INTC Options History — April 2009 In April 2009, INTC traded between $15.00 and $16.01. ATM implied volatility averaged 46.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 1.9% (HV 20d: 48.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.69.
Notable Days 2009-04-14 : Highest Volume — 340,887 contracts2009-04-09 : Largest IV drop — 18.9% change2009-04-07 : Highest IV Rank — 28.5%2009-04-01 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $15.57 $15.00 $16.01 $15.03 $15.78 Max Pain $15.05 $15.00 $16.00 $15.00 $15.00 ATM IV 46.7% 35.5% 60.6% 56.8% 37.2% Expected Move 13.0% 10.2% 16.3% 16.3% 10.7% HV 20d 48.5% 36.4% 60.9% 60.9% 37.6% HV 60d 53.9% 50.5% 56.9% 56.5% 50.8% IV Rank 18.1% 9.9% 28.5% 25.7% 11.1% IV Percentile 49.7% 29.0% 81.7% 73.8% 29.0% Term Structure 1.3% -5.7% 6.3% -3.8% 2.3% VWIV 46.1% 37.6% 57.9% 57.5% 38.2% Skew 25d 7.0% 3.5% 9.6% 8.6% 4.9% Skew 10d 12.0% 5.6% 16.9% 16.9% 7.1% Call IV 25d 42.4% 34.0% 55.2% 52.3% 36.1% Put IV 25d 49.4% 39.4% 61.0% 60.9% 40.9% Bid-Ask Spread % 3.45 2.00 4.71 2.75 3.43 Gamma HHI 0.18 0.12 0.35 0.16 0.20 Net GEX 7.0M 3.1M 13.2M 5.9M 7.9M Net DEX -189.0M -344.3M -29.2M -129.0M -159.1M Net VEX -4.1M -4.3M -3.7M -4.0M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.37 2.40 1.30 0.47 Total Volume 103,295.095 39,783 340,887 59,928 88,957 Total OI 1,500,232.476 1,172,376 1,819,507 1,527,097 1,371,849
Daily Data (21 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 2009-04-01 $15.03 $15.00 56.8% 16.3% 60.9% 25.7% 57.5% 8.6% -3.8% 5.9M -129.0M -4.0M 1.30 2.75 26,101 33,827 876,473 650,624 2009-04-02 $15.70 $15.00 56.4% 16.2% 59.8% 25.4% 57.9% 5.8% -5.7% 7.1M -255.9M -4.2M 0.61 4.68 84,216 51,562 880,408 651,600 2009-04-03 $15.95 $15.00 55.0% 14.4% 59.8% 24.4% 52.8% 9.4% 0.1% 7.8M -304.2M -4.3M 0.38 3.59 41,165 15,627 904,917 677,904 2009-04-06 $15.86 $15.00 56.1% 14.5% 60.2% 25.2% 52.8% 9.3% 0.2% 8.5M -297.5M -4.3M 0.64 3.36 38,095 24,376 923,698 679,901 2009-04-07 $15.45 $15.00 60.6% 15.3% 50.8% 28.5% 52.8% 9.6% -0.1% 8.0M -218.5M -4.2M 2.40 3.15 20,903 50,241 939,973 691,379 2009-04-08 $15.27 $15.00 59.4% 15.1% 51.1% 27.7% 52.6% 9.2% 0.5% 7.5M -178.4M -4.1M 0.37 3.84 29,140 10,643 947,104 700,111 2009-04-09 $15.98 $15.00 48.2% 13.8% 51.7% 19.3% 49.0% 9.2% 1.3% 8.7M -342.6M -4.2M 0.58 4.21 60,617 34,864 936,027 703,971 2009-04-13 $15.98 $15.00 50.7% 14.5% 51.7% 21.2% 51.3% 8.4% -0.6% 8.5M -328.8M -4.2M 0.39 3.09 75,264 29,563 945,246 713,825 2009-04-14 $16.01 $15.00 56.0% 16.1% 50.0% 25.1% 55.7% 6.7% -3.9% 8.6M -344.3M -4.2M 0.84 3.00 184,930 155,957 963,976 720,599 2009-04-15 $15.62 $16.00 45.6% 13.1% 48.9% 17.3% 46.5% 7.0% 3.8% 7.0M -225.6M -4.1M 0.62 3.60 166,832 102,868 1,028,683 790,824 2009-04-16 $15.89 $15.00 42.5% 12.2% 48.6% 15.1% 43.3% 7.6% 4.9% 13.2M -335.0M -4.0M 0.54 3.45 74,160 40,240 1,036,004 766,763 2009-04-17 $15.60 $15.00 39.1% 11.2% 49.1% 12.5% 40.0% 6.8% 6.3% 10.3M -225.4M -3.9M 0.39 3.02 77,576 29,982 1,024,835 756,952 2009-04-20 $15.00 $15.00 43.3% 12.4% 49.7% 15.6% 42.7% 6.3% 1.5% 3.1M -29.2M -3.7M 0.99 2.17 55,968 55,206 681,110 491,266 2009-04-21 $15.36 $15.00 41.2% 11.8% 45.9% 14.1% 40.0% 6.5% 1.6% 4.2M -74.0M -3.9M 0.59 3.06 48,599 28,886 704,156 516,764 2009-04-22 $15.67 $15.00 37.8% 10.8% 45.1% 11.6% 38.1% 7.2% 4.0% 5.0M -119.8M -4.0M 0.37 3.54 71,900 26,465 717,563 524,405 2009-04-23 $15.53 $15.00 37.4% 10.7% 45.1% 11.2% 39.3% 6.6% 4.1% 5.6M -106.2M -4.0M 0.92 4.00 38,308 35,290 743,571 530,258 2009-04-24 $15.62 $15.00 35.5% 10.2% 40.2% 9.9% 37.6% 5.5% 3.7% 5.5M -108.5M -4.0M 0.46 4.43 40,762 18,579 750,917 545,722 2009-04-27 $15.28 $15.00 41.1% 11.8% 39.9% 14.0% 40.5% 4.3% 0.9% 4.8M -71.4M -3.9M 0.66 2.00 35,187 23,106 768,742 550,770 2009-04-28 $15.05 $15.00 40.4% 11.6% 36.5% 13.5% 39.5% 5.7% 3.6% 4.5M -39.0M -3.9M 0.55 3.43 50,551 27,971 778,464 554,011 2009-04-29 $15.35 $15.00 39.3% 11.3% 36.4% 12.7% 39.1% 3.5% 2.1% 5.8M -77.4M -4.0M 0.41 4.71 45,779 18,934 800,424 563,093 2009-04-30 $15.78 $15.00 37.2% 10.7% 37.6% 11.1% 38.2% 4.9% 2.3% 7.9M -159.1M -4.1M 0.47 3.43 60,648 28,309 808,563 563,286
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