INTC Options History — August 2007

In August 2007, INTC traded between $23.10 and $25.75. ATM implied volatility averaged 27.9%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.3% (HV 20d: 29.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.54.

Notable Days

2007-08-29: Highest Volume — 143,373 contracts
2007-08-15: Largest IV spike — 75.9% change
2007-08-15: Highest IV Rank — 97.4%
2007-08-16: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.19	$23.10	$25.75	$23.80	$25.75
Max Pain	$24.89	$22.50	$25.00	$25.00	$25.00
ATM IV	27.9%	21.2%	37.3%	29.1%	27.2%
Expected Move	8.0%	6.6%	10.3%	8.3%	7.8%
HV 20d	29.3%	24.8%	35.0%	33.2%	30.1%
HV 60d	28.5%	27.2%	30.4%	27.2%	30.1%
IV Rank	54.1%	22.8%	97.4%	59.4%	50.8%
IV Percentile	63.9%	9.1%	99.4%	79.3%	62.9%
Term Structure	2.6%	-0.3%	4.1%	-0.3%	2.9%
VWIV	28.0%	23.2%	35.5%	29.3%	26.8%
Skew 25d	2.6%	0.4%	5.0%	0.4%	2.8%
Skew 10d	4.8%	-6.3%	9.3%	-6.3%	4.0%
Call IV 25d	27.4%	22.3%	33.9%	29.1%	25.6%
Put IV 25d	30.1%	26.6%	38.9%	29.4%	28.4%
Bid-Ask Spread %	3.15	2.21	4.23	3.36	2.45
Gamma HHI	0.28	0.22	0.34	0.29	0.27
Net GEX	34.5M	17.1M	46.1M	30.2M	45.6M
Net DEX	-1.74B	-2.47B	-1.21B	-1.52B	-2.47B
Net VEX	-15.1M	-15.9M	-14.3M	-15.3M	-14.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.25	1.01	0.45	0.43
Total Volume	67,009.913	27,310	143,373	106,340	68,162
Total OI	3,001,763.13	2,855,986	3,112,248	3,031,339	2,985,451

Daily Data (23 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
2007-08-01	$23.80	$25.00	29.1%	8.3%	33.2%	59.4%	29.3%	0.4%	-0.3%	30.2M	-1.52B	-15.3M	0.45	3.36	73,127	33,213	1,879,570	1,151,769
2007-08-02	$24.30	$25.00	26.1%	7.5%	34.1%	45.4%	26.9%	1.0%	1.6%	37.0M	-1.78B	-15.4M	0.31	2.61	54,595	16,837	1,898,332	1,147,362
2007-08-03	$23.91	$25.00	28.8%	8.3%	34.5%	58.4%	29.1%	0.5%	0.3%	32.3M	-1.59B	-15.5M	0.61	2.78	43,393	26,436	1,883,593	1,149,715
2007-08-06	$24.13	$25.00	28.0%	8.3%	34.4%	54.4%	29.3%	1.8%	2.6%	34.7M	-1.66B	-15.6M	0.58	2.91	28,004	16,363	1,894,385	1,150,849
2007-08-07	$24.13	$25.00	25.9%	7.8%	34.4%	44.5%	27.8%	1.4%	2.9%	36.6M	-1.69B	-15.3M	0.43	2.48	28,070	12,014	1,909,872	1,156,784
2007-08-08	$24.68	$25.00	27.3%	7.6%	35.0%	51.2%	26.7%	2.7%	2.3%	45.2M	-2.01B	-15.0M	0.47	3.77	59,396	27,646	1,913,814	1,149,755
2007-08-09	$23.92	$25.00	32.8%	8.6%	29.8%	76.6%	30.2%	1.8%	1.7%	34.8M	-1.63B	-15.4M	0.43	3.56	37,835	16,430	1,927,541	1,163,262
2007-08-10	$23.98	$25.00	31.5%	8.8%	29.8%	70.7%	31.5%	1.9%	1.5%	34.5M	-1.63B	-15.9M	0.62	4.23	38,878	24,282	1,929,542	1,161,438
2007-08-13	$24.02	$25.00	32.5%	8.2%	29.9%	75.4%	28.9%	2.6%	2.2%	35.6M	-1.62B	-15.5M	0.70	3.76	35,116	24,627	1,919,707	1,162,704
2007-08-14	$23.80	$25.00	21.2%	8.4%	29.1%	22.8%	29.7%	1.7%	2.4%	30.6M	-1.51B	-15.3M	0.56	2.21	19,129	10,662	1,927,429	1,172,775
2007-08-15	$23.22	$25.00	37.3%	9.2%	25.2%	97.4%	30.9%	3.4%	2.0%	19.8M	-1.24B	-15.4M	0.56	4.20	41,812	23,441	1,930,608	1,169,848
2007-08-16	$23.10	$25.00	36.0%	10.3%	24.8%	91.6%	35.5%	5.0%	2.1%	17.1M	-1.21B	-15.6M	0.88	3.99	59,177	52,053	1,937,196	1,175,052
2007-08-17	$23.70	$25.00	30.9%	8.9%	25.3%	67.9%	29.8%	2.7%	3.2%	27.2M	-1.50B	-15.1M	0.76	2.64	60,981	46,525	1,948,346	1,151,222
2007-08-20	$24.11	$25.00	25.8%	7.4%	26.0%	44.1%	26.8%	3.2%	4.0%	30.9M	-1.70B	-14.8M	0.27	3.65	62,839	16,965	1,763,584	1,092,402
2007-08-21	$23.89	$25.00	25.9%	7.4%	26.1%	44.9%	26.9%	2.5%	3.7%	31.8M	-1.61B	-15.2M	0.36	3.41	20,036	7,274	1,788,652	1,094,107
2007-08-22	$24.15	$22.50	23.2%	6.6%	26.4%	32.0%	23.8%	2.9%	4.1%	34.9M	-1.75B	-14.5M	0.66	2.96	33,227	21,836	1,788,791	1,092,387
2007-08-23	$24.23	$25.00	23.7%	6.8%	25.4%	34.5%	23.9%	3.4%	4.1%	35.5M	-1.80B	-14.5M	0.25	3.03	32,513	8,264	1,794,055	1,086,190
2007-08-24	$24.79	$25.00	22.9%	6.6%	25.4%	30.6%	23.2%	4.4%	4.1%	40.2M	-2.03B	-14.5M	0.59	3.84	27,654	16,181	1,800,206	1,085,805
2007-08-27	$24.45	$25.00	24.1%	6.9%	25.7%	36.6%	24.8%	3.5%	4.1%	37.8M	-1.87B	-14.3M	1.01	3.37	18,495	18,622	1,800,299	1,086,850
2007-08-28	$23.96	$25.00	27.4%	7.9%	26.6%	51.8%	28.0%	2.9%	3.1%	33.8M	-1.65B	-14.6M	0.63	2.34	29,110	18,364	1,806,511	1,095,510
2007-08-29	$25.09	$25.00	26.8%	7.7%	31.0%	49.1%	26.8%	3.7%	2.0%	41.0M	-2.16B	-14.7M	0.38	2.52	103,891	39,482	1,818,567	1,098,695
2007-08-30	$25.28	$25.00	27.8%	8.0%	30.4%	53.3%	27.7%	4.5%	2.8%	46.1M	-2.33B	-15.0M	0.56	2.26	56,709	31,562	1,882,042	1,117,978
2007-08-31	$25.75	$25.00	27.2%	7.8%	30.1%	50.8%	26.8%	2.8%	2.9%	45.6M	-2.47B	-14.6M	0.43	2.45	47,580	20,582	1,860,783	1,124,668