INTC Options History — March 2013

In March 2013, INTC traded between $21.03 and $21.89. ATM implied volatility averaged 19.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.5% (HV 20d: 17.0%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-03-27: Highest Volume — 240,842 contracts
  • 2013-03-14: Largest IV spike — 20.4% change
  • 2013-03-27: Highest IV Rank — 36.6%
  • 2013-03-27: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.48$21.03$21.89$21.03$21.84
Max Pain$21.80$21.00$22.00$21.00$22.00
ATM IV19.5%15.6%22.5%18.9%21.9%
Expected Move5.9%5.1%6.5%5.1%6.3%
HV 20d17.0%14.8%18.3%17.4%16.2%
HV 60d22.6%22.1%23.2%23.2%22.5%
IV Rank22.4%4.3%36.6%19.6%33.5%
IV Percentile24.4%1.6%49.2%16.7%40.5%
Term Structure-0.2%-1.9%3.3%3.3%-1.5%
VWIV21.0%18.6%23.3%18.6%22.7%
Skew 25d3.1%2.4%3.8%3.4%2.7%
Skew 10d6.4%4.7%7.9%6.6%6.2%
Call IV 25d19.7%17.5%21.8%17.5%21.7%
Put IV 25d22.8%20.9%24.7%20.9%24.4%
Bid-Ask Spread %4.351.618.988.982.16
Gamma HHI0.200.130.320.180.16
Net GEX18.4M-7.1M42.3M20.9M15.3M
Net DEX-40.9M-314.7M202.1M81.3M-156.4M
Net VEX-7.3M-7.7M-6.9M-6.9M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.411.810.750.86
Total Volume100,563.649,855240,84288,21485,782
Total OI1,994,047.751,830,6182,126,1601,946,6282,126,160

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$21.03$21.0018.9%5.1%17.4%19.6%18.6%3.4%3.3%20.9M81.3M-6.9M0.758.9850,53837,6761,055,151891,477
2013-03-04$21.27$21.0019.1%6.1%17.0%20.3%20.5%3.8%0.1%20.9M4.0M-7.0M0.885.5732,31328,2751,051,113896,630
2013-03-05$21.51$21.0019.9%5.7%17.1%24.2%20.1%3.1%0.0%30.0M-113.3M-7.3M0.411.8873,31830,1441,060,403900,652
2013-03-06$21.75$21.0016.5%5.7%17.5%8.5%20.8%3.1%0.0%39.2M-253.2M-7.3M1.063.7564,08668,1571,080,735906,267
2013-03-07$21.89$22.0016.8%5.7%17.2%9.8%20.4%2.4%0.5%42.3M-314.7M-7.6M0.591.8174,94143,8811,090,234928,475
2013-03-08$21.58$22.0016.2%5.6%17.7%7.0%20.3%2.4%0.3%38.4M-156.4M-7.4M0.581.6174,50243,0231,106,794939,138
2013-03-11$21.69$22.0017.2%5.5%17.6%11.7%21.0%2.6%0.3%33.1M-164.3M-7.4M1.011.7141,11241,4611,103,428939,037
2013-03-12$21.64$22.0017.2%5.6%17.6%11.7%21.3%3.2%0.2%31.5M-124.4M-7.4M1.181.8134,41940,6551,114,792956,797
2013-03-13$21.66$22.0015.6%5.5%17.5%4.3%20.7%2.8%-0.0%32.4M-133.1M-7.4M0.701.7529,26920,5861,122,807964,884
2013-03-14$21.65$22.0018.8%5.4%17.5%19.1%19.8%3.3%0.1%24.2M-109.1M-7.4M0.454.8934,89415,7261,126,978968,308
2013-03-15$21.38$22.0020.3%5.8%18.1%25.9%21.2%3.0%0.1%12.6M14.4M-7.1M0.834.0797,69780,6701,135,229965,722
2013-03-18$21.26$22.0020.5%5.9%18.1%27.1%20.3%3.1%-0.4%2.0M121.7M-7.1M0.727.4240,74629,417962,707867,911
2013-03-19$21.14$22.0021.4%6.1%18.3%31.2%21.2%3.5%-0.3%-398.7K173.9M-7.2M1.184.4144,39552,451984,489881,066
2013-03-20$21.18$22.0020.8%6.0%17.1%28.4%20.7%2.7%-0.3%-833.5K143.9M-7.2M0.746.3734,56925,5781,002,953905,213
2013-03-21$21.04$22.0021.6%6.2%14.8%32.2%22.0%2.6%-0.8%-7.1M202.1M-7.2M0.898.3635,19431,4781,019,479913,129
2013-03-22$21.33$22.0021.9%6.3%15.2%33.6%21.8%3.5%-0.3%4.5M85.7M-7.4M1.814.9936,76066,6371,032,378923,133
2013-03-25$21.15$22.0022.5%6.5%15.1%36.5%22.4%3.7%-1.8%652.8K171.0M-7.2M1.083.1534,66137,5411,026,485927,871
2013-03-26$21.77$22.0020.3%5.8%17.1%26.0%21.5%3.6%-0.9%13.4M-113.8M-7.6M0.796.2988,02969,8491,038,410944,471
2013-03-27$21.83$22.0022.5%6.5%16.3%36.6%23.3%2.9%-1.9%15.6M-177.1M-7.6M1.295.93105,234135,6081,063,488956,561
2013-03-28$21.84$22.0021.9%6.3%16.2%33.5%22.7%2.7%-1.5%15.3M-156.4M-7.7M0.862.1646,22639,5561,110,4531,015,707