INTC Options History — November 2010

In November 2010, INTC traded between $20.34 and $21.53. ATM implied volatility averaged 23.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.2% (HV 20d: 19.3%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-11-02: Highest Volume — 2,425,690 contracts
  • 2010-11-04: Largest IV drop — 27.6% change
  • 2010-11-02: Highest IV Rank — 25.6%
  • 2010-11-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.09$20.34$21.53$20.57$21.16
Max Pain$20.29$19.00$21.00$19.00$21.00
ATM IV23.5%19.7%31.7%31.6%25.4%
Expected Move6.3%5.6%6.8%6.1%6.5%
HV 20d19.3%15.5%21.3%19.4%15.5%
HV 60d21.2%18.9%23.8%23.7%19.0%
IV Rank8.5%0.6%25.6%25.5%12.4%
IV Percentile19.5%0.4%75.0%75.0%31.0%
Term Structure2.4%0.8%4.7%0.8%2.9%
VWIV23.1%20.2%37.5%23.7%22.6%
Skew 25d3.2%1.0%4.8%4.0%3.6%
Skew 10d6.8%1.0%9.0%7.7%6.4%
Call IV 25d21.1%19.2%23.1%21.5%22.2%
Put IV 25d24.3%21.8%26.8%25.5%25.8%
Bid-Ask Spread %3.852.386.122.483.50
Gamma HHI0.200.160.270.160.16
Net GEX19.8M12.9M25.3M16.3M13.4M
Net DEX-627.5M-894.4M-334.6M-510.5M-488.1M
Net VEX-7.5M-7.8M-7.1M-7.5M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.021.250.581.14
Total Volume215,318.85720,4532,425,690166,44676,519
Total OI2,598,808.0952,448,5722,809,9182,448,5722,581,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$20.57$19.0031.6%6.1%19.4%25.5%23.7%4.0%0.8%16.3M-510.5M-7.5M0.582.48105,12261,3241,245,8281,202,744
2010-11-02$20.34$19.0031.7%6.8%19.8%25.6%37.5%4.8%0.8%14.7M-410.0M-7.6M0.023.382,369,07556,6151,289,7461,234,738
2010-11-03$20.48$20.0029.3%6.4%19.7%20.7%23.0%4.0%1.1%12.9M-334.6M-7.6M0.713.1952,35737,2781,196,1871,264,395
2010-11-04$20.97$20.0021.2%5.6%21.0%3.8%21.4%3.5%1.3%21.2M-592.6M-7.5M0.582.38145,08484,2391,196,7121,266,295
2010-11-05$21.24$20.0020.4%6.2%21.3%2.1%21.9%3.2%2.2%25.3M-783.5M-7.7M0.694.1871,26448,9041,270,6461,298,816
2010-11-08$21.23$20.0023.3%6.3%21.3%8.2%22.1%2.2%2.3%25.1M-778.1M-7.6M0.764.6355,40041,9161,267,3001,304,085
2010-11-09$21.16$20.0023.9%6.3%21.3%9.4%22.4%2.5%2.2%23.5M-698.5M-7.5M0.624.9854,40333,6361,272,6611,324,157
2010-11-10$21.04$20.0020.3%6.2%18.4%1.8%22.1%2.5%2.8%23.8M-643.7M-7.4M0.934.0745,99142,8661,274,0541,333,633
2010-11-11$21.21$20.0022.0%6.3%18.4%5.4%22.7%3.0%1.9%24.1M-719.8M-7.4M0.706.1292,00164,5181,281,8201,352,867
2010-11-12$21.53$20.0022.5%6.4%18.7%6.4%23.6%3.0%3.0%22.0M-894.4M-7.7M0.595.67119,31970,7681,308,1581,384,768
2010-11-15$21.30$20.0022.8%6.5%19.1%7.0%24.3%2.3%2.4%21.2M-776.0M-7.6M0.894.7553,58047,6871,303,8741,396,392
2010-11-16$21.07$20.0023.5%6.7%19.9%8.5%24.9%2.9%2.1%20.3M-646.8M-7.8M1.243.7854,89868,1571,322,6911,394,586
2010-11-17$21.08$20.0022.5%6.5%18.8%6.5%22.6%3.8%2.6%20.0M-650.1M-7.7M0.293.6859,34817,3771,321,6391,431,849
2010-11-18$21.02$21.0021.8%6.3%18.9%5.1%22.0%3.8%2.9%24.0M-608.3M-7.8M0.774.3962,82848,6651,342,8621,432,499
2010-11-19$21.14$21.0020.2%5.8%18.9%1.7%21.0%3.7%3.4%21.5M-704.6M-7.5M0.403.4466,52926,6121,355,5451,454,373
2010-11-22$21.25$21.0019.7%5.6%18.9%0.6%20.2%1.0%4.7%17.4M-610.5M-7.1M1.252.5131,37439,2571,217,7481,278,349
2010-11-23$21.09$21.0021.4%6.1%19.2%4.2%22.6%3.6%3.0%15.8M-506.6M-7.3M0.973.7625,70424,8391,227,4361,290,714
2010-11-24$21.39$21.0020.9%6.0%19.6%3.1%21.1%3.0%2.8%17.6M-620.6M-7.4M0.723.3243,49131,4101,231,5481,301,453
2010-11-26$21.34$21.0022.6%6.2%19.2%6.7%21.6%3.3%2.9%17.4M-601.2M-7.3M0.632.6712,5317,9221,247,0451,318,970
2010-11-29$21.33$21.0025.4%6.5%17.3%12.6%22.9%3.2%2.6%17.8M-599.9M-7.2M0.993.9135,57635,3121,244,7251,309,742
2010-11-30$21.16$21.0025.4%6.5%15.5%12.4%22.6%3.6%2.9%13.4M-488.1M-7.3M1.143.5035,80740,7121,256,6461,324,674