INTC Options History — December 2009

In December 2009, INTC traded between $19.07 and $20.59. ATM implied volatility averaged 28.8%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.4% (HV 20d: 24.3%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-12-04: Highest Volume — 134,208 contracts
  • 2009-12-10: Largest IV spike — 20.0% change
  • 2009-12-31: Highest IV Rank — 13.4%
  • 2009-12-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.01$19.07$20.59$19.66$20.40
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV28.8%24.0%33.6%24.6%33.6%
Expected Move8.5%6.9%9.6%7.0%9.6%
HV 20d24.3%22.6%26.3%26.3%22.9%
HV 60d24.5%23.6%25.6%23.7%23.7%
IV Rank6.7%0.0%13.4%0.9%13.4%
IV Percentile21.7%0.4%40.9%1.2%40.9%
Term Structure-0.2%-4.9%5.2%4.7%-4.9%
VWIV29.8%24.9%33.2%25.7%33.2%
Skew 25d3.0%1.6%4.4%3.2%1.6%
Skew 10d7.8%4.3%11.9%7.5%4.3%
Call IV 25d29.0%24.1%33.2%24.7%33.2%
Put IV 25d32.0%26.9%34.7%27.9%34.7%
Bid-Ask Spread %2.391.773.032.982.10
Gamma HHI0.340.270.440.370.31
Net GEX31.0M11.6M39.5M26.8M29.9M
Net DEX-692.0M-932.7M-279.8M-573.0M-831.0M
Net VEX-5.8M-6.3M-5.5M-5.9M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.242.090.390.59
Total Volume69,672.22733,130134,208104,42847,649
Total OI2,123,4292,011,3172,244,1152,028,5092,160,085

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$19.66$19.0024.6%7.0%26.3%0.9%25.7%3.2%4.7%26.8M-573.0M-5.9M0.392.9875,25129,1771,205,712822,797
2009-12-02$19.72$19.0024.3%7.0%24.0%0.4%25.1%2.8%5.2%28.5M-596.3M-6.1M0.242.5641,2359,9291,244,131839,646
2009-12-03$19.87$19.0024.0%6.9%24.1%0.0%24.9%2.8%4.3%32.3M-685.9M-6.0M0.483.0369,45233,1921,249,619841,424
2009-12-04$20.46$19.0025.2%8.4%25.4%1.7%28.9%3.6%1.7%36.2M-932.7M-6.3M0.572.6985,44748,7611,260,049858,834
2009-12-07$20.37$19.0025.5%8.5%25.6%2.1%29.6%3.6%1.1%36.3M-870.4M-6.1M0.582.6840,70223,7671,257,227874,685
2009-12-08$19.99$19.0026.1%8.5%25.1%3.0%30.3%4.4%1.1%31.4M-669.8M-6.0M0.902.3939,07635,3181,262,066884,942
2009-12-09$20.01$19.0024.8%8.6%25.1%1.1%30.4%3.5%0.8%33.4M-742.3M-5.9M0.812.5342,87334,5801,263,444877,662
2009-12-10$20.15$19.0029.7%8.5%24.5%8.0%29.9%3.9%0.9%35.3M-768.8M-5.9M0.392.7638,76415,1231,266,022873,709
2009-12-11$19.90$19.0029.5%8.5%24.8%7.7%30.0%3.9%0.9%34.6M-675.3M-5.9M0.371.7738,30014,2181,282,476877,815
2009-12-14$19.98$19.0030.0%8.6%24.7%8.4%31.2%4.0%0.1%39.5M-722.4M-5.8M0.741.8825,31818,8631,296,573883,681
2009-12-15$19.80$19.0029.8%8.5%23.7%8.1%30.1%3.7%0.3%37.9M-645.0M-5.7M0.662.2127,40718,2031,303,286889,729
2009-12-16$19.38$19.0031.2%9.0%24.7%10.1%30.6%4.0%-0.9%24.4M-396.7M-5.6M0.782.4558,39645,5971,297,734888,913
2009-12-17$19.07$19.0030.6%8.8%25.0%9.3%30.6%2.5%0.2%11.6M-279.8M-5.5M0.512.0143,22122,0531,300,215911,950
2009-12-18$19.63$19.0030.9%8.9%22.9%9.6%31.5%3.1%-0.9%33.3M-522.6M-5.7M0.412.9958,70623,9361,325,129918,986
2009-12-21$20.09$19.0029.7%8.5%24.2%8.0%29.9%2.3%-1.1%27.7M-687.7M-5.7M0.322.0984,30527,2551,172,697838,620
2009-12-22$20.04$19.0028.5%8.2%24.1%6.4%29.0%2.1%-0.9%28.8M-651.7M-5.7M0.592.1233,99020,1251,181,599853,231
2009-12-23$20.10$19.0029.3%8.4%24.1%7.4%29.3%2.5%-1.5%29.5M-672.2M-5.7M0.732.2119,68414,3431,201,858866,325
2009-12-24$20.33$19.0030.2%8.7%24.3%8.6%29.7%2.4%-2.3%30.0M-785.8M-5.7M0.242.1926,6256,5051,207,530869,106
2009-12-28$20.30$19.0033.0%9.5%23.7%12.6%32.9%2.0%-3.8%30.5M-774.0M-5.6M0.481.8436,88817,6851,211,676866,496
2009-12-29$20.40$19.0031.8%9.1%23.7%10.9%31.6%1.8%-3.9%33.1M-841.5M-5.5M2.092.6222,68647,4081,218,248874,353
2009-12-30$20.59$19.0031.0%8.9%22.6%9.7%32.0%1.8%-4.5%31.7M-899.2M-5.6M0.812.3939,20931,5671,227,202907,956
2009-12-31$20.40$19.0033.6%9.6%22.9%13.4%33.2%1.6%-4.9%29.9M-831.0M-5.6M0.592.1029,87817,7711,236,437923,648