This is not a silly question and you'll be glad to know it is of course possible. You'll find a Tutorial about. This is done by registering a broadcast receiver which starts a service when the SMS is received. When the message is received, your service will be in charge of starting any activity of your app.
But intercepting totally won't work since KitKat as the SMS app should be declared as the default SMS app. Depending on what you want to achieve, you can use Data SMS too.