INTC Options History — April 2010

In April 2010, INTC traded between $22.31 and $24.22. ATM implied volatility averaged 27.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.8% (HV 20d: 19.0%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2010-04-13: Highest Volume — 475,480 contracts
  • 2010-04-14: Largest IV drop — 48.9% change
  • 2010-04-13: Highest IV Rank — 61.4%
  • 2010-04-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.26$22.31$24.22$22.39$22.84
Max Pain$22.43$20.00$23.00$20.00$23.00
ATM IV27.8%21.1%49.1%28.3%23.9%
Expected Move6.8%6.0%8.1%8.1%6.9%
HV 20d19.0%16.8%23.4%17.9%23.4%
HV 60d22.9%20.7%24.4%24.4%21.4%
IV Rank16.4%2.2%61.4%17.5%8.1%
IV Percentile29.3%0.4%96.8%36.9%9.9%
Term Structure0.5%-2.6%2.3%-2.6%1.8%
VWIV24.5%22.1%28.5%28.5%24.6%
Skew 25d2.7%1.9%4.0%3.1%2.0%
Skew 10d5.9%3.2%9.1%9.1%3.2%
Call IV 25d23.1%20.4%27.1%27.1%24.2%
Put IV 25d25.8%23.0%30.2%30.2%26.2%
Bid-Ask Spread %3.272.355.312.353.15
Gamma HHI0.220.160.410.200.16
Net GEX27.3M17.4M45.2M24.1M17.4M
Net DEX-1.05B-1.82B-619.5M-898.4M-619.5M
Net VEX-6.7M-7.3M-6.0M-6.3M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.250.650.520.65
Total Volume135,931.28644,043475,48055,95793,896
Total OI1,843,393.9521,597,6062,238,6311,814,3021,813,853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$22.39$20.0028.3%8.1%17.9%17.5%28.5%3.1%-2.6%24.1M-898.4M-6.3M0.522.3536,76319,194981,660832,642
2010-04-05$22.59$22.0030.1%7.2%17.8%21.2%25.5%3.9%0.2%26.0M-1.00B-6.1M0.482.9934,14416,436995,468840,920
2010-04-06$22.40$22.0032.4%7.5%18.2%26.1%25.9%4.0%-0.5%24.9M-927.4M-6.1M0.472.8941,96219,881999,171847,551
2010-04-07$22.45$22.0034.4%7.6%18.2%30.2%26.3%3.9%-0.5%24.6M-945.0M-6.1M0.512.9550,24925,3751,002,919854,877
2010-04-08$22.31$22.0035.5%7.6%18.2%32.6%26.9%3.0%-0.2%23.9M-888.6M-6.1M0.542.6934,06718,3841,002,919854,877
2010-04-09$22.55$22.0034.1%7.2%18.4%29.7%26.5%3.5%0.5%27.3M-1.03B-6.2M0.402.9141,89016,8211,030,378867,033
2010-04-12$22.54$22.0046.7%7.7%18.4%56.3%26.9%2.9%-0.9%27.6M-1.04B-6.1M0.323.11105,71534,3171,043,958873,387
2010-04-13$22.77$22.0049.1%7.6%18.4%61.4%26.8%2.9%-1.6%32.4M-1.16B-6.1M0.445.31331,138144,3421,080,340886,525
2010-04-14$23.52$22.0025.1%6.0%16.8%10.6%22.3%2.6%1.9%45.2M-1.58B-6.2M0.403.26298,538118,4941,165,715974,113
2010-04-15$24.22$22.0023.0%6.6%19.1%6.2%24.1%1.9%1.1%40.4M-1.82B-6.0M0.253.26327,75881,3791,160,4511,005,174
2010-04-16$23.92$23.0022.3%6.4%19.9%4.6%23.4%1.9%2.3%39.8M-1.64B-6.8M0.294.53167,10848,0551,215,1341,023,497
2010-04-19$24.00$23.0022.4%6.4%19.2%4.9%22.9%2.4%0.3%23.1M-999.5M-6.8M0.413.69109,81444,695908,687688,919
2010-04-20$24.12$23.0021.1%6.1%19.1%2.2%22.1%2.6%1.1%26.8M-1.07B-7.0M0.423.4948,22220,122952,091708,592
2010-04-21$23.80$23.0021.3%6.1%19.2%2.5%22.8%2.3%0.9%24.8M-945.1M-7.1M0.532.8661,37432,404964,685716,534
2010-04-22$23.99$23.0021.9%6.3%18.6%3.9%23.1%2.5%0.7%27.0M-1.02B-7.2M0.383.5147,00817,675988,781723,687
2010-04-23$24.04$23.0021.1%6.1%18.4%2.2%22.1%2.4%1.3%27.2M-1.03B-7.3M0.383.6741,38515,792987,236727,515
2010-04-26$23.82$23.0021.5%6.2%18.7%3.1%22.6%1.9%1.5%26.4M-975.5M-7.2M0.333.1533,05810,985992,118734,353
2010-04-27$23.35$23.0024.1%6.9%20.5%8.6%24.4%2.2%0.6%21.5M-805.6M-7.3M0.633.0345,76028,970995,597738,372
2010-04-28$23.26$23.0023.3%6.7%20.6%6.7%23.8%2.7%1.6%20.7M-762.0M-7.3M0.393.2271,70327,8361,003,138749,662
2010-04-29$23.49$23.0022.8%6.5%20.7%5.8%22.3%2.7%1.3%23.4M-846.7M-7.3M0.292.6071,10420,7441,017,037761,707
2010-04-30$22.84$23.0023.9%6.9%23.4%8.1%24.6%2.0%1.8%17.4M-619.5M-7.3M0.653.1556,84137,0551,040,218773,635