INTC Options History — November 2013

In November 2013, INTC traded between $23.65 and $25.23. ATM implied volatility averaged 17.0%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2013-11-04: Highest Volume — 457,174 contracts
  • 2013-11-26: Largest IV drop — 6.0% change
  • 2013-11-13: Highest IV Rank — 14.1%
  • 2013-11-29: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$23.65$25.23$24.33$23.84
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV17.0%15.8%18.2%16.6%16.3%
Expected Move6.7%6.6%6.8%6.7%6.8%
HV 20d16.2%11.5%24.5%15.1%24.5%
HV 60d17.3%15.7%20.2%16.9%19.7%
IV Rank7.7%1.0%14.1%5.2%3.6%
IV Percentile9.2%0.8%19.4%4.4%3.6%
Term Structure0.8%-0.4%3.4%0.4%0.6%
VWIV24.0%23.2%24.6%24.6%24.5%
Skew 25d1.6%0.9%2.5%2.5%1.5%
Skew 10d4.1%2.7%7.0%4.8%3.2%
Call IV 25d16.8%15.7%17.9%16.0%16.1%
Put IV 25d18.4%17.2%19.5%18.4%17.6%
Bid-Ask Spread %3.492.598.893.263.19
Gamma HHI0.220.160.360.190.21
Net GEX42.4M14.2M75.0M37.7M22.9M
Net DEX-433.4M-1.10B-14.1M-512.5M-123.8M
Net VEX-8.0M-8.4M-7.7M-8.4M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.030.820.250.30
Total Volume118,513.531,720457,17488,45131,720
Total OI2,268,510.252,122,2252,417,9002,323,2972,417,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$24.33$22.0016.6%6.7%15.1%5.2%24.6%2.5%0.4%37.7M-512.5M-8.4M0.253.2670,89017,5611,231,6681,091,629
2013-11-04$24.26$22.0017.0%6.7%15.3%7.3%24.5%1.9%0.5%30.5M-425.5M-8.1M0.033.31441,93215,2421,194,9811,078,783
2013-11-05$24.03$22.0017.3%6.7%14.4%9.3%23.5%1.9%-0.2%27.3M-237.5M-7.9M0.453.3130,98913,8041,125,4591,084,100
2013-11-06$24.25$22.0017.0%6.7%14.6%7.7%23.2%1.8%0.0%41.8M-422.1M-7.8M0.383.3029,84411,4601,138,4351,087,272
2013-11-07$24.06$22.0017.0%6.7%13.3%7.4%24.5%2.0%0.0%36.5M-310.3M-7.7M0.443.2629,92513,1591,146,3681,088,823
2013-11-08$24.09$22.0016.7%6.6%13.2%5.8%23.7%2.0%-0.2%38.1M-351.1M-7.7M0.433.7162,66726,7441,150,8321,092,541
2013-11-11$24.17$22.0017.6%6.7%13.0%11.0%24.1%1.9%-0.4%46.0M-397.4M-7.8M0.183.2756,49310,2451,142,2451,061,430
2013-11-12$24.43$22.0018.1%6.7%13.3%13.6%23.8%1.6%0.4%57.5M-581.5M-8.0M0.112.84167,58319,2021,169,2371,069,519
2013-11-13$24.60$22.0018.2%6.7%12.8%14.1%24.1%1.6%-0.2%75.0M-755.0M-8.2M0.382.8150,39218,9021,230,5661,068,234
2013-11-14$24.39$22.0017.7%6.7%13.0%11.4%24.2%0.9%0.5%60.5M-615.0M-8.0M0.482.5941,71819,9651,220,5701,051,306
2013-11-15$24.52$22.0017.0%6.8%13.0%7.8%24.2%1.4%-0.1%50.7M-674.5M-7.9M0.412.7868,61828,2401,205,2791,051,658
2013-11-18$24.60$22.0016.3%6.7%12.5%3.9%24.1%1.6%3.4%55.7M-611.5M-8.1M0.733.5541,06330,0751,131,807990,418
2013-11-19$24.70$22.0017.0%6.7%12.5%7.6%23.5%1.4%2.7%55.7M-658.9M-8.1M0.633.4669,41243,8691,146,5371,005,975
2013-11-20$24.56$22.0017.0%6.7%11.5%7.7%23.5%1.3%2.5%55.0M-594.0M-8.0M0.488.8946,90622,3411,189,2981,032,777
2013-11-21$25.23$22.0017.0%6.7%14.6%7.6%24.2%1.5%-0.4%74.8M-1.10B-8.1M0.263.64163,49142,9771,209,1141,045,545
2013-11-22$23.87$22.0017.3%6.8%24.3%9.4%24.5%0.9%-0.0%23.9M-62.9M-7.7M0.733.39239,147173,8041,241,7601,060,361
2013-11-25$23.75$22.0017.2%6.7%24.3%8.6%24.6%1.4%3.0%16.1M-68.0M-7.9M0.673.2456,40237,8391,270,6281,078,484
2013-11-26$23.65$22.0016.2%6.7%24.1%3.1%23.9%2.3%3.2%14.2M-14.1M-7.8M0.813.0634,76728,1671,288,0871,085,396
2013-11-27$23.90$22.0015.8%6.7%24.5%1.0%23.6%1.5%0.2%27.6M-149.0M-8.0M0.823.0334,43928,2761,298,2131,096,970
2013-11-29$23.84$22.0016.3%6.8%24.5%3.6%24.5%1.5%0.6%22.9M-123.8M-8.0M0.303.1924,3557,3651,311,0621,106,838