INTC Options History — September 2010

In September 2010, INTC traded between $17.90 and $19.50. ATM implied volatility averaged 27.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.2% (HV 20d: 24.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-09-08: Highest Volume — 155,480 contracts
  • 2010-09-09: Largest IV spike — 19.0% change
  • 2010-09-10: Highest IV Rank — 23.2%
  • 2010-09-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.73$17.90$19.50$18.14$19.20
Max Pain$19.52$19.00$20.00$19.00$19.00
ATM IV27.7%24.7%31.0%28.1%29.3%
Expected Move8.2%7.5%9.1%8.1%8.4%
HV 20d24.6%20.1%27.6%26.5%20.1%
HV 60d26.0%24.7%26.9%26.9%24.7%
IV Rank16.2%9.8%23.2%17.0%19.4%
IV Percentile44.9%17.9%66.7%47.2%60.7%
Term Structure-0.1%-1.9%4.5%3.2%-1.7%
VWIV28.6%25.7%31.7%28.0%29.5%
Skew 25d3.7%2.2%4.9%3.1%4.8%
Skew 10d7.0%3.9%9.8%5.0%8.0%
Call IV 25d27.4%24.5%31.0%27.1%27.4%
Put IV 25d31.1%28.6%34.5%30.2%32.2%
Bid-Ask Spread %2.551.893.152.862.83
Gamma HHI0.130.110.160.130.16
Net GEX485.7K-3.7M6.2M-1.9M4.3M
Net DEX194.9M-100.7M485.8M409.7M10.8M
Net VEX-6.7M-7.4M-6.0M-6.1M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.361.860.550.83
Total Volume93,340.09544,243155,480149,13567,306
Total OI2,484,628.5242,299,1492,640,4172,299,1492,555,801

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$18.14$19.0028.1%8.1%26.5%17.0%28.0%3.1%3.2%-1.9M409.7M-6.1M0.552.8695,95753,1781,273,5881,025,561
2010-09-02$18.28$19.0026.6%7.6%27.0%13.7%26.5%3.6%4.5%-1.4M360.5M-6.3M0.842.5630,00025,2741,305,3081,043,945
2010-09-03$18.43$20.0024.7%8.5%27.4%9.8%28.9%4.1%-0.8%-1.7M314.5M-6.3M0.552.5554,31229,6431,305,9401,054,942
2010-09-07$18.12$20.0026.1%8.8%27.6%12.7%30.3%3.1%0.7%-3.1M423.2M-6.1M0.362.2461,93122,2291,315,8131,057,289
2010-09-08$17.90$20.0026.1%9.1%24.5%12.7%31.7%3.5%0.1%-3.7M485.8M-6.0M0.422.39109,26946,2111,343,0021,057,575
2010-09-09$18.00$20.0031.0%8.9%24.1%23.2%31.1%2.2%0.5%-1.8M418.1M-6.2M0.572.3440,68623,2151,401,7501,086,146
2010-09-10$17.97$20.0031.0%8.9%24.1%23.2%31.5%3.3%0.1%-2.8M456.1M-6.2M0.922.2544,11340,4241,404,1381,094,447
2010-09-13$18.56$20.0028.5%8.2%26.9%17.9%29.6%3.6%-0.4%-962.4K232.4M-6.4M0.652.2968,29744,5591,425,0391,106,318
2010-09-14$18.74$20.0028.6%8.2%26.4%17.9%29.5%3.2%-0.3%-208.8K176.2M-6.5M1.132.8168,54177,3051,431,1811,113,344
2010-09-15$18.72$20.0028.3%8.1%26.3%17.4%29.0%3.4%-0.5%453.4K179.5M-6.7M1.862.5640,24774,9331,431,8451,137,047
2010-09-16$18.97$20.0027.8%8.0%26.8%16.4%28.4%4.2%-0.3%3.5M88.9M-6.9M1.072.9541,66444,7471,439,7451,171,373
2010-09-17$18.81$20.0026.8%7.7%23.8%14.2%27.4%2.8%0.2%1.2M208.7M-6.8M0.822.3854,59344,8041,448,8181,191,599
2010-09-20$18.93$20.0026.2%7.5%23.9%12.9%26.5%2.6%-0.6%-319.8K134.7M-6.7M0.793.1565,49152,0591,306,4001,080,402
2010-09-21$19.14$19.0026.1%7.5%23.8%12.7%25.7%4.3%-0.6%2.1M60.7M-7.0M0.872.6975,97865,9431,331,0091,104,600
2010-09-22$19.01$19.0026.7%7.7%23.2%14.1%27.1%3.7%-0.1%867.6K113.3M-7.0M0.842.4355,00946,0521,343,5591,127,709
2010-09-23$18.98$19.0027.2%7.8%23.2%15.0%27.8%3.9%-0.2%-354.7K141.1M-7.2M0.592.7535,15220,6701,357,3171,159,251
2010-09-24$19.42$19.0027.3%7.8%23.4%15.3%26.2%4.7%-0.5%3.6M-49.9M-7.4M0.481.8946,07021,9301,363,5171,163,207
2010-09-27$19.23$19.0028.0%8.0%23.7%16.8%28.6%3.9%-1.3%2.9M16.1M-7.2M1.352.2318,79425,4491,373,1211,159,479
2010-09-28$19.50$19.0028.6%8.2%22.1%18.1%28.3%4.5%-1.6%6.2M-100.7M-7.3M0.792.5131,44824,8381,375,8801,160,140
2010-09-29$19.24$19.0029.3%8.4%21.7%19.5%29.7%4.9%-1.9%3.5M13.8M-7.2M1.562.7928,00143,8201,382,2821,167,772
2010-09-30$19.20$19.0029.3%8.4%20.1%19.4%29.5%4.8%-1.7%4.3M10.8M-7.2M0.832.8336,69230,6141,393,8491,161,952