INTC Options History — October 2009 In October 2009, INTC traded between $18.90 and $20.83. ATM implied volatility averaged 35.1%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 11.4% (HV 20d: 23.6%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.45.
Notable Days 2009-10-13 : Highest Volume — 461,705 contracts2009-10-14 : Largest IV drop — 51.0% change2009-10-13 : Highest IV Rank — 28.2%2009-10-02 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.83 $18.90 $20.83 $18.90 $19.11 Max Pain $19.50 $18.00 $20.00 $18.00 $20.00 ATM IV 35.1% 24.3% 62.2% 41.3% 31.1% Expected Move 8.8% 7.0% 11.9% 11.8% 8.9% HV 20d 23.6% 20.7% 27.4% 20.9% 24.7% HV 60d 23.0% 21.2% 26.1% 26.1% 23.3% IV Rank 8.4% 0.0% 28.2% 12.3% 9.5% IV Percentile 24.5% 0.0% 88.9% 41.3% 20.6% Term Structure 0.1% -6.7% 2.7% -6.2% 2.0% VWIV 30.9% 25.0% 42.4% 42.4% 31.8% Skew 25d 2.4% -0.5% 4.0% -0.5% 3.5% Skew 10d 4.7% -1.0% 8.1% -1.0% 8.1% Call IV 25d 29.9% 23.7% 42.7% 42.7% 30.1% Put IV 25d 32.4% 26.0% 42.7% 42.2% 33.6% Bid-Ask Spread % 3.35 2.29 4.71 3.25 2.56 Gamma HHI 0.22 0.16 0.38 0.21 0.17 Net GEX 21.4M 11.3M 49.8M 15.2M 11.4M Net DEX -597.2M -1.16B -238.9M -379.2M -246.4M Net VEX -5.4M -6.0M -5.1M -5.2M -6.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.17 0.84 0.31 0.60 Total Volume 142,263.182 49,808 461,705 144,345 154,722 Total OI 1,932,421.727 1,611,439 2,271,282 1,915,170 1,950,884
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 2009-10-01 $18.90 $18.00 41.3% 11.8% 20.9% 12.3% 42.4% -0.5% -6.2% 15.2M -379.2M -5.2M 0.31 3.25 110,235 34,110 1,085,285 829,885 2009-10-02 $18.97 $18.00 41.5% 11.9% 20.9% 12.4% 42.2% 0.1% -6.7% 16.3M -399.4M -5.3M 0.84 2.40 39,238 32,987 1,109,472 842,081 2009-10-05 $19.10 $19.00 42.1% 9.9% 20.7% 12.9% 34.1% 4.0% -0.7% 17.0M -427.0M -5.2M 0.32 3.09 37,751 12,057 1,121,890 859,512 2009-10-06 $19.63 $19.00 44.3% 9.7% 22.8% 14.6% 34.5% 3.2% -0.7% 22.2M -621.4M -5.3M 0.27 3.28 65,548 17,916 1,126,468 849,010 2009-10-07 $19.75 $19.00 45.5% 9.7% 22.8% 15.5% 34.0% 3.3% -0.7% 23.8M -665.6M -5.3M 0.52 2.91 33,894 17,491 1,139,078 852,696 2009-10-08 $19.88 $19.00 45.8% 9.8% 22.7% 15.7% 35.0% 3.1% -0.7% 25.7M -719.0M -5.3M 0.46 3.99 64,718 29,590 1,147,981 859,846 2009-10-09 $20.17 $19.00 46.9% 9.6% 22.7% 16.6% 33.5% 3.2% -0.8% 27.8M -832.0M -5.4M 0.41 3.92 84,458 34,822 1,165,649 871,559 2009-10-12 $20.40 $19.00 55.0% 10.3% 22.7% 22.7% 35.7% 2.0% -2.5% 30.5M -919.3M -5.3M 0.17 3.81 231,953 39,356 1,170,375 861,173 2009-10-13 $20.49 $19.00 62.2% 10.7% 22.5% 28.2% 37.3% 2.9% -3.4% 34.0M -955.9M -5.3M 0.41 4.03 326,949 134,756 1,234,069 872,619 2009-10-14 $20.83 $20.00 30.5% 8.5% 23.1% 4.0% 29.8% 3.4% 1.0% 49.8M -1.16B -5.3M 0.29 4.25 272,765 79,632 1,312,094 932,033 2009-10-15 $20.67 $20.00 27.8% 8.0% 22.7% 3.7% 28.2% 2.7% 2.3% 44.2M -1.01B -5.3M 0.42 4.02 123,540 52,102 1,302,581 946,034 2009-10-16 $20.18 $20.00 26.1% 7.5% 24.6% 1.4% 26.4% 2.2% 2.7% 23.0M -843.5M -5.2M 0.42 3.27 148,184 62,661 1,312,073 959,209 2009-10-19 $20.41 $20.00 25.4% 7.3% 24.8% 0.4% 25.2% 2.5% 0.7% 17.7M -618.6M -5.1M 0.36 3.02 60,680 22,123 950,062 661,377 2009-10-20 $20.18 $20.00 25.0% 7.2% 25.3% 0.0% 25.1% 2.1% 1.1% 17.4M -555.3M -5.4M 0.72 2.88 33,828 24,276 973,820 674,766 2009-10-21 $19.86 $20.00 25.1% 7.2% 25.3% 0.1% 25.5% 2.7% 1.8% 14.8M -429.1M -5.4M 0.82 4.08 58,173 47,895 979,693 687,724 2009-10-22 $20.12 $20.00 24.3% 7.0% 24.8% 0.0% 25.0% 2.3% 2.3% 15.3M -522.1M -5.5M 0.39 2.85 76,023 29,640 998,046 710,954 2009-10-23 $19.78 $20.00 24.7% 7.1% 25.4% 0.5% 25.4% 2.6% 2.3% 15.0M -433.4M -5.6M 0.61 4.71 68,069 41,256 1,040,882 725,977 2009-10-26 $19.83 $20.00 25.4% 7.3% 24.5% 1.5% 26.4% 1.8% 2.2% 14.4M -452.0M -5.7M 0.35 3.32 57,264 20,295 1,052,939 749,212 2009-10-27 $19.74 $20.00 25.7% 7.4% 24.1% 1.9% 26.1% 1.6% 2.0% 13.9M -433.7M -5.7M 0.19 2.29 96,673 18,380 1,069,066 755,844 2009-10-28 $19.03 $20.00 29.0% 8.3% 27.4% 6.6% 29.4% 2.3% 1.7% 11.3M -238.9M -5.8M 0.57 3.07 79,297 45,318 1,105,921 761,093 2009-10-29 $19.22 $20.00 27.1% 7.8% 24.6% 3.9% 27.5% 2.2% 2.6% 11.5M -276.0M -5.8M 0.41 2.60 77,633 31,532 1,116,708 785,638 2009-10-30 $19.11 $20.00 31.1% 8.9% 24.7% 9.5% 31.8% 3.5% 2.0% 11.4M -246.4M -6.0M 0.60 2.56 96,418 58,304 1,149,537 801,347
« Sep 2009 | All History | Nov 2009 » Home INTC History October 2009