INTC Options History — October 2007

In October 2007, INTC traded between $25.43 and $26.97. ATM implied volatility averaged 29.6%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.3% (HV 20d: 21.3%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.49.

Notable Days

2007-10-16: Highest Volume — 390,521 contracts
2007-10-17: Largest IV drop — 21.9% change
2007-10-16: Highest IV Rank — 86.5%
2007-10-16: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.09	$25.43	$26.97	$26.37	$26.90
Max Pain	$25.33	$22.50	$27.50	$22.50	$25.00
ATM IV	29.6%	24.7%	34.9%	28.4%	24.7%
Expected Move	8.2%	7.1%	10.0%	8.1%	7.1%
HV 20d	21.3%	15.1%	27.3%	18.8%	26.7%
HV 60d	25.7%	23.3%	28.6%	28.3%	25.7%
IV Rank	61.7%	39.0%	86.5%	56.3%	39.0%
IV Percentile	70.9%	36.8%	96.5%	68.4%	36.8%
Term Structure	-0.4%	-3.4%	1.8%	-2.3%	1.2%
VWIV	29.0%	25.3%	35.2%	28.6%	25.3%
Skew 25d	1.8%	-0.9%	3.3%	-0.1%	1.4%
Skew 10d	4.2%	-1.0%	7.3%	6.0%	-1.0%
Call IV 25d	28.6%	25.7%	34.6%	28.8%	25.7%
Put IV 25d	30.3%	26.6%	36.7%	28.7%	27.1%
Bid-Ask Spread %	2.70	1.75	3.81	2.60	2.22
Gamma HHI	0.30	0.26	0.50	0.27	0.34
Net GEX	46.0M	36.2M	87.0M	46.4M	45.9M
Net DEX	-2.37B	-3.11B	-1.99B	-2.65B	-2.47B
Net VEX	-12.9M	-13.3M	-12.6M	-12.8M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.25	0.88	0.62	0.65
Total Volume	104,034.478	44,736	390,521	75,945	106,005
Total OI	3,071,597.913	2,775,816	3,395,354	3,017,353	2,928,011

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
2007-10-01	$26.37	$22.50	28.4%	8.1%	18.8%	56.3%	28.6%	-0.1%	-2.3%	46.4M	-2.65B	-12.8M	0.62	2.60	47,011	28,934	1,847,144	1,170,209
2007-10-02	$26.38	$22.50	29.3%	8.4%	17.9%	60.4%	29.9%	0.4%	-2.4%	46.0M	-2.66B	-12.9M	0.68	1.75	30,697	20,984	1,855,351	1,180,053
2007-10-03	$25.81	$25.00	30.3%	8.7%	19.4%	65.1%	30.4%	0.9%	-1.1%	41.8M	-2.32B	-13.1M	0.55	2.88	62,914	34,511	1,863,109	1,191,125
2007-10-04	$25.60	$25.00	30.8%	8.8%	19.5%	67.5%	30.6%	3.1%	-2.0%	40.6M	-2.21B	-13.3M	0.36	2.13	60,117	21,723	1,879,709	1,207,485
2007-10-05	$25.54	$27.50	30.0%	8.0%	17.0%	63.7%	27.5%	3.3%	0.5%	41.3M	-2.25B	-13.1M	0.30	2.77	42,338	12,901	1,899,896	1,214,375
2007-10-08	$25.66	$27.50	34.2%	8.4%	17.0%	83.2%	29.3%	2.9%	-0.4%	42.4M	-2.27B	-12.9M	0.35	3.29	54,960	19,454	1,908,049	1,221,683
2007-10-09	$25.84	$27.50	34.5%	8.3%	16.6%	84.4%	28.1%	3.2%	-0.3%	44.8M	-2.38B	-13.1M	0.28	3.02	34,877	9,859	1,918,032	1,230,466
2007-10-10	$25.88	$27.50	34.9%	8.3%	16.4%	86.3%	29.8%	2.7%	-0.5%	45.5M	-2.42B	-12.7M	0.84	3.81	28,974	24,221	1,922,411	1,231,722
2007-10-11	$25.43	$27.50	31.5%	9.0%	17.5%	70.5%	31.1%	2.7%	-1.7%	41.2M	-2.18B	-13.1M	0.30	3.58	79,645	23,911	1,934,936	1,246,150
2007-10-12	$25.55	$25.00	30.6%	8.8%	16.4%	66.3%	30.5%	2.8%	-1.1%	43.9M	-2.20B	-13.1M	0.52	3.00	40,701	21,192	1,950,821	1,247,905
2007-10-15	$25.75	$25.00	32.8%	9.4%	16.5%	76.9%	32.3%	2.9%	-2.2%	47.4M	-2.35B	-13.1M	0.31	2.40	85,661	26,267	1,961,115	1,239,192
2007-10-16	$25.48	$25.00	34.9%	10.0%	15.1%	86.5%	35.2%	2.1%	-3.4%	44.9M	-2.20B	-12.9M	0.44	2.99	270,704	119,817	1,974,812	1,242,642
2007-10-17	$26.72	$25.00	27.3%	7.8%	22.4%	51.0%	28.0%	1.0%	1.3%	73.0M	-3.06B	-12.8M	0.28	2.53	229,608	64,398	2,074,737	1,297,775
2007-10-18	$26.97	$25.00	26.5%	7.6%	22.6%	47.6%	27.7%	2.4%	1.8%	87.0M	-3.11B	-12.6M	0.25	2.66	79,634	19,931	2,077,160	1,318,194
2007-10-19	$26.30	$25.00	28.5%	8.2%	24.6%	57.0%	29.3%	1.3%	1.0%	47.5M	-2.65B	-13.0M	0.26	2.29	79,428	20,923	2,046,499	1,322,767
2007-10-22	$26.64	$25.00	26.4%	7.6%	24.9%	47.0%	28.2%	2.3%	0.3%	41.3M	-2.33B	-12.6M	0.55	2.73	51,478	28,472	1,686,233	1,089,583
2007-10-23	$26.80	$25.00	25.8%	7.4%	24.9%	44.3%	27.1%	1.5%	0.8%	43.9M	-2.40B	-12.6M	0.56	1.92	56,442	31,586	1,705,136	1,094,526
2007-10-24	$26.01	$25.00	28.3%	8.1%	27.3%	55.9%	28.1%	2.9%	0.1%	37.4M	-2.03B	-13.0M	0.74	3.01	76,181	56,118	1,715,589	1,109,091
2007-10-25	$25.89	$25.00	28.4%	8.1%	27.3%	56.3%	28.5%	2.1%	0.4%	36.2M	-1.99B	-13.0M	0.27	2.48	77,435	20,919	1,735,650	1,136,278
2007-10-26	$25.94	$25.00	26.5%	7.6%	27.3%	47.6%	26.6%	0.5%	1.8%	38.9M	-2.08B	-13.1M	0.55	2.14	44,852	24,890	1,777,211	1,140,588
2007-10-29	$26.26	$25.00	27.5%	7.9%	26.7%	52.2%	27.0%	-0.8%	-0.3%	41.8M	-2.21B	-13.0M	0.88	2.85	39,483	34,917	1,776,270	1,140,752
2007-10-30	$26.27	$25.00	27.8%	8.0%	26.7%	53.5%	27.3%	-0.9%	-0.2%	38.4M	-2.17B	-13.0M	0.82	3.12	26,291	21,429	1,761,023	1,175,287
2007-10-31	$26.90	$25.00	24.7%	7.1%	26.7%	39.0%	25.3%	1.4%	1.2%	45.9M	-2.47B	-12.7M	0.65	2.22	64,442	41,563	1,765,863	1,162,148