INTC Options History — July 2012

In July 2012, INTC traded between $24.74 and $26.86. ATM implied volatility averaged 23.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.5% (HV 20d: 27.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2012-07-17: Highest Volume — 503,018 contracts
  • 2012-07-18: Largest IV drop — 26.5% change
  • 2012-07-31: Highest IV Rank — 35.7%
  • 2012-07-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.72$24.74$26.86$26.67$25.70
Max Pain$26.00$25.00$27.00$27.00$26.00
ATM IV23.6%17.9%32.9%18.1%32.9%
Expected Move6.6%5.5%8.2%7.2%5.7%
HV 20d27.1%24.7%30.0%27.7%24.7%
HV 60d24.0%22.8%24.8%23.4%24.1%
IV Rank16.8%5.2%35.7%5.6%35.7%
IV Percentile37.5%6.3%84.5%7.1%84.5%
Term Structure-0.7%-3.5%1.4%-2.5%1.1%
VWIV24.1%20.2%28.3%26.6%21.5%
Skew 25d4.3%2.4%5.4%4.5%2.4%
Skew 10d8.2%4.4%11.0%8.5%4.4%
Call IV 25d21.7%17.6%26.6%24.1%20.0%
Put IV 25d26.0%22.0%30.8%28.7%22.4%
Bid-Ask Spread %5.892.5015.275.924.49
Gamma HHI0.130.110.150.130.13
Net GEX-1.1M-16.4M14.0M9.2M9.4M
Net DEX111.8M-255.4M625.9M-176.7M-87.3M
Net VEX-6.4M-6.8M-6.0M-6.6M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.392.071.210.53
Total Volume150,538.23839,589503,01840,97349,564
Total OI2,218,911.0951,702,0392,786,2412,209,4391,795,977

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$26.67$27.0018.1%7.2%27.7%5.6%26.6%4.5%-2.5%9.2M-176.7M-6.6M1.215.9218,56922,4041,156,2591,053,180
2012-07-03$26.86$27.0017.9%7.2%27.4%5.2%27.2%5.1%-2.8%14.0M-255.4M-6.6M1.276.2117,41322,1761,158,8891,058,169
2012-07-05$26.55$27.0019.9%7.4%26.5%9.3%27.8%3.3%-3.5%6.7M-119.5M-6.3M1.154.8520,30623,4321,166,1901,058,781
2012-07-06$26.16$27.0021.0%6.9%27.1%11.6%24.5%4.9%-1.4%-2.4M69.6M-6.1M1.568.58112,190174,5001,176,5161,069,228
2012-07-09$26.17$26.0024.1%7.1%26.2%17.8%26.7%4.7%-1.6%1.5M64.1M-6.6M1.134.1738,35143,4661,218,4891,140,009
2012-07-10$25.56$26.0027.0%7.1%27.0%23.6%25.3%4.3%-1.4%-7.9M320.8M-6.3M0.796.0981,01764,3261,209,3791,116,866
2012-07-11$25.39$26.0031.8%7.3%25.9%33.5%26.2%4.3%-1.6%-9.4M381.7M-6.2M1.216.0552,62363,8761,223,0531,104,028
2012-07-12$24.74$26.0025.1%7.2%27.2%19.7%26.0%4.2%-1.3%-16.4M625.9M-6.0M2.074.5899,574206,0221,237,2261,128,407
2012-07-13$25.25$26.0025.2%7.2%27.6%19.9%25.9%4.5%-1.8%-12.8M433.5M-6.4M0.855.0474,41663,3501,267,1391,225,006
2012-07-16$25.13$26.0027.4%7.8%26.9%24.4%27.7%4.1%-2.7%-11.9M463.8M-6.4M1.009.43160,226159,9331,272,6201,230,123
2012-07-17$25.38$25.0028.5%8.2%27.2%26.7%28.3%4.2%-3.5%-7.7M345.9M-6.6M0.9815.27253,811249,2071,330,8901,284,855
2012-07-18$26.21$25.0020.9%6.0%30.0%11.4%22.0%4.2%0.1%2.7M-136.5M-6.8M0.948.84169,739160,0941,390,3291,395,912
2012-07-19$26.06$25.0019.9%5.7%29.9%9.2%20.9%4.2%0.4%2.9M-121.9M-6.7M1.455.5045,36565,9401,398,6071,367,041
2012-07-20$25.52$25.0020.1%5.8%28.4%9.8%21.7%4.4%1.1%-8.9M333.6M-6.3M0.745.5390,31166,5021,366,1201,353,344
2012-07-23$25.26$26.0021.4%6.1%28.2%12.4%22.5%4.8%0.6%-3.7M114.0M-6.2M0.935.0245,04942,037802,558899,481
2012-07-24$25.01$26.0021.4%6.1%26.0%12.4%22.3%5.0%0.8%-5.2M184.4M-6.3M0.804.8654,53443,375819,868911,203
2012-07-25$25.13$26.0021.4%6.1%26.1%12.3%21.3%5.4%1.0%-3.2M135.2M-6.3M0.393.5547,03218,237840,815924,219
2012-07-26$25.50$26.0021.1%6.1%26.6%11.7%21.4%4.7%0.7%3.4M-4.9M-6.4M1.002.5048,59648,438853,927930,224
2012-07-27$26.02$26.0023.2%5.5%27.1%16.0%20.2%4.4%1.4%9.5M-163.7M-6.8M0.563.9163,38435,514873,701957,014
2012-07-30$25.76$26.0027.6%5.5%24.7%24.8%20.9%3.7%1.3%7.1M-58.5M-6.7M0.893.2124,52021,884883,401948,090
2012-07-31$25.70$26.0032.9%5.7%24.7%35.7%21.5%2.4%1.1%9.4M-87.3M-6.4M0.534.4932,40317,161869,674926,303