INTC Options History — March 2009 In March 2009, INTC traded between $12.28 and $15.82. ATM implied volatility averaged 54.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 4.1% (HV 20d: 58.2%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2009-03-12 : Highest Volume — 130,663 contracts2009-03-10 : Largest IV drop — 18.9% change2009-03-02 : Highest IV Rank — 28.8%2009-03-06 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.20 $12.28 $15.82 $12.31 $15.03 Max Pain $13.91 $13.00 $15.00 $13.00 $14.00 ATM IV 54.1% 47.3% 61.0% 61.0% 57.9% Expected Move 15.7% 14.0% 17.7% 17.5% 16.6% HV 20d 58.2% 49.7% 63.6% 54.1% 61.8% HV 60d 54.8% 52.1% 57.0% 55.0% 56.6% IV Rank 23.7% 18.6% 28.8% 28.8% 26.5% IV Percentile 69.3% 56.0% 83.3% 83.3% 75.8% Term Structure -2.5% -5.9% 3.7% -0.2% -5.3% VWIV 55.0% 51.6% 60.1% 58.1% 57.4% Skew 25d 8.6% 6.8% 10.2% 7.5% 9.7% Skew 10d 16.7% 12.8% 20.8% 12.8% 16.8% Call IV 25d 51.2% 45.8% 58.8% 56.5% 52.8% Put IV 25d 59.8% 55.1% 67.4% 64.0% 62.4% Bid-Ask Spread % 2.99 1.81 4.81 2.04 2.87 Gamma HHI 0.19 0.14 0.33 0.14 0.16 Net GEX 6.4M 2.3M 10.0M 2.5M 6.0M Net DEX -84.5M -342.6M 179.3M 167.9M -137.7M Net VEX -3.6M -4.2M -2.9M -2.9M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.21 1.40 0.44 0.99 Total Volume 71,011.318 32,044 130,663 52,291 39,844 Total OI 1,492,363.545 1,373,574 1,628,248 1,393,781 1,523,311
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 2009-03-02 $12.31 $13.00 61.0% 17.5% 54.1% 28.8% 58.1% 7.5% -0.2% 2.5M 167.9M -2.9M 0.44 2.04 36,242 16,049 837,943 555,838 2009-03-03 $12.28 $13.00 58.2% 16.7% 49.7% 26.8% 57.1% 6.8% 2.3% 2.3M 179.3M -2.9M 0.21 4.81 42,480 8,787 845,297 559,460 2009-03-04 $12.76 $13.00 52.6% 15.1% 51.9% 22.6% 53.9% 7.3% 3.7% 3.8M 131.9M -3.1M 1.38 3.12 25,058 34,490 864,943 562,179 2009-03-05 $12.31 $13.00 59.9% 17.2% 52.8% 28.0% 57.5% 8.5% 1.4% 2.7M 172.3M -2.9M 0.65 3.81 19,454 12,590 861,312 569,770 2009-03-06 $12.41 $14.00 59.2% 17.7% 51.7% 27.5% 58.2% 7.6% -5.3% 2.8M 168.2M -2.9M 0.57 3.74 32,242 18,322 863,802 574,417 2009-03-09 $12.55 $14.00 60.4% 17.5% 50.0% 28.4% 60.1% 8.6% -5.9% 3.3M 154.4M -3.0M 0.42 2.92 31,511 13,143 872,375 576,539 2009-03-10 $13.92 $14.00 49.0% 15.8% 63.6% 19.9% 54.9% 7.8% -2.8% 7.5M -41.4M -3.5M 0.23 2.31 98,909 22,371 884,124 581,873 2009-03-11 $13.96 $14.00 47.3% 15.2% 60.3% 18.6% 55.2% 8.9% -2.2% 8.4M -68.8M -3.5M 0.41 2.24 60,221 24,663 906,068 586,006 2009-03-12 $14.52 $14.00 49.6% 14.2% 62.0% 20.4% 51.7% 8.7% -1.6% 9.7M -190.2M -3.7M 1.15 2.88 60,730 69,933 922,708 594,386 2009-03-13 $14.70 $14.00 50.2% 14.4% 62.0% 20.8% 52.7% 8.3% -2.6% 9.5M -204.4M -3.7M 0.65 2.32 39,101 25,562 925,964 634,166 2009-03-16 $14.25 $14.00 53.6% 15.4% 63.0% 23.3% 52.7% 9.0% -3.6% 9.0M -111.7M -3.5M 1.05 3.55 33,135 34,847 930,641 636,854 2009-03-17 $14.90 $14.00 49.7% 14.3% 61.8% 20.4% 52.9% 8.5% -2.0% 9.9M -251.3M -3.7M 0.35 2.41 66,553 23,219 939,958 647,568 2009-03-18 $15.24 $14.00 51.6% 14.8% 62.1% 21.8% 51.8% 8.0% -2.7% 10.0M -342.6M -3.9M 0.52 3.92 71,403 37,458 953,883 659,579 2009-03-19 $15.15 $14.00 53.0% 15.2% 58.3% 22.9% 54.2% 9.1% -3.4% 9.7M -294.1M -3.9M 0.57 2.48 42,397 24,308 948,146 680,102 2009-03-20 $14.65 $14.00 53.5% 15.3% 60.2% 23.2% 54.4% 9.7% -3.0% 8.9M -183.5M -3.8M 0.69 1.81 48,807 33,640 946,133 678,094 2009-03-23 $15.52 $14.00 48.8% 14.0% 57.9% 19.7% 51.6% 10.2% -3.7% 6.1M -201.3M -4.0M 0.56 1.87 49,999 28,183 802,515 571,059 2009-03-24 $15.07 $14.00 53.5% 15.3% 57.7% 23.2% 53.2% 9.2% -3.7% 5.6M -138.0M -3.9M 0.86 2.97 38,480 33,074 825,939 589,872 2009-03-25 $14.94 $14.00 54.2% 15.5% 57.8% 23.7% 54.8% 9.8% -3.5% 5.4M -124.3M -4.0M 0.44 3.60 52,602 23,143 840,316 607,484 2009-03-26 $15.82 $14.00 52.0% 14.9% 59.1% 22.1% 53.4% 9.8% -3.5% 6.7M -266.3M -4.2M 0.77 2.46 44,496 34,219 853,608 615,433 2009-03-27 $15.42 $15.00 55.7% 16.0% 60.5% 24.9% 54.9% 8.5% -2.9% 6.3M -203.3M -4.2M 1.40 3.40 15,848 22,126 866,193 629,038 2009-03-30 $14.72 $15.00 58.9% 16.9% 61.8% 27.3% 59.7% 8.3% -4.9% 5.0M -74.4M -4.0M 1.24 4.22 32,470 40,140 867,727 639,375 2009-03-31 $15.03 $14.00 57.9% 16.6% 61.8% 26.5% 57.4% 9.7% -5.3% 6.0M -137.7M -4.1M 0.99 2.87 20,057 19,787 882,823 640,488
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