INTC Options History — February 2007 In February 2007, INTC traded between $19.86 and $21.51. ATM implied volatility averaged 22.5%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.4% (HV 20d: 21.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.74.
Notable Days 2007-02-27 : Highest Volume — 172,649 contracts2007-02-06 : Largest IV spike — 25.0% change2007-02-27 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $20.98 $19.86 $21.51 $21.11 $19.86 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 22.5% 20.5% 26.6% 23.4% 21.5% Expected Move 6.4% 5.9% 6.8% 6.7% 6.2% HV 20d 21.1% 14.1% 30.9% 30.9% 19.1% Term Structure 2.6% 0.6% 4.0% 0.6% 3.4% VWIV 22.3% 21.0% 23.7% 23.4% 21.5% Skew 25d -0.4% -7.3% 2.6% -4.4% 0.2% Skew 10d -0.5% -11.1% 7.1% -2.7% -0.5% Call IV 25d 22.8% 20.5% 27.9% 26.5% 26.8% Put IV 25d 22.4% 19.7% 27.0% 22.1% 27.0% Bid-Ask Spread % 3.19 1.32 7.27 3.61 1.52 Gamma HHI 0.27 0.25 0.32 0.30 0.29 Net GEX 17.6M 1.1M 27.2M 17.9M 1.1M Net DEX -803.2M -1.03B -239.3M -801.5M -239.3M Net VEX -13.7M -14.3M -13.2M -13.2M -13.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.23 1.45 0.23 0.77 Total Volume 90,860.895 31,464 172,649 137,028 148,771 Total OI 2,677,360.789 2,471,429 2,825,016 2,471,429 2,825,016
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $21.11 $20.00 23.4% 6.7% 30.9% 0.0% 23.4% -4.4% 0.6% 17.9M -801.5M -13.2M 0.23 3.61 111,231 25,797 1,581,950 889,479 2007-02-02 $21.23 $20.00 24.9% 6.7% 27.5% 0.0% 22.8% 1.1% 3.5% 21.4M -873.9M -13.5M 0.27 5.45 24,712 6,752 1,655,574 907,024 2007-02-05 $21.28 $20.00 21.2% 6.7% 27.5% 0.0% 23.6% 1.1% 2.7% 21.8M -929.6M -13.5M 0.29 4.68 115,202 33,826 1,623,458 907,679 2007-02-06 $21.31 $20.00 26.6% 6.4% 27.5% 0.0% 22.8% 2.3% 3.7% 24.2M -967.9M -13.8M 0.72 7.27 62,357 45,049 1,689,363 923,357 2007-02-07 $21.51 $20.00 25.3% 6.3% 27.6% 0.0% 21.9% 2.6% 3.8% 27.2M -1.03B -13.8M 1.13 6.44 48,986 55,135 1,697,847 929,915 2007-02-08 $21.36 $20.00 21.7% 6.2% 26.5% 0.0% 22.5% 0.9% 3.2% 24.6M -977.0M -13.9M 0.76 6.17 25,144 19,118 1,714,264 959,975 2007-02-09 $21.03 $20.00 23.0% 6.6% 26.1% 0.0% 22.4% 0.7% 3.0% 18.2M -824.5M -13.9M 0.25 1.69 99,580 24,791 1,716,977 967,442 2007-02-12 $20.80 $20.00 23.0% 6.6% 25.9% 0.0% 23.0% 0.3% 2.7% 15.3M -745.8M -13.6M 0.44 2.00 54,609 24,239 1,760,673 974,517 2007-02-13 $20.87 $20.00 22.4% 6.4% 25.7% 0.0% 22.2% 0.4% 3.2% 16.2M -832.5M -13.9M 0.95 2.97 34,888 33,000 1,778,368 972,310 2007-02-14 $21.14 $20.00 23.1% 6.6% 16.2% 0.0% 22.2% 1.3% 2.6% 20.5M -927.0M -14.2M 0.82 2.68 36,455 30,047 1,786,099 986,031 2007-02-15 $21.31 $20.00 20.9% 6.0% 14.7% 0.0% 23.3% 1.8% 4.0% 21.7M -990.6M -14.3M 0.37 2.14 37,981 14,231 1,795,302 1,004,279 2007-02-16 $21.23 $20.00 21.7% 6.2% 14.6% 0.0% 21.3% 0.4% 2.4% 20.5M -945.2M -14.1M 0.67 1.69 26,070 17,343 1,791,802 1,000,300 2007-02-20 $21.18 $20.00 21.6% 6.2% 14.6% 0.0% 21.4% 0.3% 2.0% 19.6M -870.8M -13.6M 1.45 1.44 22,050 31,967 1,639,608 929,722 2007-02-21 $20.88 $20.00 20.5% 5.9% 15.0% 0.0% 21.1% -1.8% 1.7% 14.9M -731.4M -13.3M 0.60 1.52 64,211 38,564 1,648,624 950,319 2007-02-22 $20.97 $20.00 20.9% 6.0% 14.2% 0.0% 21.0% -2.7% 1.7% 16.6M -799.4M -13.8M 0.90 1.32 48,212 43,511 1,688,082 974,660 2007-02-23 $20.76 $20.00 21.0% 6.0% 14.1% 0.0% 21.2% -2.1% 2.3% 13.6M -703.0M -13.7M 1.33 2.42 22,411 29,836 1,708,691 998,909 2007-02-26 $20.85 $20.00 21.8% 6.3% 14.1% 0.0% 22.2% -2.9% 2.1% 13.6M -735.0M -13.6M 1.08 2.66 46,840 50,792 1,703,632 1,012,360 2007-02-27 $20.03 $20.00 23.8% 6.8% 19.0% 0.0% 23.7% -7.3% 1.2% 4.6M -334.9M -13.4M 1.11 2.87 81,977 90,672 1,725,817 1,050,430 2007-02-28 $19.86 $20.00 21.5% 6.2% 19.1% 0.0% 21.5% 0.2% 3.4% 1.1M -239.3M -13.3M 0.77 1.52 84,186 64,585 1,751,782 1,073,234
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