INTC Options History — December 2012

In December 2012, INTC traded between $19.54 and $21.10. ATM implied volatility averaged 26.1%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.3% (HV 20d: 22.7%). Max pain ranged from $21.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-12-12: Highest Volume — 197,632 contracts
  • 2012-12-10: Largest IV spike — 23.1% change
  • 2012-12-10: Highest IV Rank — 61.1%
  • 2012-12-28: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.46$19.54$21.10$19.54$20.62
Max Pain$22.20$21.00$22.50$21.00$22.50
ATM IV26.1%22.2%27.8%27.1%27.1%
Expected Move7.4%6.5%8.8%6.7%7.8%
HV 20d22.7%17.9%26.4%24.5%18.9%
HV 60d23.2%22.3%24.6%24.6%23.2%
IV Rank53.1%35.0%61.1%57.9%58.1%
IV Percentile78.8%43.3%90.9%85.3%88.1%
Term Structure-0.2%-2.7%3.5%2.5%-1.7%
VWIV26.7%23.7%30.4%24.0%29.5%
Skew 25d3.0%0.8%5.5%0.8%5.5%
Skew 10d6.9%1.2%13.9%1.6%13.9%
Call IV 25d26.0%23.3%28.8%24.4%27.5%
Put IV 25d29.0%24.8%33.7%25.2%33.0%
Bid-Ask Spread %6.661.399.884.444.00
Gamma HHI0.180.140.240.210.15
Net GEX-12.2M-26.9M-4.5M-17.0M-10.1M
Net DEX642.3M367.0M1.02B1.02B536.8M
Net VEX-5.1M-5.3M-4.6M-4.6M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.331.840.580.33
Total Volume93,11948,403197,63261,81081,786
Total OI2,357,618.752,037,3052,514,4872,328,1982,112,566

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$19.54$21.0027.1%6.7%24.5%57.9%24.0%0.8%2.5%-17.0M1.02B-4.6M0.584.4439,09122,7191,189,8871,138,311
2012-12-04$19.97$21.0026.8%6.9%26.4%56.6%24.3%3.1%2.6%-15.0M860.6M-4.9M0.809.8874,14859,1571,200,3361,143,728
2012-12-05$19.85$21.0027.3%6.5%26.4%58.9%23.7%1.3%3.5%-13.2M894.4M-4.9M0.569.2581,26145,3741,229,9231,153,055
2012-12-06$20.16$21.0024.5%6.8%24.0%45.7%24.0%1.1%3.0%-6.5M750.0M-5.3M0.458.7360,53726,9461,265,9631,165,536
2012-12-07$20.16$22.5022.6%7.5%24.0%36.7%26.5%2.3%-0.1%-11.1M751.3M-5.1M0.599.7647,09627,8721,277,2721,172,023
2012-12-10$20.08$22.5027.8%7.7%24.0%61.1%27.0%2.3%-0.8%-11.1M805.1M-5.0M0.818.7134,35427,7501,262,1871,153,565
2012-12-11$20.65$22.5027.6%7.4%26.2%60.1%26.9%2.5%-0.8%-4.5M536.0M-5.2M0.469.34101,92346,4031,274,2341,164,561
2012-12-12$20.67$22.5022.2%7.3%24.7%35.0%26.3%2.4%-0.9%-5.1M546.7M-5.3M1.848.9969,490128,1421,277,2581,175,389
2012-12-13$20.49$22.5027.0%7.7%24.2%57.4%26.5%2.5%-0.3%-15.7M711.5M-5.2M1.288.2322,65929,1101,281,0511,219,538
2012-12-14$20.53$22.5025.5%7.3%24.2%50.6%26.4%2.4%-0.3%-26.9M660.5M-5.2M1.109.5330,38633,5161,284,2421,224,475
2012-12-17$20.57$22.5026.0%7.5%24.0%52.8%26.8%2.8%-0.8%-15.7M671.2M-5.1M0.565.6645,29725,5361,269,5131,207,458
2012-12-18$20.96$22.5025.4%7.3%24.9%50.0%26.5%3.2%-0.8%-13.3M440.8M-5.2M0.676.1353,03935,2991,280,2601,211,150
2012-12-19$21.10$22.5026.0%7.4%20.2%52.7%27.5%2.0%-0.8%-11.8M367.0M-5.2M1.105.1753,35658,6741,285,7411,217,844
2012-12-20$21.03$22.5026.3%7.5%19.9%54.2%27.0%2.3%-1.1%-16.4M394.3M-5.2M1.685.7532,40154,4481,287,3781,218,274
2012-12-21$20.77$22.5025.9%7.4%20.0%52.1%27.2%4.7%-0.7%-11.0M638.9M-5.1M0.835.4171,72659,6941,292,3761,222,111
2012-12-24$20.64$22.5025.9%7.4%20.1%52.4%27.1%4.2%-1.1%-9.0M493.1M-5.1M0.421.3933,97514,4281,023,6661,013,639
2012-12-26$20.65$22.5026.1%7.5%20.1%53.1%27.4%4.3%-1.4%-8.2M525.0M-4.9M0.414.1248,46919,7481,038,2501,022,105
2012-12-27$20.51$22.5027.3%7.8%20.2%59.0%29.0%4.7%-1.6%-9.7M560.3M-4.9M0.804.4453,09742,6421,051,5231,027,201
2012-12-28$20.23$22.5027.2%8.8%17.9%58.3%30.4%4.9%-2.7%-12.1M687.7M-4.9M0.604.3544,22826,6031,068,2311,050,555
2012-12-31$20.62$22.5027.1%7.8%18.9%58.1%29.5%5.5%-1.7%-10.1M536.8M-4.9M0.334.0061,39820,3881,066,0581,046,508