INTC Options History — August 2008

In August 2008, INTC traded between $22.35 and $24.52. ATM implied volatility averaged 29.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.6% (HV 20d: 27.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2008-08-07: Highest Volume — 163,355 contracts
  • 2008-08-11: Largest IV spike — 14.7% change
  • 2008-08-11: Highest IV Rank — 30.5%
  • 2008-08-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.51$22.35$24.52$22.35$22.87
Max Pain$22.43$22.00$23.00$22.00$23.00
ATM IV29.5%24.8%32.9%31.4%26.8%
Expected Move8.6%7.1%9.1%9.0%7.7%
HV 20d27.9%24.8%35.7%35.2%27.7%
HV 60d32.3%31.7%33.7%32.2%32.4%
IV Rank21.8%9.9%30.5%26.7%15.2%
IV Percentile34.1%4.8%59.9%47.6%11.5%
Term Structure4.6%1.7%7.0%1.7%6.3%
VWIV30.1%25.3%32.5%32.2%27.0%
Skew 25d5.3%4.3%6.4%6.4%4.7%
Skew 10d10.1%7.4%16.5%11.4%7.8%
Call IV 25d27.6%23.4%30.0%28.2%25.2%
Put IV 25d32.9%28.3%35.6%34.5%29.9%
Bid-Ask Spread %3.582.644.912.993.14
Gamma HHI0.140.110.180.110.15
Net GEX16.5M8.6M22.0M8.6M15.5M
Net DEX-780.0M-1.21B-374.8M-374.8M-519.6M
Net VEX-9.4M-9.6M-9.1M-9.2M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.061.210.780.35
Total Volume59,065.61918,472163,35518,71940,001
Total OI2,060,696.6671,983,0312,155,2231,990,2872,103,742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$22.35$22.0031.4%9.0%35.2%26.7%32.2%6.4%1.7%8.6M-374.8M-9.2M0.782.9910,5388,1811,103,545886,742
2008-08-04$22.52$22.0030.0%9.1%35.2%23.1%31.7%5.6%3.4%10.1M-432.4M-9.1M0.063.13133,3818,1571,104,090883,975
2008-08-05$23.02$22.0027.6%8.6%35.7%17.0%31.0%5.8%4.1%12.8M-592.1M-9.2M0.734.7530,07621,8711,098,486884,665
2008-08-06$22.80$22.0027.6%8.8%28.7%17.2%31.0%5.9%3.8%12.7M-539.0M-9.2M1.064.6128,92530,6701,108,178889,127
2008-08-07$23.67$22.0028.9%8.9%28.3%20.4%32.5%5.3%3.7%15.9M-865.4M-9.3M0.874.2087,28376,0721,124,720895,058
2008-08-08$24.23$22.0028.7%8.8%28.8%19.8%30.5%5.2%3.4%17.2M-1.03B-9.5M0.314.9175,87623,6011,138,308911,988
2008-08-11$24.38$22.0032.9%9.0%28.2%30.5%30.7%4.4%3.5%19.4M-1.14B-9.6M0.373.3348,91717,8841,174,822915,802
2008-08-12$24.52$22.0029.6%8.6%28.2%22.2%31.9%5.4%4.0%20.8M-1.21B-9.6M0.644.5137,24223,7371,190,859912,897
2008-08-13$24.12$22.0031.1%9.0%29.5%26.0%30.3%6.1%4.2%20.4M-1.06B-9.6M0.893.0929,57626,2191,202,278918,170
2008-08-14$24.36$22.0030.4%8.7%24.8%24.2%30.0%5.7%4.2%22.0M-1.14B-9.6M0.793.4230,70324,1891,210,980927,708
2008-08-15$24.26$22.0029.6%8.5%25.0%22.2%29.8%5.3%4.9%19.1M-1.12B-9.6M0.303.7032,9789,9281,219,389935,834
2008-08-18$24.01$22.0031.2%8.9%25.5%26.2%31.1%4.5%4.2%17.7M-912.2M-9.4M0.723.0354,19239,1351,135,087847,944
2008-08-19$23.59$23.0030.4%8.7%26.6%24.3%31.2%4.4%4.5%16.8M-766.0M-9.5M1.154.0619,48322,3901,159,762870,419
2008-08-20$23.39$23.0030.9%8.9%26.8%25.5%30.5%4.3%4.7%15.7M-679.4M-9.3M1.083.5321,97723,7231,158,599874,721
2008-08-21$23.05$23.0030.3%8.7%25.1%23.9%29.5%5.1%5.3%14.0M-567.0M-9.3M0.432.6439,34716,7761,165,103878,332
2008-08-22$23.49$23.0029.0%8.3%25.3%20.6%27.5%5.9%5.9%17.3M-728.6M-9.5M0.172.6532,6545,4511,187,080881,858
2008-08-25$22.97$23.0029.9%8.6%26.1%22.9%29.0%5.0%5.6%15.2M-559.8M-9.3M0.253.4233,0158,4151,205,635881,043
2008-08-26$23.15$23.0029.3%8.4%24.8%21.5%31.8%5.6%5.5%17.0M-632.0M-9.3M1.212.949,75411,8431,208,590882,925
2008-08-27$23.41$23.0028.1%8.1%25.0%18.4%27.6%4.9%6.1%18.8M-724.6M-9.3M0.803.1910,2898,1831,211,803886,209
2008-08-28$23.59$23.0024.8%7.1%25.0%9.9%25.3%5.0%7.0%20.3M-777.3M-9.2M0.883.9614,72013,0261,211,212886,945
2008-08-29$22.87$23.0026.8%7.7%27.7%15.2%27.0%4.7%6.3%15.5M-519.6M-9.1M0.353.1429,67910,3221,216,969886,773