INTC Options History — June 2007 In June 2007, INTC traded between $21.31 and $24.29. ATM implied volatility averaged 25.4%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.0% (HV 20d: 24.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.53.
Notable Days 2007-06-15 : Highest Volume — 235,365 contracts2007-06-14 : Largest IV spike — 34.0% change2007-06-29 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $23.04 $21.31 $24.29 $22.36 $23.74 Max Pain $21.31 $20.00 $22.50 $22.50 $22.50 ATM IV 25.4% 20.3% 30.4% 20.6% 30.4% Expected Move 7.8% 5.9% 8.7% 5.9% 8.7% HV 20d 24.4% 19.1% 28.4% 19.1% 27.0% HV 60d 20.8% 18.9% 22.6% 18.9% 22.6% Term Structure -1.4% -3.1% 5.4% 5.4% -1.9% VWIV 27.4% 20.6% 30.6% 20.6% 30.6% Skew 25d 0.1% -2.0% 2.1% 1.6% -1.1% Skew 10d 1.5% -3.9% 8.9% 1.9% -2.1% Call IV 25d 28.4% 25.5% 31.5% 25.5% 31.5% Put IV 25d 28.5% 25.9% 30.4% 27.1% 30.4% Bid-Ask Spread % 2.24 1.48 5.04 1.81 3.26 Gamma HHI 0.33 0.28 0.40 0.32 0.30 Net GEX 45.3M 32.8M 57.0M 42.8M 49.3M Net DEX -1.89B -2.73B -996.3M -1.52B -2.20B Net VEX -15.0M -15.5M -14.4M -15.5M -15.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.16 1.08 0.49 0.78 Total Volume 69,594.81 28,036 235,365 52,000 75,048 Total OI 3,139,347.048 3,071,592 3,251,904 3,096,289 3,154,898
Daily Data (21 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 2007-06-01 $22.36 $22.50 20.6% 5.9% 19.1% 0.0% 20.6% 1.6% 5.4% 42.8M -1.52B -15.5M 0.49 1.81 34,884 17,116 1,971,493 1,124,796 2007-06-04 $22.16 $20.00 21.9% 7.6% 19.3% 0.0% 26.7% 1.9% -1.7% 42.1M -1.42B -15.1M 0.51 1.95 18,568 9,468 1,972,061 1,117,946 2007-06-05 $21.96 $20.00 22.8% 7.5% 19.6% 0.0% 26.5% 1.4% -1.2% 40.5M -1.30B -15.2M 0.16 1.76 45,042 6,992 1,981,786 1,119,035 2007-06-06 $21.49 $20.00 25.8% 7.8% 20.8% 0.0% 27.3% 0.1% -2.0% 35.4M -1.07B -14.9M 0.38 1.54 50,867 19,144 1,999,159 1,119,251 2007-06-07 $21.31 $20.00 27.1% 8.3% 20.0% 0.0% 28.9% -0.2% -2.9% 32.8M -996.3M -15.0M 0.49 1.85 36,723 18,106 2,012,604 1,120,281 2007-06-08 $21.83 $20.00 23.0% 8.2% 21.8% 0.0% 28.5% 0.3% -2.6% 41.4M -1.27B -15.3M 0.48 2.52 36,097 17,481 2,026,107 1,120,764 2007-06-11 $21.93 $20.00 22.3% 8.3% 21.9% 0.0% 29.0% 0.3% -3.1% 45.5M -1.35B -15.0M 0.38 5.04 26,228 9,906 2,037,504 1,128,694 2007-06-12 $22.20 $20.00 22.2% 8.2% 22.2% 0.0% 29.1% 1.2% -2.4% 50.8M -1.50B -15.3M 0.28 2.67 34,460 9,624 2,045,972 1,132,359 2007-06-13 $22.67 $20.00 20.3% 8.0% 23.3% 0.0% 28.0% 2.1% -2.2% 57.0M -1.82B -15.1M 0.66 2.98 42,118 27,802 2,040,262 1,133,322 2007-06-14 $23.23 $20.00 27.2% 7.8% 24.6% 0.0% 27.3% 1.5% -1.9% 51.8M -2.16B -15.2M 0.28 1.85 94,378 26,838 2,040,001 1,133,429 2007-06-15 $24.24 $20.00 24.5% 7.0% 28.4% 0.0% 25.5% -1.5% -0.5% 50.2M -2.73B -14.4M 0.47 1.48 160,421 74,944 2,029,207 1,136,031 2007-06-18 $24.17 $22.50 24.9% 7.2% 27.8% 0.0% 25.9% -1.3% -0.4% 49.7M -2.50B -14.5M 0.42 1.61 78,312 33,065 1,944,172 1,130,794 2007-06-19 $24.10 $22.50 25.1% 7.2% 27.8% 0.0% 25.6% -1.1% -0.9% 36.7M -2.36B -15.1M 0.39 1.68 40,708 15,957 1,944,268 1,307,636 2007-06-20 $23.94 $22.50 26.5% 7.6% 27.6% 0.0% 26.6% -2.0% -1.4% 34.0M -2.23B -15.1M 0.78 2.04 33,664 26,158 1,929,929 1,293,935 2007-06-21 $24.29 $22.50 25.9% 7.4% 27.3% 0.0% 26.5% -1.7% -0.8% 48.9M -2.50B -14.7M 0.32 2.32 40,443 12,891 1,935,539 1,136,053 2007-06-22 $23.70 $22.50 27.6% 7.9% 26.2% 0.0% 27.4% -1.7% -1.5% 48.0M -2.21B -14.9M 0.70 2.11 37,015 25,805 1,951,844 1,134,863 2007-06-25 $23.48 $22.50 28.6% 8.2% 26.6% 0.0% 28.8% 0.5% -1.4% 46.5M -2.04B -14.7M 1.08 2.17 21,422 23,212 1,960,536 1,141,602 2007-06-26 $23.38 $22.50 29.1% 8.4% 26.6% 0.0% 29.3% 0.5% -1.9% 46.9M -2.00B -14.9M 0.86 1.57 41,052 35,239 1,966,419 1,142,448 2007-06-27 $23.79 $22.50 28.2% 8.1% 26.7% 0.0% 28.7% 0.0% -2.0% 50.0M -2.25B -14.9M 0.56 2.57 39,573 22,022 1,991,197 1,149,627 2007-06-28 $23.92 $22.50 29.4% 8.4% 26.7% 0.0% 29.3% 1.5% -3.0% 50.8M -2.35B -15.1M 0.74 2.35 24,528 18,170 2,009,693 1,158,771 2007-06-29 $23.74 $22.50 30.4% 8.7% 27.0% 0.0% 30.6% -1.1% -1.9% 49.3M -2.20B -15.1M 0.78 3.26 42,067 32,981 2,002,830 1,152,068
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