INTC Options History — October 2008 In October 2008, INTC traded between $14.25 and $18.52. ATM implied volatility averaged 73.4%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 4.4% (HV 20d: 77.8%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.59.
Notable Days 2008-10-14 : Highest Volume — 434,985 contracts2008-10-14 : Largest IV spike — 71.1% change2008-10-06 : Highest IV Rank — 100.0%2008-10-14 : Largest Expected Move — 22.1%Monthly Statistics Metric Avg Min Max Open Close Price $15.84 $14.25 $18.52 $18.52 $16.03 Max Pain $17.17 $16.00 $20.00 $20.00 $16.00 ATM IV 73.4% 47.0% 156.5% 54.3% 54.1% Expected Move 17.9% 13.5% 22.1% 15.6% 15.5% HV 20d 77.8% 61.7% 87.5% 61.7% 87.3% HV 60d 53.7% 45.0% 64.9% 45.0% 64.3% IV Rank 58.2% 19.3% 100.0% 69.7% 24.5% IV Percentile 96.4% 87.7% 100.0% 98.4% 90.5% Term Structure -3.0% -11.9% 4.6% -9.3% 4.6% VWIV 62.1% 48.0% 75.7% 54.5% 55.2% Skew 25d 11.9% 4.3% 22.3% 5.6% 15.7% Skew 10d 23.1% 4.5% 42.6% 11.9% 31.4% Call IV 25d 57.5% 43.5% 70.0% 52.9% 47.9% Put IV 25d 69.4% 54.2% 87.1% 58.5% 63.6% Bid-Ask Spread % 5.41 3.11 10.74 3.72 4.57 Gamma HHI 0.09 0.07 0.14 0.10 0.08 Net GEX 2.7M -1.2M 7.4M 7.4M 4.9M Net DEX 606.5M 366.7M 836.0M 395.1M 408.3M Net VEX -5.1M -6.7M -4.0M -6.7M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.31 0.94 0.36 0.57 Total Volume 126,273.478 61,709 434,985 61,709 97,949 Total OI 2,346,223.478 2,095,574 2,675,961 2,305,643 2,302,899
Daily Data (23 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 2008-10-01 $18.52 $20.00 54.3% 15.6% 61.7% 69.7% 54.5% 5.6% -9.3% 7.4M 395.1M -6.7M 0.36 3.72 45,255 16,454 1,383,639 922,004 2008-10-02 $17.20 $20.00 67.9% 19.5% 64.5% 97.9% 66.9% 9.6% -11.9% 4.2M 568.8M -6.0M 0.91 4.00 40,410 36,882 1,394,618 925,912 2008-10-03 $17.31 $20.00 64.4% 18.5% 64.6% 90.5% 63.0% 9.0% -11.5% 4.1M 599.0M -6.0M 0.68 3.67 66,369 44,998 1,413,179 942,421 2008-10-06 $16.93 $19.00 75.7% 16.4% 64.0% 100.0% 57.1% 8.7% -5.0% 3.4M 638.0M -5.8M 0.91 5.50 68,700 62,758 1,434,784 960,042 2008-10-07 $16.02 $18.00 83.5% 17.9% 65.6% 100.0% 61.0% 4.3% -4.0% 2.4M 688.9M -5.4M 0.57 8.13 72,817 41,762 1,452,601 968,485 2008-10-08 $16.25 $18.00 83.1% 18.5% 66.2% 99.4% 63.4% 6.2% -5.2% 2.3M 676.2M -5.5M 0.66 7.74 55,313 36,669 1,444,394 972,312 2008-10-09 $15.60 $18.00 96.2% 19.4% 66.9% 100.0% 64.8% 6.3% -3.9% 1.9M 681.0M -5.2M 0.31 10.74 52,217 15,957 1,444,778 962,972 2008-10-10 $15.19 $18.00 105.5% 21.2% 66.9% 100.0% 71.2% 5.4% -8.3% 1.7M 710.0M -5.0M 0.94 6.97 83,308 78,574 1,453,559 965,607 2008-10-13 $16.99 $17.00 91.5% 16.7% 79.6% 83.5% 59.5% 11.7% -1.4% 3.9M 553.2M -5.9M 0.55 8.54 107,818 59,167 1,479,897 984,829 2008-10-14 $15.93 $17.00 156.5% 22.1% 82.1% 100.0% 75.7% 13.6% -9.5% 1.7M 675.8M -5.3M 0.60 6.63 271,949 163,036 1,488,704 1,007,634 2008-10-15 $14.99 $17.00 91.4% 19.5% 82.9% 52.0% 65.0% 10.8% -3.0% -1.2M 836.0M -4.7M 0.51 6.59 143,300 73,749 1,598,358 1,068,322 2008-10-16 $15.88 $16.00 63.9% 18.3% 84.7% 31.7% 65.6% 12.5% -0.1% 1.7M 730.3M -5.2M 0.70 5.66 95,277 66,291 1,596,505 1,058,357 2008-10-17 $15.50 $16.00 60.8% 17.4% 84.8% 29.4% 60.4% 10.6% -0.7% 1.7M 755.6M -4.9M 0.68 5.49 45,147 30,569 1,616,403 1,059,558 2008-10-20 $16.04 $16.00 47.0% 13.5% 85.6% 19.3% 48.0% 11.4% 2.2% 2.7M 526.1M -5.0M 0.51 4.46 43,808 22,143 1,236,458 859,116 2008-10-21 $15.25 $16.00 50.0% 14.3% 86.8% 21.5% 49.1% 7.0% 1.9% 1.6M 603.8M -4.4M 0.59 3.98 54,444 32,394 1,249,983 861,104 2008-10-22 $14.58 $17.00 60.1% 17.2% 87.5% 29.0% 60.9% 14.5% -2.7% 746.0K 655.0M -4.2M 0.56 4.84 65,145 36,504 1,251,535 870,139 2008-10-23 $14.51 $16.00 61.2% 17.5% 87.5% 29.7% 63.7% 17.8% -1.7% 1.2M 640.6M -4.1M 0.58 3.59 55,831 32,542 1,265,785 872,025 2008-10-24 $14.28 $16.00 69.0% 19.8% 85.8% 35.5% 67.2% 22.3% -4.5% 1.2M 641.8M -4.0M 0.62 3.53 59,147 36,954 1,285,860 879,152 2008-10-27 $14.25 $16.00 75.4% 21.6% 78.8% 40.2% 72.5% 19.4% -1.2% 1.6M 610.8M -4.2M 0.38 4.46 107,757 40,851 1,303,228 893,025 2008-10-28 $15.86 $16.00 54.8% 15.7% 83.2% 25.0% 60.5% 19.2% 2.9% 4.9M 444.8M -5.1M 0.35 3.11 76,898 27,157 1,359,914 900,273 2008-10-29 $14.94 $16.00 63.6% 18.2% 85.2% 31.6% 63.3% 14.5% 0.8% 3.7M 544.2M -4.6M 0.54 4.37 67,520 36,239 1,373,747 908,451 2008-10-30 $16.17 $16.00 58.8% 16.9% 87.4% 28.0% 60.3% 17.9% 1.8% 5.5M 366.7M -5.4M 0.50 4.17 90,734 45,527 1,374,182 916,390 2008-10-31 $16.03 $16.00 54.1% 15.5% 87.3% 24.5% 55.2% 15.7% 4.6% 4.9M 408.3M -5.2M 0.57 4.57 62,276 35,673 1,374,893 928,006
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