The most common and most likely answer to this crossword clue is the 6 letter word WAYLAY
I've seen this crossword clue in The Times
W
A
Y
L
A
Y
Buddy explains!

The straight part
We know that "intercept" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case intercept = waylay.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does WAYLAY mean?
WAYLAY verb- To lie in wait for and attack from ambush.
- To accost or intercept unexpectedly.