INTC Options History — April 2013

In April 2013, INTC traded between $20.94 and $23.95. ATM implied volatility averaged 22.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.1% (HV 20d: 22.5%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-04-16: Highest Volume — 490,420 contracts
  • 2013-04-10: Largest IV spike — 36.0% change
  • 2013-04-10: Highest IV Rank — 79.5%
  • 2013-04-15: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.22$20.94$23.95$21.43$23.95
Max Pain$21.73$21.00$22.00$22.00$22.00
ATM IV22.3%17.7%31.7%20.0%25.3%
Expected Move6.4%5.4%7.6%7.2%5.4%
HV 20d22.5%17.3%26.0%17.7%24.1%
HV 60d21.2%18.9%23.3%21.6%19.8%
IV Rank35.7%14.2%79.5%24.7%49.4%
IV Percentile45.7%9.5%98.4%26.2%73.4%
Term Structure-1.7%-3.8%0.6%-3.3%-0.3%
VWIV23.5%19.9%28.1%24.4%28.1%
Skew 25d3.3%2.3%4.4%2.8%2.4%
Skew 10d6.1%3.8%8.5%5.8%6.9%
Call IV 25d21.1%17.5%24.5%23.7%18.9%
Put IV 25d24.4%21.1%28.0%26.6%21.4%
Bid-Ask Spread %5.592.2612.334.343.20
Gamma HHI0.180.150.340.150.16
Net GEX22.6M-11.5M77.8M6.9M33.3M
Net DEX-308.6M-907.8M328.3M44.2M-907.8M
Net VEX-7.8M-8.3M-7.2M-7.4M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.321.290.830.52
Total Volume155,87450,953490,42072,894116,516
Total OI2,190,922.1821,834,2572,617,2912,074,3242,003,969

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$21.43$22.0020.0%7.2%17.7%24.7%24.4%2.8%-3.3%6.9M44.2M-7.4M0.834.3439,93932,9551,101,314973,010
2013-04-02$21.46$21.0020.4%7.4%17.3%26.6%24.9%3.8%-3.6%6.7M38.7M-7.4M1.1812.3329,67135,0671,117,005987,315
2013-04-03$21.05$22.0022.3%7.4%18.1%35.4%25.7%3.5%-3.8%-3.8M270.0M-7.3M1.195.9543,47951,5271,124,470992,506
2013-04-04$21.14$21.0018.8%7.4%17.7%19.1%26.4%3.5%-3.6%-4.3M220.5M-7.4M1.154.1423,74227,2111,140,7061,017,719
2013-04-05$20.94$21.0017.7%6.4%17.7%14.2%22.8%3.2%-1.9%-11.5M328.3M-7.2M1.296.8137,85448,7761,146,4051,017,167
2013-04-08$21.09$21.0019.8%6.5%17.3%23.7%23.1%2.8%-2.0%805.4K212.5M-7.3M0.433.5763,52427,2271,146,4151,015,365
2013-04-09$21.75$21.0023.3%6.6%20.7%40.3%23.6%3.1%-2.0%19.8M-176.1M-7.9M1.226.77160,178195,6541,172,9381,016,518
2013-04-10$22.26$21.0031.7%6.8%22.2%79.5%23.7%3.2%-2.7%25.3M-462.3M-7.9M0.915.17130,082118,8181,191,3451,123,375
2013-04-11$21.83$22.0023.5%6.7%23.4%41.0%24.2%3.2%-2.4%14.9M-135.4M-7.9M0.895.8256,26449,9741,216,5501,152,337
2013-04-12$21.68$22.0023.5%6.7%23.5%41.2%25.3%3.3%-2.1%16.8M-65.8M-7.8M0.934.9560,75256,3651,227,2271,145,660
2013-04-15$21.38$22.0026.5%7.6%23.6%55.0%26.2%3.3%-3.7%8.6M97.7M-7.7M1.097.2159,38564,7341,239,7591,145,115
2013-04-16$21.92$22.0025.7%7.4%25.1%51.6%26.6%3.2%-3.3%22.3M-241.5M-7.9M0.8111.70270,697219,7231,261,7681,174,282
2013-04-17$21.93$22.0021.5%6.2%25.0%31.8%22.5%2.3%-0.7%53.8M-296.6M-8.1M0.458.05174,34078,9361,351,4281,265,863
2013-04-18$22.24$22.0021.6%6.2%25.4%32.4%22.3%3.6%-0.3%77.8M-606.2M-8.0M0.615.0883,34150,9801,349,2381,248,515
2013-04-19$22.44$22.0019.8%5.7%25.2%23.6%19.9%4.1%0.4%55.0M-761.9M-7.9M0.323.59126,95840,9121,338,2051,263,796
2013-04-22$22.88$22.0019.5%5.6%25.6%22.5%20.8%3.5%0.6%24.4M-533.7M-7.8M0.382.26124,36647,310949,717884,540
2013-04-23$23.38$22.0020.5%5.9%26.0%26.9%22.1%4.4%-0.5%30.3M-728.4M-8.0M0.723.2895,58868,404991,034901,046
2013-04-24$23.66$22.0019.0%5.4%24.6%20.0%20.6%2.7%0.1%30.0M-841.5M-8.2M0.344.63135,53345,5371,004,898900,216
2013-04-25$23.38$22.0020.8%6.0%25.2%28.6%21.2%3.9%-0.8%27.6M-722.1M-8.2M1.005.4462,86563,1291,036,818913,930
2013-04-26$23.40$22.0023.6%5.8%25.2%41.4%22.3%2.6%-1.1%31.1M-694.5M-8.3M1.284.8551,45565,9041,048,161930,323
2013-04-29$23.76$22.0026.7%5.5%24.1%55.8%21.0%3.8%0.2%31.2M-826.5M-8.2M0.923.7548,66644,8901,032,356939,964
2013-04-30$23.95$22.0025.3%5.4%24.1%49.4%28.1%2.4%-0.3%33.3M-907.8M-8.2M0.523.2076,57139,9451,046,330957,639