INTC Options History — July 2009 In July 2009, INTC traded between $15.94 and $19.48. ATM implied volatility averaged 36.1%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.4% (HV 20d: 29.7%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.69.
Notable Days 2009-07-15 : Highest Volume — 297,485 contracts2009-07-15 : Largest IV drop — 42.1% change2009-07-14 : Highest IV Rank — 23.6%2009-07-08 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $17.99 $15.94 $19.48 $17.04 $19.25 Max Pain $16.59 $15.00 $18.00 $15.00 $18.00 ATM IV 36.1% 27.3% 55.9% 35.9% 28.7% Expected Move 9.2% 7.8% 11.1% 10.3% 8.2% HV 20d 29.7% 23.7% 35.1% 23.7% 31.3% HV 60d 32.0% 29.8% 33.3% 32.6% 29.8% IV Rank 8.6% 1.9% 23.6% 8.5% 3.0% IV Percentile 22.6% 0.8% 70.2% 25.4% 4.4% Term Structure 1.5% -3.1% 3.8% -3.1% 2.0% VWIV 32.6% 28.2% 39.6% 36.4% 29.4% Skew 25d 3.7% 1.2% 5.3% 3.5% 2.8% Skew 10d 7.0% 2.8% 10.2% 6.5% 4.7% Call IV 25d 30.7% 26.0% 36.7% 35.1% 27.9% Put IV 25d 34.4% 30.1% 41.8% 38.6% 30.7% Bid-Ask Spread % 3.47 2.68 4.32 2.74 3.22 Gamma HHI 0.18 0.15 0.27 0.19 0.16 Net GEX 13.1M 9.8M 20.8M 13.3M 13.2M Net DEX -465.9M -905.4M -91.7M -351.7M -569.1M Net VEX -5.0M -5.5M -4.6M -4.8M -5.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.43 1.91 0.77 1.91 Total Volume 93,517.727 28,753 297,485 121,743 36,329 Total OI 1,652,525.636 1,443,492 1,884,344 1,605,427 1,630,218
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 2009-07-01 $17.04 $15.00 35.9% 10.3% 23.7% 8.5% 36.4% 3.5% -3.1% 13.3M -351.7M -4.8M 0.77 2.74 68,885 52,858 907,081 698,346 2009-07-02 $16.72 $15.00 36.3% 10.4% 24.7% 8.8% 36.7% 2.2% -3.0% 12.8M -264.6M -4.8M 0.67 2.99 35,280 23,520 926,756 714,079 2009-07-06 $16.54 $16.00 42.6% 10.2% 24.6% 13.6% 36.2% 4.7% 1.6% 12.1M -225.6M -4.7M 0.48 3.51 41,796 19,862 934,533 718,085 2009-07-07 $16.25 $16.00 47.1% 11.0% 25.5% 17.0% 38.2% 5.0% 1.0% 11.7M -162.2M -4.7M 0.83 3.80 31,131 25,935 952,847 712,616 2009-07-08 $15.94 $16.00 47.3% 11.1% 23.9% 17.1% 39.6% 5.1% 0.7% 9.8M -91.7M -4.6M 0.77 3.82 47,320 36,211 960,181 721,908 2009-07-09 $16.02 $16.00 47.0% 10.8% 24.0% 16.9% 37.6% 4.9% 1.5% 10.7M -106.0M -4.6M 0.43 4.27 22,629 9,682 966,680 726,742 2009-07-10 $16.04 $16.00 48.5% 10.7% 23.9% 18.0% 37.8% 4.6% 1.8% 10.8M -114.1M -4.6M 0.48 3.01 55,722 26,558 966,689 730,004 2009-07-13 $16.49 $16.00 54.9% 10.4% 26.0% 22.9% 34.6% 5.0% 1.2% 15.5M -232.5M -4.6M 0.43 3.63 74,733 32,047 983,696 738,298 2009-07-14 $16.83 $16.00 55.9% 10.1% 25.6% 23.6% 36.2% 5.3% 1.3% 18.1M -320.2M -4.7M 0.59 4.18 164,334 97,559 994,206 747,551 2009-07-15 $18.05 $16.00 32.4% 8.3% 34.7% 5.8% 30.6% 5.0% 3.6% 20.8M -781.8M -4.9M 0.45 3.42 205,427 92,058 1,055,336 782,831 2009-07-16 $18.50 $17.00 29.9% 8.6% 35.1% 3.9% 29.5% 3.8% 3.2% 14.2M -858.3M -5.0M 0.45 3.36 118,710 53,924 1,055,593 806,307 2009-07-17 $18.79 $17.00 27.3% 7.8% 34.1% 1.9% 30.3% 4.6% 3.8% 12.3M -905.4M -5.2M 0.56 3.86 72,162 40,383 1,064,839 819,505 2009-07-20 $18.90 $17.00 27.4% 7.8% 34.1% 2.0% 29.3% 4.3% 1.8% 11.0M -505.3M -5.0M 0.97 3.38 48,320 46,792 809,087 634,405 2009-07-21 $18.90 $17.00 27.3% 7.8% 32.5% 1.9% 28.2% 4.0% 1.8% 11.1M -499.9M -5.2M 0.71 3.42 35,353 25,167 831,526 661,295 2009-07-22 $19.14 $17.00 28.4% 8.1% 32.5% 2.8% 28.6% 3.7% 1.9% 11.4M -563.2M -5.3M 0.58 4.32 46,086 26,818 841,210 669,927 2009-07-23 $19.48 $17.00 30.0% 8.6% 32.5% 4.0% 29.7% 2.6% 1.3% 12.0M -634.2M -5.4M 0.44 2.69 73,474 32,544 855,097 679,478 2009-07-24 $19.36 $17.00 29.5% 8.5% 32.9% 3.6% 30.0% 1.2% 1.7% 12.9M -621.3M -5.5M 0.87 2.80 42,418 36,804 887,426 687,960 2009-07-27 $19.47 $17.00 30.2% 8.7% 32.8% 4.1% 30.1% 2.2% 1.3% 13.7M -634.0M -5.5M 0.70 2.68 20,083 14,031 907,604 705,652 2009-07-28 $19.37 $17.00 29.1% 8.3% 33.1% 3.3% 29.7% 2.0% 2.4% 13.5M -606.9M -5.5M 0.70 4.19 31,998 22,296 909,713 710,103 2009-07-29 $19.40 $18.00 29.5% 8.4% 33.2% 3.6% 30.0% 2.0% 1.9% 13.5M -610.8M -5.5M 0.96 3.22 14,669 14,084 912,539 711,726 2009-07-30 $19.33 $18.00 28.6% 8.2% 32.4% 2.9% 29.3% 2.9% 3.2% 13.3M -591.7M -5.4M 0.52 3.76 27,305 14,093 913,750 712,139 2009-07-31 $19.25 $18.00 28.7% 8.2% 31.3% 3.0% 29.4% 2.8% 2.0% 13.2M -569.1M -5.4M 1.91 3.22 12,483 23,846 915,607 714,611
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