INTC Options History — January 2011

In January 2011, INTC traded between $20.66 and $21.75. ATM implied volatility averaged 23.5%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 10.2% (HV 20d: 13.3%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-01-13: Highest Volume — 607,244 contracts
  • 2011-01-28: Largest IV spike — 20.6% change
  • 2011-01-10: Highest IV Rank — 29.8%
  • 2011-01-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.14$20.66$21.75$20.85$21.46
Max Pain$20.80$20.00$21.00$20.00$21.00
ATM IV23.5%17.4%32.3%24.6%21.1%
Expected Move6.4%5.0%7.7%7.0%6.1%
HV 20d13.3%11.2%16.0%11.2%16.0%
HV 60d15.5%14.4%16.4%16.1%14.4%
IV Rank13.3%0.0%29.8%14.2%10.1%
IV Percentile28.5%0.0%80.2%32.9%10.3%
Term Structure-0.3%-3.5%2.4%-1.5%0.7%
VWIV23.4%18.5%28.0%25.9%21.9%
Skew 25d2.3%-0.3%4.3%0.6%3.8%
Skew 10d4.8%2.5%7.9%4.2%7.9%
Call IV 25d22.1%17.1%28.4%26.1%20.2%
Put IV 25d24.4%19.6%29.6%26.8%24.0%
Bid-Ask Spread %2.832.073.812.072.58
Gamma HHI0.210.120.330.140.26
Net GEX18.2M2.3M33.2M2.3M20.8M
Net DEX-455.5M-709.5M-164.4M-264.2M-431.2M
Net VEX-6.8M-7.6M-5.8M-5.8M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.301.350.681.35
Total Volume205,377.25101,120607,244151,001176,912
Total OI2,616,606.81,836,5433,284,0292,434,9242,117,926

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$20.85$20.0024.6%7.0%11.2%14.2%25.9%0.6%-1.5%2.3M-264.2M-5.8M0.682.0790,13760,8641,197,9771,236,947
2011-01-04$21.15$20.0025.9%7.4%12.6%16.8%26.8%0.4%-2.7%8.0M-443.2M-6.1M0.492.2591,37244,6311,215,1941,258,212
2011-01-05$20.94$20.0025.1%7.2%12.9%15.3%26.0%-0.3%-1.9%5.2M-337.0M-6.1M0.672.3695,99864,2101,255,7761,274,709
2011-01-06$20.77$20.0026.9%7.7%12.2%18.8%28.0%1.2%-3.5%3.3M-243.9M-6.3M0.632.39122,59477,4281,295,8701,285,532
2011-01-07$20.66$21.0028.8%7.1%12.2%22.8%27.2%3.2%-1.3%3.6M-204.7M-6.4M0.583.43197,437114,7071,324,1641,310,325
2011-01-10$20.69$21.0032.3%7.4%12.0%29.8%26.8%3.1%-1.9%15.6M-311.7M-6.6M0.553.00112,96962,2961,435,1641,357,192
2011-01-11$21.05$21.0030.8%7.4%12.5%26.7%26.5%2.2%-1.7%23.4M-526.5M-6.8M0.503.63112,90356,7441,469,5671,378,602
2011-01-12$21.30$21.0031.7%7.3%13.3%28.5%26.0%2.7%-1.9%29.8M-709.5M-7.0M0.412.94152,90563,0621,498,7471,394,040
2011-01-13$21.29$21.0027.0%7.7%12.9%26.3%27.5%4.3%-2.2%28.0M-697.3M-7.1M1.073.57292,727314,5171,506,7681,401,298
2011-01-14$21.08$21.0021.6%6.2%13.4%11.4%22.1%1.6%0.2%17.0M-571.2M-6.6M0.542.99234,918126,3541,601,2971,571,866
2011-01-18$21.08$21.0021.4%6.1%13.0%10.9%22.2%2.3%0.2%24.0M-601.4M-6.8M0.793.3379,28962,8091,644,3471,580,934
2011-01-19$21.01$21.0020.4%5.8%12.5%8.0%20.6%2.3%0.9%25.1M-514.1M-6.7M0.452.53114,54851,2461,639,6201,593,737
2011-01-20$20.95$21.0019.9%5.7%12.4%6.7%21.6%2.4%1.4%33.2M-418.6M-6.8M0.793.8174,29858,8221,658,0231,611,223
2011-01-21$20.82$21.0018.7%5.4%12.1%3.5%19.7%1.9%2.4%14.1M-164.4M-6.6M0.812.45119,24896,7441,669,1831,614,846
2011-01-24$21.24$21.0018.4%5.3%14.0%2.6%18.9%3.5%1.6%10.7M-338.7M-6.7M0.683.02140,16395,138954,565881,978
2011-01-25$21.55$21.0018.2%5.2%14.8%2.0%19.9%2.5%1.5%19.1M-499.4M-7.3M0.532.71107,35556,9271,025,412927,244
2011-01-26$21.75$21.0017.8%5.1%15.0%0.8%18.5%1.9%1.7%26.2M-660.7M-7.2M0.302.85123,35537,0161,066,739941,001
2011-01-27$21.75$21.0017.4%5.0%15.0%0.0%20.6%1.7%2.1%31.1M-694.1M-7.2M0.402.5472,37328,7471,116,455947,706
2011-01-28$21.46$21.0021.1%6.0%16.0%9.9%21.0%4.0%0.8%22.8M-477.4M-7.6M1.052.1360,25463,5281,116,681955,269
2011-01-31$21.46$21.0021.1%6.1%16.0%10.1%21.9%3.8%0.7%20.8M-431.2M-7.5M1.352.5875,357101,5551,129,625988,301