INTC Options History — April 2011

In April 2011, INTC traded between $19.49 and $23.15. ATM implied volatility averaged 22.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.9% (HV 20d: 22.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-04-20: Highest Volume — 419,239 contracts
  • 2011-04-04: Largest IV spike — 40.2% change
  • 2011-04-04: Highest IV Rank — 41.8%
  • 2011-04-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.66$19.49$23.15$19.72$23.15
Max Pain$20.10$20.00$21.00$21.00$20.00
ATM IV22.0%18.6%31.4%22.4%22.4%
Expected Move6.5%5.6%7.7%6.6%5.8%
HV 20d22.9%15.6%33.0%19.1%32.2%
HV 60d20.8%18.4%25.0%18.5%25.0%
IV Rank17.3%8.4%41.8%18.4%18.4%
IV Percentile25.9%7.1%78.2%29.0%31.3%
Term Structure-0.3%-2.1%1.3%1.3%1.3%
VWIV23.8%19.5%26.8%23.4%22.2%
Skew 25d3.6%1.5%5.3%2.0%2.5%
Skew 10d7.4%4.1%10.6%5.0%8.1%
Call IV 25d21.7%17.6%24.5%23.6%19.4%
Put IV 25d25.4%20.7%29.1%25.6%22.0%
Bid-Ask Spread %4.533.265.734.615.59
Gamma HHI0.140.110.180.110.15
Net GEX10.1M-11.6M46.1M-4.7M43.0M
Net DEX-249.3M-1.47B370.8M267.9M-1.47B
Net VEX-7.7M-8.7M-6.9M-7.0M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.281.681.040.39
Total Volume168,728.5577,144419,239203,771125,679
Total OI2,346,077.152,030,4292,548,3672,206,8672,486,590

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$19.72$21.0022.4%6.6%19.1%18.4%23.4%2.0%1.3%-4.7M267.9M-7.0M1.044.61100,038103,7331,170,2571,036,610
2011-04-04$19.49$21.0031.4%7.7%18.8%41.8%26.8%4.6%-2.1%-8.4M370.8M-6.9M1.684.8866,419111,4281,197,0861,061,441
2011-04-05$19.71$20.0026.8%7.0%19.6%29.9%25.4%4.7%-1.2%-11.0M283.2M-7.2M0.893.9960,85453,9081,220,0611,128,677
2011-04-06$19.95$20.0020.9%7.0%20.2%14.4%25.2%5.3%-1.3%-5.1M160.7M-7.2M0.695.1252,70536,5211,228,7491,117,276
2011-04-07$20.03$20.0020.7%6.9%19.4%13.9%25.6%4.9%-0.8%-878.3K102.0M-7.3M1.103.3748,78453,7481,242,4251,128,213
2011-04-08$20.02$20.0020.0%7.1%19.2%12.1%25.0%4.8%-1.3%4.7M86.8M-7.4M0.873.6743,79438,2421,251,9991,140,851
2011-04-11$20.12$20.0022.1%7.2%19.4%17.7%25.3%5.1%-1.7%-1.4M63.6M-7.4M1.453.7262,11389,9261,245,7061,130,552
2011-04-12$19.76$20.0020.8%7.0%17.0%14.3%25.0%4.8%-1.2%-10.6M294.4M-7.4M1.074.3440,44643,2101,273,3101,185,915
2011-04-13$19.78$20.0018.6%6.7%15.7%8.4%24.7%4.3%-0.5%-8.5M266.7M-7.3M1.195.7335,16041,9841,265,5911,180,480
2011-04-14$19.58$20.0022.8%6.5%16.0%19.4%25.0%4.1%0.1%-11.6M357.6M-7.2M1.125.1490,029100,6961,277,0541,183,812
2011-04-15$19.75$20.0021.9%6.3%16.3%17.0%23.8%3.4%0.1%-2.7M304.5M-7.4M1.213.7545,86455,7211,330,6991,217,668
2011-04-18$19.62$20.0023.6%6.8%15.6%21.4%24.6%3.9%-0.5%-4.6M191.7M-7.4M0.804.8880,83864,4961,043,751986,678
2011-04-19$19.86$20.0025.2%7.2%16.3%25.6%25.6%2.1%-1.4%-938.6K60.5M-7.8M0.685.67227,698155,4261,091,6111,016,482
2011-04-20$21.41$20.0019.7%5.7%31.5%11.4%20.7%3.9%0.3%26.7M-757.9M-8.3M0.504.70280,232139,0071,192,7091,080,150
2011-04-21$21.46$20.0019.5%5.6%31.5%10.8%19.5%3.1%-0.3%30.8M-813.0M-8.6M0.483.6498,35047,4941,250,5331,109,375
2011-04-25$21.94$20.0020.0%5.7%32.2%12.0%21.4%2.5%0.1%35.0M-947.0M-8.2M0.285.12150,16142,0011,206,5241,066,316
2011-04-26$22.48$20.0020.9%6.0%33.0%14.4%22.9%1.5%0.1%40.5M-1.19B-8.4M0.295.37215,37561,8891,258,6341,077,461
2011-04-27$22.63$20.0020.1%5.8%32.8%12.3%21.8%2.5%1.2%46.1M-1.29B-8.5M0.443.26110,49448,8601,308,3991,093,580
2011-04-28$22.80$20.0020.4%5.9%32.8%13.2%21.9%2.6%1.0%45.6M-1.32B-8.7M0.654.1291,74859,5001,319,8851,118,433
2011-04-29$23.15$20.0022.4%5.8%32.2%18.4%22.2%2.5%1.3%43.0M-1.47B-8.6M0.395.5990,13935,5401,345,0401,141,550