INTC Options History — February 2012

In February 2012, INTC traded between $26.49 and $27.37. ATM implied volatility averaged 19.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.9% (HV 20d: 15.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2012-02-02: Highest Volume — 3,210,768 contracts
  • 2012-02-02: Largest IV drop — 49.8% change
  • 2012-02-01: Highest IV Rank — 41.6%
  • 2012-02-16: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.80$26.49$27.37$26.55$26.88
Max Pain$26.25$25.00$27.00$25.00$27.00
ATM IV19.8%17.1%35.9%35.9%20.2%
Expected Move5.3%5.0%5.8%5.3%5.0%
HV 20d15.0%11.8%18.8%18.8%14.0%
HV 60d26.1%21.5%29.7%29.7%21.7%
IV Rank6.9%1.1%41.6%41.6%6.7%
IV Percentile10.5%0.8%90.9%90.9%12.3%
Term Structure3.5%1.5%4.9%1.5%4.0%
VWIV19.8%17.7%24.3%20.3%17.7%
Skew 25d3.2%1.3%4.8%2.8%1.3%
Skew 10d6.8%2.7%10.6%4.3%2.8%
Call IV 25d18.0%17.1%19.5%18.2%17.5%
Put IV 25d21.1%18.5%23.7%21.0%18.8%
Bid-Ask Spread %3.772.328.365.432.44
Gamma HHI0.210.150.340.180.22
Net GEX30.0M15.9M39.8M29.2M29.0M
Net DEX-738.9M-1.08B-554.3M-803.2M-686.2M
Net VEX-8.3M-8.7M-7.5M-7.5M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.011.240.780.84
Total Volume240,428.8537,5463,210,76877,50162,103
Total OI1,921,474.851,806,4502,052,4311,870,7731,970,213

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$26.55$25.0035.9%5.3%18.8%41.6%20.3%2.8%1.5%29.2M-803.2M-7.5M0.785.4343,64133,860943,403927,370
2012-02-02$26.49$25.0018.0%5.0%17.5%5.4%24.3%1.3%2.8%30.6M-809.6M-7.5M0.013.233,189,58821,180949,653937,658
2012-02-03$26.74$26.0017.3%5.3%17.4%4.1%19.3%3.6%2.8%30.3M-705.6M-7.6M1.085.1348,79152,544866,419940,031
2012-02-06$26.72$26.0019.8%5.4%17.1%9.0%19.8%4.0%2.6%31.4M-736.8M-7.5M0.998.3658,24257,797874,170948,145
2012-02-07$26.64$26.0020.5%5.4%17.1%10.4%20.0%3.7%2.4%30.6M-689.1M-7.9M0.945.6819,34918,197906,481981,710
2012-02-08$26.85$26.0017.1%5.2%17.2%3.6%18.9%3.6%2.8%35.2M-805.2M-7.8M0.943.1725,66124,126914,588987,192
2012-02-09$26.86$26.0018.5%5.3%17.1%3.2%19.5%3.4%3.0%38.2M-815.4M-8.0M0.962.6835,87934,476922,050994,246
2012-02-10$26.70$26.0020.0%5.7%17.3%6.4%21.5%4.0%3.0%31.9M-696.6M-8.5M0.915.0937,22833,766939,3851,016,844
2012-02-13$26.70$26.0019.1%5.5%14.4%4.4%20.7%4.0%3.4%34.8M-711.2M-8.4M1.162.5033,56938,874942,8201,028,302
2012-02-14$26.78$26.0019.0%5.5%14.1%4.3%20.6%4.8%3.9%36.4M-722.0M-8.6M1.033.9524,98325,636944,6211,043,013
2012-02-15$26.58$26.0019.6%5.6%14.0%5.5%21.7%4.4%3.7%31.2M-633.7M-8.6M0.993.0025,64525,515954,6361,054,273
2012-02-16$26.82$26.0020.1%5.8%14.0%6.5%20.7%4.2%3.7%39.8M-751.8M-8.6M0.902.8738,02934,118955,4521,064,307
2012-02-17$27.37$26.0019.2%5.5%12.1%4.7%18.9%2.2%3.9%31.3M-1.08B-8.5M0.583.26107,74562,459967,6011,084,830
2012-02-21$27.16$27.0018.6%5.3%11.8%3.3%18.9%3.4%4.0%22.8M-783.5M-8.5M0.962.9156,60254,497876,038945,109
2012-02-22$26.73$27.0017.8%5.1%13.0%1.8%18.5%3.0%4.9%16.1M-591.2M-8.6M1.243.5159,55073,921895,364973,349
2012-02-23$26.66$27.0017.5%5.0%13.0%1.1%19.1%3.3%4.4%15.9M-554.3M-8.7M1.092.3228,20630,856910,830991,895
2012-02-24$26.70$27.0018.4%5.0%12.9%3.0%18.1%2.1%4.4%20.3M-591.8M-8.6M0.434.2449,48221,212919,186993,207
2012-02-27$26.89$27.0020.3%5.2%13.1%6.9%18.4%2.1%4.0%29.9M-714.2M-8.5M0.772.6374,51057,459935,177978,340
2012-02-28$27.24$27.0020.0%5.2%13.9%6.3%18.3%2.0%4.3%36.4M-892.4M-8.6M0.642.9354,38034,901958,485993,104
2012-02-29$26.88$27.0020.2%5.0%14.0%6.7%17.7%1.3%4.0%29.0M-686.2M-8.6M0.842.4433,80528,298959,6321,010,581