INTC Options History — May 2011

In May 2011, INTC traded between $22.21 and $23.88. ATM implied volatility averaged 24.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.9% (HV 20d: 27.4%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-05-03: Highest Volume — 3,259,124 contracts
  • 2011-05-03: Largest IV spike — 31.3% change
  • 2011-05-03: Highest IV Rank — 48.4%
  • 2011-05-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.14$22.21$23.88$22.91$22.51
Max Pain$22.67$20.00$23.00$20.00$23.00
ATM IV24.5%21.6%34.0%25.9%25.0%
Expected Move6.6%6.0%7.1%6.1%6.0%
HV 20d27.4%20.2%32.8%30.9%20.7%
HV 60d25.5%24.9%26.0%25.1%25.0%
IV Rank23.9%16.2%48.4%27.3%25.1%
IV Percentile44.7%24.2%86.5%52.0%52.8%
Term Structure0.2%-1.2%0.9%0.9%0.6%
VWIV23.5%21.7%25.6%23.2%22.2%
Skew 25d2.5%1.0%3.5%2.5%2.2%
Skew 10d5.7%3.6%8.2%7.2%4.1%
Call IV 25d22.7%21.1%24.5%21.1%21.4%
Put IV 25d25.2%23.6%27.3%23.7%23.6%
Bid-Ask Spread %6.023.067.844.316.46
Gamma HHI0.180.120.250.150.13
Net GEX29.7M14.7M41.7M39.9M22.3M
Net DEX-950.3M-1.48B-380.4M-1.28B-544.8M
Net VEX-9.2M-9.5M-8.7M-8.7M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.040.970.490.54
Total Volume287,340.04845,8343,259,124137,80151,225
Total OI2,540,962.7622,320,3222,756,4172,467,4662,451,652

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$22.91$20.0025.9%6.1%30.9%27.3%23.2%2.5%0.9%39.9M-1.28B-8.7M0.494.3192,63945,1621,316,2001,151,266
2011-05-03$23.23$21.0034.0%6.7%30.1%48.4%23.6%1.0%-0.1%40.4M-1.48B-8.8M0.045.343,123,518135,6061,330,0821,162,362
2011-05-04$23.50$22.0029.1%7.0%30.1%35.7%24.6%1.8%-0.3%37.9M-1.14B-9.2M0.733.40243,378178,6171,202,5171,232,139
2011-05-05$23.61$22.0026.1%7.0%30.1%28.0%25.4%2.6%-1.2%41.7M-1.20B-9.4M0.633.06158,133100,0851,262,0971,270,342
2011-05-06$23.25$23.0024.4%6.7%31.3%23.5%23.2%3.5%0.2%27.2M-1.00B-9.5M0.426.62114,22747,4481,287,9681,304,933
2011-05-09$22.76$23.0027.3%6.7%32.8%31.2%24.1%3.2%0.0%23.6M-721.7M-9.4M0.725.5383,27559,8311,275,1431,296,014
2011-05-10$23.03$23.0025.1%6.4%32.8%25.4%23.1%3.2%0.1%29.5M-898.5M-9.0M0.707.5346,55432,7741,294,4671,310,547
2011-05-11$23.41$23.0022.7%6.6%31.7%19.2%23.4%1.9%0.3%34.2M-1.09B-9.1M0.637.4181,97451,8571,292,5401,320,490
2011-05-12$23.70$23.0022.3%6.4%31.6%18.0%23.1%2.3%0.4%37.0M-1.23B-9.4M0.887.5465,92458,0101,300,6871,341,097
2011-05-13$23.41$23.0023.6%6.8%31.7%21.6%23.4%2.1%0.1%31.9M-1.08B-9.2M0.587.1543,75125,2511,305,4981,351,824
2011-05-16$23.64$23.0024.8%7.1%31.7%24.6%25.3%2.8%-0.5%33.8M-1.16B-9.5M0.976.5876,47974,2761,296,1051,348,869
2011-05-17$23.55$23.0024.3%7.0%31.6%23.2%25.6%2.9%-0.2%32.2M-1.08B-9.5M0.877.8463,63255,1781,307,6271,363,128
2011-05-18$23.88$23.0023.5%6.7%31.6%21.3%24.0%2.2%-0.1%40.1M-1.30B-9.4M0.397.13109,09742,5031,317,8051,371,071
2011-05-19$23.54$23.0022.7%6.5%21.0%19.2%23.8%2.9%0.4%34.8M-1.07B-9.5M0.677.37103,67169,2401,347,1291,374,023
2011-05-20$23.22$23.0022.4%6.4%22.0%18.4%22.8%2.6%0.4%22.6M-937.4M-9.2M0.566.5259,65833,6141,361,3811,395,036
2011-05-23$22.86$23.0023.1%6.6%22.0%20.3%23.7%3.0%-0.1%19.9M-664.6M-9.3M0.754.5563,58247,3751,220,0471,100,275
2011-05-24$22.61$23.0022.4%6.4%20.8%18.3%23.0%2.6%0.3%19.2M-554.7M-9.3M0.595.2138,33922,7511,247,5201,113,431
2011-05-25$22.68$23.0021.6%6.2%20.7%16.2%22.3%2.6%0.7%21.4M-591.0M-9.0M0.705.1126,91318,9211,253,2461,111,130
2011-05-26$22.50$23.0022.5%6.4%20.6%18.5%21.7%2.6%0.7%20.2M-531.4M-8.8M0.765.9045,76734,8011,258,3711,114,051
2011-05-27$22.21$23.0022.7%6.3%20.2%19.0%22.1%2.3%0.9%14.7M-380.4M-9.1M0.345.92155,73353,3721,273,8201,126,288
2011-05-31$22.51$23.0025.0%6.0%20.7%25.1%22.2%2.2%0.6%22.3M-544.8M-8.8M0.546.4633,35717,8681,326,0301,125,622