INTC Options History — September 2012

In September 2012, INTC traded between $22.54 and $25.10. ATM implied volatility averaged 24.8%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.6% (HV 20d: 25.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-09-07: Highest Volume — 246,727 contracts
  • 2012-09-06: Largest IV drop — 27.4% change
  • 2012-09-05: Highest IV Rank — 49.6%
  • 2012-09-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.39$22.54$25.10$24.42$22.66
Max Pain$25.21$25.00$26.00$26.00$25.00
ATM IV24.8%21.8%30.8%30.1%21.8%
Expected Move6.9%6.0%7.3%7.0%6.9%
HV 20d25.4%18.1%27.5%18.5%27.2%
HV 60d23.7%22.2%25.3%23.1%22.8%
IV Rank31.1%21.9%49.6%47.6%21.9%
IV Percentile52.0%36.9%82.1%78.2%36.9%
Term Structure0.1%-1.3%4.1%3.7%-0.9%
VWIV24.3%22.0%25.3%23.9%25.1%
Skew 25d2.9%2.0%4.3%2.9%3.0%
Skew 10d5.9%3.4%7.7%5.6%6.1%
Call IV 25d23.0%19.3%24.5%23.0%24.1%
Put IV 25d25.9%23.6%27.1%25.9%27.1%
Bid-Ask Spread %4.412.1011.3811.385.87
Gamma HHI0.150.120.200.150.13
Net GEX-25.7M-47.6M2.7M-14.2M-24.2M
Net DEX758.4M146.7M953.4M425.7M867.6M
Net VEX-5.9M-6.8M-5.4M-6.5M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.623.680.752.92
Total Volume136,261.15864,833246,727125,610189,656
Total OI2,277,8892,097,4842,449,9452,097,4842,284,830

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$24.42$26.0030.1%7.0%18.5%47.6%23.9%2.9%3.7%-14.2M425.7M-6.5M0.7511.3871,58654,0241,003,5171,093,967
2012-09-05$24.39$26.0030.8%7.1%18.1%49.6%23.7%3.1%2.7%-11.8M422.4M-6.4M0.942.2987,20081,5591,032,9411,102,189
2012-09-06$25.10$26.0022.3%6.0%21.4%23.5%22.0%4.3%4.1%2.7M146.7M-6.8M0.848.4851,83843,3891,031,0131,109,023
2012-09-07$24.19$26.0022.5%7.0%24.4%24.2%24.8%3.2%-0.4%-21.5M566.3M-6.1M0.887.68130,999115,7281,023,7941,120,137
2012-09-10$23.26$25.0027.7%7.2%26.8%40.2%24.7%2.6%-0.3%-26.6M863.9M-5.4M1.004.59123,525123,0071,053,9291,125,847
2012-09-11$23.34$25.0027.3%7.3%27.0%39.0%25.0%2.8%-0.3%-25.9M826.7M-5.6M0.902.63102,57992,1091,095,5061,154,552
2012-09-12$23.19$25.0023.1%7.2%27.0%25.8%25.3%2.1%-0.5%-27.8M892.0M-5.8M1.023.4537,36338,0621,143,7501,215,163
2012-09-13$23.36$25.0024.5%7.0%27.5%30.2%23.9%2.9%-0.7%-28.7M849.9M-5.9M0.643.8866,63042,5301,153,3491,223,969
2012-09-14$23.37$25.0024.6%7.1%26.8%30.6%24.4%3.0%-0.5%-25.8M852.1M-5.9M1.285.1248,38861,9101,175,5071,236,578
2012-09-17$23.31$25.0024.4%7.0%26.8%30.1%23.8%2.8%-0.5%-28.3M851.6M-5.8M1.433.1841,96059,8791,157,6031,219,784
2012-09-18$23.37$25.0024.5%7.0%26.9%30.4%24.7%3.0%-0.6%-28.4M822.6M-6.0M0.882.3037,15832,5121,171,8421,252,035
2012-09-19$23.15$25.0023.2%6.6%27.0%26.2%23.2%2.0%-0.2%-31.7M926.0M-5.8M0.623.0640,01424,8191,184,7441,255,415
2012-09-20$23.18$25.0023.4%6.7%26.9%26.9%24.5%2.9%-0.2%-33.5M904.6M-5.8M3.682.1434,246125,9101,180,9971,260,840
2012-09-21$23.13$25.0023.0%6.6%25.6%25.7%22.9%2.9%0.1%-47.6M953.4M-5.7M1.882.4840,78976,5711,159,5121,290,433
2012-09-24$22.80$25.0023.9%6.9%25.9%28.6%24.4%3.5%-1.3%-31.2M847.4M-5.4M0.782.1381,68163,910998,2081,131,843
2012-09-25$22.54$25.0024.6%7.0%26.0%30.5%25.2%2.0%-1.2%-27.1M885.3M-5.5M0.782.1060,75747,1511,029,9571,156,431
2012-09-26$22.65$25.0024.3%7.0%25.9%29.5%25.0%3.2%-1.2%-26.6M844.3M-5.5M1.362.1447,66364,7971,050,6651,163,991
2012-09-27$23.09$25.0024.4%7.0%27.1%30.0%25.0%2.6%-1.1%-30.8M660.4M-5.8M0.838.9380,20166,8621,062,2291,173,801
2012-09-28$22.66$25.0021.8%6.9%27.2%21.9%25.1%3.0%-0.9%-24.2M867.6M-5.7M2.925.8748,401141,2551,078,6621,206,168