INTC Options History — October 2012

In October 2012, INTC traded between $21.27 and $22.84. ATM implied volatility averaged 23.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.9% (HV 20d: 21.0%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2012-10-16: Highest Volume — 354,050 contracts
  • 2012-10-31: Largest IV spike — 29.9% change
  • 2012-10-10: Highest IV Rank — 74.2%
  • 2012-10-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.96$21.27$22.84$22.76$21.63
Max Pain$23.10$22.00$25.00$25.00$22.00
ATM IV23.9%19.8%33.3%23.0%25.8%
Expected Move6.8%5.7%7.9%7.3%5.9%
HV 20d21.0%14.6%25.6%25.6%22.1%
HV 60d21.8%20.7%22.7%22.7%21.8%
IV Rank38.8%23.7%74.2%25.7%51.1%
IV Percentile51.2%23.4%97.2%43.3%70.6%
Term Structure-1.2%-3.9%1.6%-2.1%1.0%
VWIV24.3%20.2%27.6%26.7%21.5%
Skew 25d3.6%2.3%4.6%4.0%3.6%
Skew 10d6.8%3.9%10.6%6.4%5.4%
Call IV 25d22.5%19.2%25.5%24.5%20.2%
Put IV 25d26.1%22.6%29.0%28.5%23.8%
Bid-Ask Spread %4.682.4610.989.168.08
Gamma HHI0.190.130.250.130.22
Net GEX-25.9M-48.0M-9.6M-23.8M-17.2M
Net DEX891.9M514.5M1.26B750.4M657.8M
Net VEX-5.2M-5.7M-4.7M-5.7M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.382.241.120.80
Total Volume133,47658,524354,050109,25360,267
Total OI2,329,628.3331,932,6772,658,1762,263,8442,090,737

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$22.76$25.0023.0%7.3%25.6%25.7%26.7%4.0%-2.1%-23.8M750.4M-5.7M1.129.1651,60757,6461,079,5791,184,265
2012-10-02$22.84$25.0023.9%7.1%25.3%28.5%25.9%3.3%-1.8%-23.0M716.1M-5.7M0.813.5535,14928,6001,095,8431,204,028
2012-10-03$22.55$24.0024.1%7.3%25.5%34.8%26.0%3.3%-2.7%-26.3M848.1M-5.6M1.434.8040,18857,6351,107,8291,215,347
2012-10-04$22.47$24.0022.7%7.9%22.4%31.9%26.4%3.7%-2.8%-27.9M872.3M-5.5M0.8110.9846,80837,9421,122,8881,226,522
2012-10-05$22.68$23.0020.9%6.5%19.7%24.9%24.2%4.1%-1.0%-24.6M782.5M-5.5M0.753.4336,25927,0701,138,3651,237,331
2012-10-08$22.51$23.0022.3%6.6%14.6%30.4%23.6%3.8%-1.3%-26.8M860.9M-5.4M0.383.3742,46016,0641,129,7581,232,496
2012-10-09$21.90$23.0026.8%7.3%17.1%48.2%25.4%4.3%-1.7%-29.0M1.09B-5.0M1.243.3789,164110,2391,144,8741,234,064
2012-10-10$21.76$23.0033.3%7.3%17.1%74.2%26.4%4.3%-2.1%-31.3M1.10B-5.2M1.112.9967,34074,6701,170,2961,263,302
2012-10-11$21.68$23.0025.4%7.3%16.6%42.7%26.5%3.8%-2.0%-28.9M1.11B-5.1M1.124.0345,60151,0081,191,5461,258,909
2012-10-12$21.48$23.0027.0%7.7%16.6%57.1%26.8%2.9%-3.2%-32.8M1.19B-5.0M1.053.4560,24763,2371,199,4641,279,452
2012-10-15$21.73$23.0026.6%7.6%17.5%55.2%27.6%3.5%-3.2%-28.2M1.07B-5.2M0.985.50110,818108,3281,207,2801,276,203
2012-10-16$22.35$23.0026.7%7.6%20.8%55.4%26.9%3.5%-3.9%-18.9M776.3M-5.4M0.972.94180,153173,8971,256,2421,296,487
2012-10-17$21.79$23.0020.8%6.0%22.2%28.1%21.8%2.9%-0.2%-48.0M1.16B-4.7M1.282.62132,192169,8711,300,4381,357,738
2012-10-18$21.67$23.0020.7%5.9%22.2%27.7%21.5%2.3%0.1%-39.9M1.12B-4.9M0.623.9680,00149,6201,307,8251,323,502
2012-10-19$21.27$23.0022.6%6.5%22.8%36.7%23.4%3.2%-0.3%-27.9M1.26B-4.8M2.242.9752,476117,6711,335,3821,322,040
2012-10-22$21.46$23.0022.2%6.4%22.9%34.8%20.6%4.2%-0.4%-24.4M766.2M-4.9M0.623.3474,23245,773921,5961,011,081
2012-10-23$21.59$23.0022.1%6.3%22.9%34.1%22.6%3.3%-0.2%-19.1M682.9M-5.2M0.533.7158,66531,316965,0821,028,498
2012-10-24$21.46$22.0023.3%6.7%22.8%39.8%23.2%3.5%-0.6%-18.5M742.0M-5.1M0.565.8772,65841,007983,0561,038,632
2012-10-25$21.69$22.0021.1%6.0%21.9%29.5%22.9%3.6%0.6%-16.8M643.5M-5.3M0.752.4651,37038,6151,022,2181,057,565
2012-10-26$21.95$22.0019.8%5.7%21.7%23.7%20.2%4.6%1.6%-9.6M514.5M-5.6M0.447.6580,14634,9861,044,2231,060,212
2012-10-31$21.63$22.0025.8%5.9%22.1%51.1%21.5%3.6%1.0%-17.2M657.8M-5.3M0.808.0833,46526,8021,038,5721,052,165