INTC Options History — November 2009

In November 2009, INTC traded between $18.50 and $20.32. ATM implied volatility averaged 26.9%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.1% (HV 20d: 25.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-11-19: Highest Volume — 236,355 contracts
  • 2009-11-04: Largest IV drop — 15.1% change
  • 2009-11-03: Highest IV Rank — 11.1%
  • 2009-11-03: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.39$18.50$20.32$19.01$19.20
Max Pain$19.35$19.00$20.00$20.00$19.00
ATM IV26.9%23.9%32.2%30.4%27.2%
Expected Move7.8%6.9%9.2%8.7%7.8%
HV 20d25.8%24.1%28.7%24.7%25.1%
HV 60d24.0%23.3%25.4%23.3%23.3%
IV Rank3.7%0.0%11.1%8.5%4.5%
IV Percentile7.4%0.0%23.0%19.4%12.3%
Term Structure3.6%1.1%5.1%1.8%4.3%
VWIV27.5%23.4%31.8%31.7%27.4%
Skew 25d3.3%1.8%4.1%3.0%2.5%
Skew 10d7.0%3.3%8.6%6.5%6.7%
Call IV 25d26.3%22.9%30.9%30.1%26.6%
Put IV 25d29.5%25.8%34.3%33.1%29.1%
Bid-Ask Spread %2.992.314.022.312.98
Gamma HHI0.290.150.360.170.36
Net GEX20.2M7.5M31.9M10.6M22.1M
Net DEX-457.8M-917.7M-52.0M-224.0M-394.3M
Net VEX-6.1M-6.4M-5.8M-6.0M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.261.211.050.43
Total Volume86,81236,116236,35573,43154,062
Total OI2,117,650.651,986,4492,253,7332,001,5042,031,926

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$19.01$20.0030.4%8.7%24.7%8.5%31.7%3.0%1.8%10.6M-224.0M-6.0M1.052.3135,81537,6161,175,954825,550
2009-11-03$18.50$20.0032.2%9.2%24.2%11.1%31.8%3.4%1.1%7.5M-52.0M-5.8M0.263.01163,42143,0931,182,201838,571
2009-11-04$18.59$20.0027.4%7.8%24.1%4.3%28.3%2.5%3.0%10.4M-116.6M-6.0M0.553.0669,84738,1251,213,621859,674
2009-11-05$18.89$20.0026.9%7.7%24.8%3.6%27.7%1.8%3.0%14.7M-242.9M-6.3M0.953.0366,10162,5611,263,424864,980
2009-11-06$18.93$19.0026.0%8.4%24.1%2.4%29.9%3.7%3.7%15.1M-245.9M-6.2M0.773.2324,73219,1351,278,808877,067
2009-11-09$19.46$19.0027.2%8.4%26.0%4.0%28.8%3.8%3.5%21.2M-492.5M-6.2M0.463.5747,62621,7951,291,146874,030
2009-11-10$19.50$19.0026.9%8.4%25.9%3.6%28.7%3.8%3.3%21.8M-525.1M-6.3M0.863.2941,25135,6721,295,693878,417
2009-11-11$19.84$19.0025.2%7.5%26.0%1.3%27.6%3.4%4.1%25.5M-678.2M-6.3M0.492.4458,53928,5331,294,475893,764
2009-11-12$19.68$19.0027.2%7.8%26.0%4.0%27.3%3.7%3.6%21.8M-564.0M-6.4M0.533.3953,01828,2611,280,898893,309
2009-11-13$19.82$19.0026.3%7.5%24.9%2.8%26.3%4.1%3.9%24.7M-627.7M-6.3M0.602.9825,43315,2141,281,348897,750
2009-11-16$20.23$19.0027.0%7.7%25.7%3.8%27.3%3.5%3.6%29.7M-865.1M-6.0M0.392.6160,28923,7781,280,715900,513
2009-11-17$20.32$20.0026.3%7.5%25.5%2.8%26.6%3.3%3.7%31.9M-917.7M-6.0M0.382.6926,1939,9231,290,169907,162
2009-11-18$20.12$20.0026.4%7.6%25.0%2.9%26.5%3.1%3.8%29.7M-793.2M-5.9M0.862.6141,57535,5631,275,153909,051
2009-11-19$19.30$20.0028.8%8.3%28.7%6.3%28.4%3.7%3.1%12.0M-358.9M-5.9M0.502.68157,63078,7251,287,702923,943
2009-11-20$19.24$19.0026.4%7.6%28.1%3.0%26.2%3.2%4.1%17.5M-369.0M-5.9M0.583.1769,25840,4971,320,507933,226
2009-11-23$19.40$19.0025.6%7.3%28.3%1.9%25.1%3.6%4.2%21.7M-454.7M-6.0M0.432.6443,15418,5541,176,068810,381
2009-11-24$19.39$19.0024.3%7.0%28.3%0.1%23.9%3.2%4.6%22.4M-451.9M-6.0M0.622.9431,98719,6831,191,687814,309
2009-11-25$19.34$19.0023.9%6.9%25.0%0.0%23.4%2.9%5.1%22.8M-429.3M-6.0M1.064.0229,37231,0801,198,556821,122
2009-11-27$19.11$19.0025.9%7.4%25.1%2.8%26.1%3.7%4.5%20.2M-353.4M-5.8M1.213.1622,24226,8871,200,660819,483
2009-11-30$19.20$19.0027.2%7.8%25.1%4.5%27.4%2.5%4.3%22.1M-394.3M-5.8M0.432.9837,75016,3121,205,301826,625