INTC Options History — May 2012

In May 2012, INTC traded between $25.44 and $29.18. ATM implied volatility averaged 25.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.8% (HV 20d: 20.6%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-05-02: Highest Volume — 2,488,279 contracts
  • 2012-05-03: Largest IV spike — 42.4% change
  • 2012-05-08: Highest IV Rank — 42.1%
  • 2012-05-18: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.89$25.44$29.18$28.95$25.84
Max Pain$28.55$28.00$29.00$28.00$28.00
ATM IV25.4%17.8%36.1%20.1%24.9%
Expected Move6.8%5.7%7.9%5.7%6.7%
HV 20d20.6%18.5%22.5%19.5%18.5%
HV 60d17.3%15.5%18.0%15.5%17.9%
IV Rank20.5%5.1%42.1%9.7%19.5%
IV Percentile47.4%5.6%91.3%19.0%42.1%
Term Structure1.6%-1.4%3.6%-0.0%3.4%
VWIV23.8%17.7%27.2%20.9%23.2%
Skew 25d3.6%1.9%5.5%2.3%4.4%
Skew 10d7.2%3.6%13.9%5.5%8.2%
Call IV 25d22.9%19.7%26.2%19.7%22.8%
Put IV 25d26.5%22.0%30.8%22.0%27.2%
Bid-Ask Spread %4.492.279.995.044.71
Gamma HHI0.160.100.280.250.10
Net GEX17.8M-24.8M94.0M75.1M4.3M
Net DEX-200.0M-1.61B337.6M-1.36B157.5M
Net VEX-8.3M-9.2M-7.2M-8.8M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.061.260.350.59
Total Volume231,988.86451,1862,488,279186,75665,395
Total OI2,312,044.6362,099,1252,475,2682,251,5562,220,711

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$28.95$28.0020.1%5.7%19.5%9.7%20.9%2.3%-0.0%75.1M-1.36B-8.8M0.355.04138,22148,5351,248,1951,003,361
2012-05-02$29.18$28.0017.8%5.9%19.3%5.1%17.7%1.9%-0.3%94.0M-1.61B-8.9M0.062.272,342,124146,1551,311,4841,016,070
2012-05-03$28.56$28.0025.4%6.5%20.8%20.4%23.5%2.4%-1.4%57.3M-928.5M-9.2M0.543.07139,91875,1741,224,1751,087,543
2012-05-04$27.90$29.0025.6%6.4%22.5%20.9%22.6%3.0%0.8%37.3M-552.5M-9.0M0.433.27156,83766,9871,271,0401,095,971
2012-05-07$27.76$29.0030.7%6.4%22.2%31.2%22.7%2.6%1.1%33.1M-500.6M-9.0M0.424.4082,47535,0101,261,9081,109,167
2012-05-08$27.37$29.0036.1%6.7%22.4%42.1%23.4%2.4%1.0%20.1M-266.0M-8.7M0.122.96266,75932,5401,274,1421,106,280
2012-05-09$27.19$29.0026.4%6.7%21.8%22.5%23.9%2.9%1.1%17.9M-216.3M-8.6M0.803.5969,46955,3791,322,8071,105,216
2012-05-10$27.24$29.0023.4%6.7%20.0%16.4%23.0%2.4%1.3%13.9M-209.5M-8.7M0.744.5959,55443,8221,331,6001,120,345
2012-05-11$27.63$29.0023.0%6.6%20.3%15.5%23.3%2.6%1.5%32.2M-472.8M-8.9M0.624.3557,62735,7231,352,3161,122,952
2012-05-14$27.02$29.0025.1%7.2%21.2%19.8%25.6%3.2%1.1%5.8M-129.7M-8.6M1.154.1037,01142,6091,308,1621,105,702
2012-05-15$26.88$29.0025.2%7.2%21.1%20.1%26.2%3.6%1.7%2.4M-72.2M-8.6M1.009.9938,49938,5001,318,8181,109,593
2012-05-16$26.50$29.0026.8%7.7%20.8%23.3%26.0%3.1%1.4%-2.4M103.3M-8.5M0.554.9172,10039,6141,332,6211,111,756
2012-05-17$26.19$29.0027.1%7.8%20.9%23.8%27.0%3.8%1.5%-2.9M246.0M-8.3M0.965.4630,46929,3661,343,6571,115,619
2012-05-18$26.07$29.0027.7%7.9%20.9%25.1%27.2%4.6%1.8%-24.8M272.3M-8.4M1.264.6635,94445,1161,349,2881,115,350
2012-05-21$26.15$29.0024.7%7.1%21.0%19.0%24.3%5.5%2.3%6.1M81.5M-7.7M0.435.8851,29522,0601,103,808995,317
2012-05-22$26.03$28.0024.0%6.9%21.0%17.5%24.2%4.3%3.1%4.6M141.0M-7.8M0.604.1346,00127,6401,118,9951,007,393
2012-05-23$25.44$28.0025.6%7.3%20.4%20.9%24.2%5.5%1.9%-2.3M337.6M-7.2M0.454.78196,98387,8651,136,6861,003,483
2012-05-24$25.65$28.0023.6%6.8%20.0%16.7%24.3%4.9%2.9%6.0M241.0M-7.5M0.643.4865,17241,6591,128,2871,022,676
2012-05-25$25.74$28.0021.1%6.4%19.8%11.6%23.2%4.3%3.6%267.5K213.9M-7.6M0.303.8439,30111,8851,149,2421,032,811
2012-05-29$26.09$28.0025.4%6.5%20.8%20.3%22.9%4.3%3.2%4.4M90.9M-7.4M0.193.7672,89513,8681,129,1311,025,529
2012-05-30$26.13$28.0029.8%6.7%19.0%29.3%23.4%4.6%3.4%10.2M32.2M-7.7M1.185.6745,87654,3231,185,7171,030,058
2012-05-31$25.84$28.0024.9%6.7%18.5%19.5%23.2%4.4%3.4%4.3M157.5M-7.6M0.594.7141,14824,2471,188,1211,032,590