INTC Options History — July 2010

In July 2010, INTC traded between $19.20 and $21.78. ATM implied volatility averaged 33.2%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.1% (HV 20d: 27.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-07-14: Highest Volume — 463,901 contracts
  • 2010-07-14: Largest IV drop — 33.8% change
  • 2010-07-13: Highest IV Rank — 71.3%
  • 2010-07-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.86$19.20$21.78$19.25$20.60
Max Pain$20.57$20.00$21.00$21.00$21.00
ATM IV33.2%24.3%53.8%41.3%25.7%
Expected Move8.6%7.0%11.8%11.8%7.4%
HV 20d27.1%25.1%29.9%29.9%26.2%
HV 60d33.8%33.0%34.5%33.4%33.5%
IV Rank27.7%8.8%71.3%44.9%11.9%
IV Percentile54.1%13.9%97.6%90.9%25.0%
Term Structure0.7%-3.0%3.1%-3.0%1.9%
VWIV30.6%26.3%40.6%40.6%27.1%
Skew 25d5.4%3.5%7.6%6.0%3.5%
Skew 10d10.6%7.6%15.0%11.5%9.0%
Call IV 25d28.1%23.4%39.2%39.2%25.6%
Put IV 25d33.5%28.6%45.3%45.3%29.2%
Bid-Ask Spread %2.671.984.142.532.14
Gamma HHI0.140.090.430.090.10
Net GEX13.5M-1.8M42.6M-58.7K6.8M
Net DEX-292.3M-641.4M227.8M190.7M-103.6M
Net VEX-6.9M-7.4M-6.3M-6.4M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.431.241.150.95
Total Volume135,620.95239,757463,901136,32978,623
Total OI2,085,099.7141,778,5812,463,0542,075,1312,012,549

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$19.25$21.0041.3%11.8%29.9%44.9%40.6%6.0%-3.0%-58.7K190.7M-6.4M1.152.5363,46172,8681,194,615880,516
2010-07-02$19.20$21.0039.5%11.3%26.3%41.0%39.7%4.1%-2.5%-1.8M227.8M-6.3M0.462.8358,46026,8821,201,706914,854
2010-07-06$19.48$20.0043.5%10.7%25.1%49.6%35.7%7.6%-0.5%1.1M129.2M-6.3M0.593.1764,08137,9581,224,651914,698
2010-07-07$20.14$20.0040.5%9.7%28.0%43.1%34.1%6.8%0.0%7.0M-88.1M-6.6M0.624.1464,96540,5901,241,458927,669
2010-07-08$20.10$20.0040.4%9.5%27.6%43.0%34.1%6.5%0.4%6.8M-68.9M-6.5M0.483.6058,65227,8641,252,998932,684
2010-07-09$20.24$20.0040.5%9.5%25.4%43.1%32.8%5.8%0.1%8.2M-118.1M-6.6M0.522.6347,11324,6331,267,085939,517
2010-07-12$20.57$20.0048.7%9.2%26.0%60.6%33.1%5.3%-0.2%13.0M-270.1M-6.6M0.462.67120,61654,9901,279,340942,936
2010-07-13$21.01$20.0053.8%9.6%26.8%71.3%34.0%5.8%-1.1%17.7M-443.9M-6.9M0.682.56257,949175,7441,306,627960,288
2010-07-14$21.36$20.0035.6%8.8%25.5%32.8%30.5%5.3%0.9%25.8M-620.7M-7.1M0.432.90323,338140,5631,377,0141,030,968
2010-07-15$21.51$20.0028.1%8.1%25.7%17.1%29.8%4.9%1.8%28.9M-641.4M-7.3M0.672.27144,97097,4001,389,7641,058,365
2010-07-16$21.02$20.0029.3%8.4%26.9%19.4%29.4%5.8%3.1%42.6M-427.8M-7.1M0.802.9491,62073,5621,393,1081,069,946
2010-07-19$21.59$21.0025.3%7.2%28.6%11.0%26.7%5.8%1.3%13.4M-475.8M-7.2M0.512.6558,32329,9631,023,359755,222
2010-07-20$21.65$21.0024.6%7.0%28.4%9.5%26.9%5.2%1.7%15.4M-509.1M-7.2M1.161.9839,51645,8541,049,390764,679
2010-07-21$21.26$21.0028.1%8.0%28.9%16.9%27.9%5.1%0.8%12.6M-385.5M-7.2M1.242.6843,75054,0941,060,400784,854
2010-07-22$21.78$21.0025.9%7.4%29.9%12.4%27.2%5.4%0.8%15.1M-517.1M-7.4M0.562.1578,91644,1371,071,771819,657
2010-07-23$21.69$21.0024.7%7.1%28.4%9.7%26.3%5.0%2.1%16.0M-491.1M-7.4M0.652.8031,38320,2901,092,623833,719
2010-07-26$21.71$21.0024.9%7.1%27.6%10.1%27.0%4.9%1.8%16.2M-493.2M-7.3M0.542.0329,83015,9781,095,416841,717
2010-07-27$21.58$21.0024.3%7.0%27.4%8.8%26.5%5.0%2.0%15.6M-440.8M-7.3M0.522.1926,11413,6431,101,956846,570
2010-07-28$21.33$21.0026.3%7.5%25.5%13.2%27.0%4.3%1.6%13.6M-356.3M-7.2M1.142.0025,09328,4811,107,138851,327
2010-07-29$21.03$21.0025.8%7.4%25.2%12.2%27.2%4.6%1.8%10.6M-235.3M-7.1M0.773.3065,25250,5211,107,668866,272
2010-07-30$20.60$21.0025.7%7.4%26.2%11.9%27.1%3.5%1.9%6.8M-103.6M-7.1M0.952.1440,39238,2311,127,735884,814