INTC Options History — November 2011

In November 2011, INTC traded between $22.70 and $25.34. ATM implied volatility averaged 29.9%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.4% (HV 20d: 31.3%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2011-11-02: Highest Volume — 1,200,110 contracts
  • 2011-11-09: Largest IV spike — 30.4% change
  • 2011-11-01: Highest IV Rank — 42.5%
  • 2011-11-23: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.06$22.70$25.34$23.90$24.91
Max Pain$24.10$23.00$25.00$23.00$24.00
ATM IV29.9%24.5%36.3%36.3%30.0%
Expected Move8.2%7.2%9.2%8.4%7.9%
HV 20d31.3%25.7%38.8%27.0%38.8%
HV 60d30.4%29.2%32.7%31.2%32.7%
IV Rank29.5%18.6%42.5%42.5%29.8%
IV Percentile74.8%50.8%91.7%91.7%73.4%
Term Structure1.1%-1.1%2.3%-1.1%1.6%
VWIV29.5%26.3%32.1%31.7%27.9%
Skew 25d5.2%3.5%7.4%7.4%3.9%
Skew 10d10.7%5.9%16.6%16.6%7.7%
Call IV 25d27.1%23.8%30.9%28.1%26.1%
Put IV 25d32.3%28.2%35.5%35.5%30.1%
Bid-Ask Spread %3.672.626.546.544.71
Gamma HHI0.200.130.270.190.24
Net GEX30.5M8.3M50.0M25.9M46.0M
Net DEX-793.5M-1.59B-9.1M-754.9M-1.22B
Net VEX-9.2M-9.8M-8.8M-9.6M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.061.721.010.60
Total Volume175,655.04833,5841,200,110202,456223,492
Total OI2,858,412.7622,720,5483,107,4582,749,1562,830,255

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$23.90$23.0036.3%8.4%27.0%42.5%31.7%7.4%-1.1%25.9M-754.9M-9.6M1.016.54100,874101,5821,396,8991,352,257
2011-11-02$23.85$23.0032.4%7.5%25.7%34.5%27.3%4.1%0.1%27.2M-752.0M-9.4M0.064.091,136,02764,0831,426,5721,389,338
2011-11-03$24.20$24.0026.5%7.8%25.9%22.5%27.2%5.1%-0.9%32.5M-918.5M-9.2M1.042.6352,20954,0571,341,0861,379,462
2011-11-04$23.74$24.0025.4%7.5%27.1%20.4%28.8%6.0%2.0%26.5M-629.8M-9.1M1.723.6637,03763,7251,355,4361,394,487
2011-11-07$24.28$24.0026.6%7.5%26.7%22.8%29.0%4.7%1.8%37.6M-974.8M-9.0M1.352.9841,19655,8221,349,1061,407,745
2011-11-08$24.75$24.0024.5%7.2%27.3%18.6%26.3%4.3%1.4%46.3M-1.27B-9.0M1.152.6259,81369,0211,364,4141,443,231
2011-11-09$23.84$24.0032.0%8.6%31.0%33.7%31.4%5.4%0.7%24.5M-679.1M-9.5M1.163.0642,66849,4551,381,9301,483,318
2011-11-10$24.06$24.0028.3%8.1%30.9%26.3%28.7%5.3%1.6%29.0M-814.8M-9.3M1.433.6650,50072,2081,382,3731,488,655
2011-11-11$24.85$24.0027.4%7.8%32.7%24.3%27.6%5.6%1.0%44.1M-1.29B-9.3M0.573.1270,96440,7261,392,3041,517,007
2011-11-14$24.63$24.0027.6%7.9%32.7%24.8%29.3%5.7%1.3%40.3M-1.16B-9.2M1.022.8246,19546,9781,389,3251,515,749
2011-11-15$25.34$24.0028.5%8.2%34.0%26.7%29.8%6.1%1.2%50.0M-1.59B-9.1M1.113.28137,958153,8151,406,5991,533,018
2011-11-16$24.94$24.0028.0%8.0%32.5%25.6%27.5%5.4%1.6%49.6M-1.36B-9.7M0.753.86141,200105,8641,463,3131,598,343
2011-11-17$24.34$25.0031.9%9.2%32.3%33.7%31.4%7.0%0.6%30.6M-870.0M-9.8M1.113.9878,27286,5501,457,7311,635,201
2011-11-18$24.29$25.0030.2%8.7%31.8%30.2%29.1%6.0%1.0%26.6M-859.5M-9.7M0.613.8059,04635,9351,461,3651,646,093
2011-11-21$23.57$25.0031.1%8.9%32.4%32.0%32.1%5.5%0.5%19.2M-420.2M-9.4M1.213.4952,02863,0811,342,9291,423,492
2011-11-22$23.24$25.0030.6%8.8%32.6%30.9%30.4%5.1%2.2%15.4M-247.0M-9.2M0.963.1839,35337,9301,365,2641,438,035
2011-11-23$22.70$24.0032.1%9.2%33.3%34.0%32.1%4.3%1.4%8.3M-9.1M-9.0M0.733.8345,00132,9211,374,6841,440,403
2011-11-25$22.73$24.0032.3%9.0%32.4%34.3%31.5%4.3%2.3%9.2M-13.7M-8.9M1.494.8413,50120,0831,391,9511,433,782
2011-11-28$23.46$24.0034.6%8.8%34.9%39.1%29.9%4.3%-0.4%23.8M-387.7M-8.9M0.753.6234,20325,7191,384,8661,428,509
2011-11-29$23.58$24.0031.5%8.1%34.6%32.7%29.5%3.5%2.1%27.6M-453.6M-8.8M0.853.2025,70921,9551,395,3141,424,827
2011-11-30$24.91$24.0030.0%7.9%38.8%29.8%27.9%3.9%1.6%46.0M-1.22B-9.0M0.604.71139,30784,1851,397,3751,432,880