INTC Options History — June 2013

In June 2013, INTC traded between $23.58 and $25.47. ATM implied volatility averaged 26.3%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.3% (HV 20d: 23.0%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2013-06-03: Highest Volume — 396,469 contracts
  • 2013-06-28: Largest IV drop — 28.4% change
  • 2013-06-05: Highest IV Rank — 93.1%
  • 2013-06-20: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.62$23.58$25.47$25.24$24.23
Max Pain$23.90$23.00$24.00$23.00$24.00
ATM IV26.3%18.4%32.0%26.8%18.4%
Expected Move7.3%6.6%8.1%6.6%7.4%
HV 20d23.0%18.0%27.9%18.1%27.9%
HV 60d21.2%19.6%22.6%19.9%22.0%
IV Rank62.3%20.0%93.1%65.3%20.0%
IV Percentile80.7%13.1%99.2%87.3%13.1%
Term Structure-0.7%-2.0%1.6%1.6%-1.4%
VWIV25.7%23.1%28.4%23.1%26.3%
Skew 25d2.8%1.5%4.4%1.6%3.8%
Skew 10d6.8%3.0%10.2%5.9%9.8%
Call IV 25d24.8%22.7%27.1%22.7%24.3%
Put IV 25d27.7%24.3%30.5%24.3%28.1%
Bid-Ask Spread %4.502.767.637.635.26
Gamma HHI0.240.180.370.370.25
Net GEX40.3M19.7M57.1M48.7M31.8M
Net DEX-791.6M-1.35B-122.0M-1.29B-454.9M
Net VEX-9.6M-10.1M-8.7M-8.7M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.151.260.741.20
Total Volume133,427.0551,037396,469396,46983,856
Total OI2,460,241.42,173,4582,629,1562,173,4582,400,273

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$25.24$23.0026.8%6.6%18.1%65.3%23.1%1.6%1.6%48.7M-1.29B-8.7M0.747.63227,506168,9631,147,5571,025,901
2013-06-04$25.36$23.0029.0%6.9%18.0%77.1%24.4%1.5%1.3%50.0M-1.35B-9.0M0.634.75238,240150,0891,210,9471,076,396
2013-06-05$24.70$24.0032.0%7.0%20.6%93.1%25.2%1.7%1.0%39.1M-887.9M-9.8M1.264.2684,230105,8771,273,7051,135,332
2013-06-06$24.65$24.0027.0%7.0%20.6%66.2%24.9%2.0%1.5%36.3M-786.9M-10.1M0.525.8577,88140,8511,280,1231,184,434
2013-06-07$24.59$24.0024.7%7.2%20.6%54.0%25.6%2.5%-1.0%41.7M-814.6M-9.9M0.364.7067,77524,5091,304,1571,183,053
2013-06-10$25.01$24.0027.0%7.1%21.3%66.2%24.8%2.3%-0.7%47.5M-1.08B-9.5M0.373.8053,47019,5311,284,6821,170,789
2013-06-11$24.71$24.0027.8%7.2%20.8%70.3%25.4%2.8%-1.0%44.0M-916.1M-9.6M0.154.15127,88019,2811,300,5601,175,201
2013-06-12$24.46$24.0024.6%7.6%20.8%53.5%25.8%3.0%-0.8%40.0M-730.7M-10.0M0.455.0735,19215,8451,353,2341,181,668
2013-06-13$24.99$24.0025.4%7.3%21.5%57.7%25.5%2.4%-0.8%54.2M-1.11B-9.6M0.284.6399,02527,6781,355,6881,185,721
2013-06-14$24.92$24.0025.5%7.3%21.1%58.3%26.5%2.6%-0.9%56.7M-1.07B-9.6M1.143.8029,79833,9241,374,7541,196,508
2013-06-17$25.10$24.0025.6%7.3%21.1%58.4%26.1%2.8%-1.0%51.6M-1.11B-9.5M0.512.7647,95724,3461,344,0801,200,345
2013-06-18$25.47$24.0025.7%7.4%21.6%58.9%25.3%3.0%-1.1%57.1M-1.32B-9.4M1.053.2171,93475,5291,340,0861,208,592
2013-06-19$25.00$24.0025.4%7.3%22.9%57.8%25.3%2.9%-1.2%46.8M-962.3M-9.7M0.433.9947,54820,4451,342,7251,257,390
2013-06-20$24.19$24.0028.2%8.1%26.0%72.9%27.9%3.1%-2.0%26.4M-419.1M-9.8M0.784.6484,48265,7631,349,9381,243,165
2013-06-21$24.20$24.0026.4%7.6%26.0%63.0%26.1%3.7%-0.9%26.1M-445.9M-9.8M0.375.3299,53936,6951,374,3681,254,788
2013-06-24$23.58$24.0027.8%8.0%27.5%70.5%28.4%3.4%-1.8%19.7M-122.0M-9.4M0.294.91130,56938,4021,219,0421,104,613
2013-06-25$23.88$24.0026.4%7.6%27.8%63.0%27.2%4.4%-1.5%25.6M-273.8M-9.7M0.484.0746,25422,2081,268,3141,110,104
2013-06-26$24.01$24.0025.9%7.4%27.7%60.0%26.0%3.8%-1.3%29.8M-335.3M-9.7M0.593.4237,63622,1071,278,6741,112,796
2013-06-27$24.05$24.0025.7%7.4%27.7%59.3%25.5%3.8%-1.4%32.9M-365.6M-9.6M0.323.7049,73315,9931,281,6951,113,430
2013-06-28$24.23$24.0018.4%7.4%27.9%20.0%26.3%3.8%-1.4%31.8M-454.9M-9.4M1.205.2638,05245,8041,284,6801,115,593