INTC Options History — July 2008 In July 2008, INTC traded between $19.81 and $22.30. ATM implied volatility averaged 39.2%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.1% (HV 20d: 36.1%). Max pain ranged from $21.00 to $22.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2008-07-15 : Highest Volume — 295,402 contracts2008-07-10 : Largest IV drop — 28.8% change2008-07-09 : Highest IV Rank — 100.0%2008-07-02 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $21.39 $19.81 $22.30 $21.57 $22.19 Max Pain $21.52 $21.00 $22.50 $22.50 $21.00 ATM IV 39.2% 29.3% 60.4% 46.4% 33.0% Expected Move 10.7% 8.4% 13.8% 13.3% 9.4% HV 20d 36.1% 30.4% 40.1% 34.0% 35.7% HV 60d 32.8% 31.8% 34.2% 33.4% 32.4% IV Rank 48.8% 21.5% 100.0% 74.0% 30.7% IV Percentile 70.8% 36.5% 100.0% 96.8% 60.3% Term Structure -1.2% -8.5% 3.0% -8.5% 1.1% VWIV 37.8% 29.8% 48.4% 45.4% 33.7% Skew 25d 4.9% 3.7% 6.1% 6.1% 5.2% Skew 10d 8.4% 5.4% 12.2% 12.2% 8.5% Call IV 25d 35.3% 27.0% 46.4% 42.4% 30.6% Put IV 25d 40.2% 31.8% 52.0% 48.5% 35.8% Bid-Ask Spread % 3.26 2.35 4.64 3.26 2.94 Gamma HHI 0.13 0.10 0.22 0.13 0.10 Net GEX 6.1M -1.8M 19.3M 3.5M 11.1M Net DEX -61.6M -376.7M 422.0M -41.7M -376.7M Net VEX -8.8M -9.3M -8.1M -9.3M -9.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.39 1.42 0.48 0.46 Total Volume 83,956.909 22,926 295,402 38,022 67,263 Total OI 2,132,721.318 1,829,099 2,424,236 2,164,325 1,999,264
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-07-01 $21.57 $22.50 46.4% 13.3% 34.0% 74.0% 45.4% 6.1% -8.5% 3.5M -41.7M -9.3M 0.48 3.26 25,746 12,276 1,174,685 989,640 2008-07-02 $20.93 $22.50 48.1% 13.8% 33.8% 79.0% 47.7% 5.9% -7.4% 1.2M 148.7M -8.9M 0.82 2.79 28,887 23,629 1,182,927 990,829 2008-07-03 $20.66 $22.50 47.8% 13.7% 32.9% 78.1% 48.4% 5.6% -7.3% 19.9K 232.8M -8.7M 0.73 3.20 26,348 19,155 1,191,117 998,870 2008-07-07 $20.71 $22.00 53.1% 11.9% 30.4% 93.5% 41.9% 4.9% -2.2% 828.0K 215.7M -8.5M 0.59 2.80 48,238 28,417 1,202,982 994,855 2008-07-08 $20.92 $22.00 52.8% 11.8% 30.9% 92.5% 42.0% 5.7% -2.1% 2.2M 138.8M -8.8M 0.91 2.70 34,495 31,413 1,217,601 996,483 2008-07-09 $19.81 $22.00 60.4% 12.8% 35.7% 100.0% 44.0% 3.8% -3.4% -1.8M 422.0M -8.1M 0.78 2.95 79,609 61,703 1,226,727 1,011,766 2008-07-10 $20.62 $22.00 43.0% 12.3% 37.2% 56.1% 44.2% 5.5% -2.9% 1.4M 181.9M -8.7M 0.73 3.78 68,143 49,581 1,253,920 1,037,212 2008-07-11 $20.64 $22.00 43.7% 12.5% 36.9% 57.7% 44.0% 4.8% -3.1% 1.4M 177.7M -8.7M 1.03 3.24 34,176 35,230 1,263,457 1,044,660 2008-07-14 $20.47 $22.00 45.9% 13.2% 35.1% 63.4% 44.8% 4.5% -4.1% 418.7K 235.0M -8.4M 0.46 3.57 40,226 18,426 1,263,489 1,051,588 2008-07-15 $20.71 $21.00 43.1% 12.4% 35.2% 56.3% 43.1% 5.8% -3.5% 1.9M 193.9M -8.4M 0.95 4.03 151,329 144,073 1,273,564 1,043,979 2008-07-16 $20.91 $21.00 34.9% 10.0% 35.5% 35.5% 35.9% 5.0% 2.2% 6.4M 139.6M -8.4M 0.50 4.07 118,260 59,101 1,323,083 1,097,466 2008-07-17 $21.99 $21.00 33.3% 9.5% 40.1% 31.4% 34.3% 4.8% 2.6% 19.3M -335.5M -9.0M 0.61 4.64 89,932 54,717 1,344,368 1,073,780 2008-07-18 $22.09 $21.00 32.5% 9.3% 39.0% 29.4% 33.0% 5.3% 3.0% 18.5M -329.3M -9.1M 0.68 3.96 33,107 22,372 1,338,391 1,085,845 2008-07-21 $22.09 $21.00 31.7% 9.1% 38.3% 27.4% 31.5% 5.1% 0.2% 6.8M -283.6M -8.8M 0.49 3.56 29,687 14,451 1,014,879 814,220 2008-07-22 $22.09 $21.00 29.7% 8.5% 38.3% 22.4% 30.1% 5.2% 1.3% 7.6M -268.8M -8.8M 0.61 2.64 26,619 16,306 1,028,371 812,193 2008-07-23 $22.30 $21.00 29.3% 8.4% 38.5% 21.5% 29.8% 4.8% 0.5% 8.0M -340.3M -8.9M 0.39 2.35 69,177 27,138 1,034,641 822,234 2008-07-24 $21.67 $21.00 30.9% 8.9% 39.5% 25.4% 31.7% 4.5% 1.4% 8.2M -206.1M -8.9M 1.25 3.46 31,809 39,717 1,075,763 835,243 2008-07-25 $22.01 $21.00 29.8% 8.5% 36.0% 22.7% 30.1% 4.0% 1.5% 9.1M -307.7M -9.0M 0.52 2.91 15,049 7,877 1,086,895 850,948 2008-07-28 $21.67 $21.00 31.7% 9.1% 36.5% 27.5% 32.9% 4.1% 1.4% 8.2M -221.2M -8.8M 0.52 3.33 28,143 14,504 1,088,064 848,734 2008-07-29 $22.23 $21.00 30.6% 8.8% 37.5% 24.6% 31.2% 3.7% 1.9% 11.0M -366.5M -9.1M 1.42 2.68 25,138 35,670 1,103,307 852,812 2008-07-30 $22.23 $22.00 31.0% 8.9% 37.5% 25.7% 31.6% 4.0% 1.8% 10.1M -363.0M -9.2M 0.67 2.80 35,786 24,129 1,106,923 872,094 2008-07-31 $22.19 $21.00 33.0% 9.4% 35.7% 30.7% 33.7% 5.2% 1.1% 11.1M -376.7M -9.2M 0.46 2.94 46,186 21,077 1,125,104 874,160
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