INTC Options History — July 2007

In July 2007, INTC traded between $23.54 and $26.33. ATM implied volatility averaged 29.3%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.5% (HV 20d: 29.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2007-07-17: Highest Volume — 358,904 contracts
2007-07-18: Largest IV drop — 26.6% change
2007-07-11: Highest IV Rank — 100.0%
2007-07-17: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.79	$23.54	$26.33	$24.27	$23.62
Max Pain	$24.64	$22.50	$25.00	$22.50	$25.00
ATM IV	29.3%	23.8%	37.8%	30.9%	28.3%
Expected Move	8.0%	6.8%	10.1%	8.9%	8.1%
HV 20d	29.8%	23.8%	34.3%	27.4%	33.5%
HV 60d	24.7%	21.7%	27.2%	22.8%	27.2%
IV Rank	61.3%	34.7%	100.0%	83.6%	56.0%
IV Percentile	72.8%	40.3%	100.0%	94.4%	73.6%
Term Structure	-1.0%	-5.5%	2.2%	-3.5%	0.6%
VWIV	28.4%	24.2%	34.9%	31.1%	28.6%
Skew 25d	-0.7%	-3.7%	1.5%	-2.2%	-0.6%
Skew 10d	-1.9%	-9.8%	2.7%	-2.9%	-9.8%
Call IV 25d	29.8%	25.2%	37.5%	34.5%	29.2%
Put IV 25d	29.1%	25.8%	34.4%	32.4%	28.6%
Bid-Ask Spread %	2.15	1.08	4.00	1.97	2.62
Gamma HHI	0.32	0.26	0.47	0.33	0.28
Net GEX	48.4M	29.3M	80.2M	52.2M	29.4M
Net DEX	-2.53B	-3.50B	-1.46B	-2.52B	-1.47B
Net VEX	-14.7M	-15.2M	-14.0M	-15.1M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.22	1.05	0.68	0.57
Total Volume	123,945.333	41,449	358,904	52,570	56,846
Total OI	3,237,671.952	2,959,137	3,605,130	3,181,455	3,024,496

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
2007-07-02	$24.27	$22.50	30.9%	8.9%	27.4%	0.0%	31.1%	-2.2%	-3.5%	52.2M	-2.52B	-15.1M	0.68	1.97	31,207	21,363	2,016,756	1,164,699
2007-07-03	$24.59	$22.50	31.2%	8.9%	27.1%	0.0%	31.4%	-2.7%	-3.5%	53.8M	-2.70B	-14.9M	0.30	1.08	54,871	16,293	2,018,007	1,172,375
2007-07-05	$24.60	$22.50	32.8%	9.4%	25.2%	83.6%	32.8%	-3.7%	-4.9%	54.1M	-2.70B	-14.8M	0.55	1.29	26,877	14,708	2,031,253	1,188,181
2007-07-06	$24.68	$25.00	32.2%	8.0%	24.6%	80.7%	28.5%	-0.5%	-1.4%	55.0M	-2.73B	-14.8M	0.62	1.89	44,097	27,383	2,032,798	1,183,851
2007-07-09	$24.96	$25.00	34.7%	8.0%	23.8%	93.3%	28.3%	-0.2%	-1.2%	56.1M	-2.88B	-14.3M	0.60	2.12	66,005	39,328	2,052,825	1,198,559
2007-07-10	$24.97	$25.00	35.9%	8.2%	23.9%	99.3%	28.8%	-0.1%	-1.9%	55.0M	-2.92B	-14.4M	0.53	1.97	71,173	37,468	2,063,755	1,224,450
2007-07-11	$24.57	$25.00	37.8%	8.2%	25.1%	100.0%	28.9%	-0.1%	-1.6%	54.4M	-2.64B	-14.7M	0.71	1.98	71,245	50,595	2,078,837	1,238,104
2007-07-12	$26.00	$25.00	29.0%	8.3%	30.7%	59.3%	29.3%	-0.2%	-2.0%	52.1M	-3.41B	-14.7M	0.33	1.69	163,661	53,383	2,101,231	1,273,619
2007-07-13	$25.97	$25.00	28.7%	8.2%	30.1%	57.8%	29.6%	-1.1%	-2.0%	53.7M	-3.41B	-14.3M	0.33	2.61	102,242	33,869	2,096,431	1,278,257
2007-07-16	$25.95	$25.00	30.6%	8.8%	26.8%	66.6%	31.4%	-2.1%	-2.8%	52.5M	-3.38B	-14.0M	0.62	2.05	93,310	57,686	2,103,590	1,280,361
2007-07-17	$26.33	$25.00	35.2%	10.1%	26.9%	87.7%	34.9%	-2.0%	-5.5%	50.1M	-3.50B	-14.6M	0.35	2.40	265,545	93,359	2,119,666	1,317,410
2007-07-18	$25.06	$25.00	25.8%	7.4%	33.0%	44.3%	26.4%	-1.1%	1.4%	70.5M	-2.80B	-14.7M	0.54	1.97	206,564	110,999	2,207,681	1,360,987
2007-07-19	$25.26	$25.00	24.4%	7.0%	32.9%	38.0%	25.2%	-1.0%	2.2%	80.2M	-3.07B	-14.4M	0.22	2.06	106,225	23,699	2,233,206	1,371,924
2007-07-20	$24.55	$25.00	25.0%	7.2%	34.3%	40.5%	25.6%	-0.4%	1.3%	38.5M	-2.33B	-14.7M	0.46	2.48	145,899	66,541	2,239,424	1,346,010
2007-07-23	$24.72	$25.00	24.2%	6.9%	33.1%	36.7%	24.7%	0.1%	0.3%	38.2M	-2.05B	-14.8M	0.46	1.43	64,107	29,721	1,845,146	1,113,991
2007-07-24	$24.53	$25.00	23.8%	6.8%	33.0%	34.7%	24.2%	1.5%	1.0%	38.0M	-1.94B	-15.0M	0.77	1.97	41,195	31,671	1,867,838	1,112,782
2007-07-25	$24.50	$25.00	24.5%	7.0%	32.9%	38.2%	25.0%	0.2%	0.3%	38.4M	-1.92B	-14.9M	0.35	1.86	30,674	10,775	1,873,974	1,123,562
2007-07-26	$24.00	$25.00	25.5%	7.3%	33.4%	43.1%	26.4%	1.3%	0.3%	33.7M	-1.65B	-15.1M	0.42	4.00	68,340	28,551	1,865,495	1,122,476
2007-07-27	$23.54	$25.00	28.2%	8.1%	34.1%	55.5%	28.7%	-0.7%	0.9%	29.3M	-1.46B	-14.9M	1.05	2.49	47,913	50,401	1,878,568	1,132,263
2007-07-30	$23.85	$25.00	26.9%	7.7%	34.3%	49.4%	27.3%	1.1%	0.6%	31.3M	-1.55B	-15.2M	0.37	3.20	34,312	12,751	1,885,187	1,151,086
2007-07-31	$23.62	$25.00	28.3%	8.1%	33.5%	56.0%	28.6%	-0.6%	0.6%	29.4M	-1.47B	-14.9M	0.57	2.62	36,308	20,538	1,883,027	1,141,469