.8M-642.7M-11.3M0.933.1921,89320,4671,154,2231,064,578
2008-05-06$23.58$23.0026.1%7.7%37.4%17.2%27.6%4.0%4.2%15.0M-790.9M-11.2M1.492.9433,28649,7041,158,7801,068,505
2008-05-07$23.17$23.0028.2%8.2%38.1%23.1%28.9%4.5%4.6%10.9M-608.0M-11.3M0.474.2226,72312,4311,167,5931,089,676
2008-05-08$23.40$23.0027.8%8.1%36.9%21.9%27.4%4.4%3.1%14.1M-694.8M-11.3M0.993.1218,02617,8031,167,1301,084,759
2008-05-09$23.37$23.0026.5%8.1%33.5%18.3%27.6%4.7%3.1%14.2M-671.0M-11.3M2.283.948,48419,3511,172,5281,096,080
2008-05-12$23.64$23.0024.1%7.6%31.5%11.5%27.1%4.6%4.3%13.8M-415.1M-4.0M0.603.0221,76813,089548,190541,994
2008-05-13$23.76$23.0023.1%7.3%31.4%8.6%25.4%4.3%4.5%19.1M-865.6M-11.0M0.622.9325,36115,8121,182,1311,107,706
2008-05-14$23.84$23.0023.5%7.3%25.2%9.9%25.5%3.6%4.5%20.9M-880.2M-11.0M0.472.6647,86022,4161,182,8921,107,671
2008-05-15$24.97$23.0024.5%7.0%29.3%12.6%25.1%2.9%4.9%17.2M-1.32B-10.9M0.454.8180,34536,2921,197,4521,118,121
2008-05-16$25.00$23.0024.5%7.0%28.9%12.7%25.2%2.4%5.0%13.3M-1.33B-10.9M0.773.0863,23948,6551,207,8071,133,571
2008-05-19$24.88$23.0025.3%7.3%28.9%15.1%26.0%1.6%4.9%13.3M-1.08B-10.9M1.423.2955,83179,2701,120,6981,017,561
2008-05-20$24.09$24.0028.4%8.2%30.5%23.8%28.3%1.8%4.9%9.7M-799.2M-11.3M0.933.3746,66743,5891,134,3641,032,709
2008-05-21$23.66$24.0029.1%8.3%30.4%25.6%29.4%2.2%5.5%8.2M-657.5M-11.4M0.864.1039,86234,1131,148,1031,035,735
2008-05-22$23.88$24.0028.0%8.0%30.5%22.7%28.1%2.4%5.7%8.9M-711.9M-11.4M0.403.2626,24710,6221,157,2381,056,010
2008-05-23$23.41$24.0028.7%8.2%31.4%24.7%28.2%3.0%5.4%7.2M-561.4M-11.4M1.053.2123,67224,8461,168,1551,053,567
2008-05-27$23.60$24.0028.9%8.3%31.4%25.2%29.8%3.5%5.4%7.7M-616.2M-11.3M1.293.1215,47619,9161,172,8461,063,918
2008-05-28$23.47$24.0029.5%8.5%31.5%26.2%29.1%2.8%4.4%6.3M-556.5M-11.2M1.113.5421,69224,1741,177,5561,072,257
2008-05-29$23.14$25.0022.3%6.4%31.3%5.8%30.2%0.5%-7.3%17.4M-406.7M-6.2M0.749.978,1156,0061,099,025702,427
2008-05-30$23.18$24.0028.6%8.2%26.9%23.7%28.2%2.7%6.5%4.5M-428.6M-11.1M0.724.0517,82612,8701,185,9801,081,803