INTC Options History — November 2007

In November 2007, INTC traded between $24.37 and $27.49. ATM implied volatility averaged 28.8%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.3% (HV 20d: 32.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2007-11-08: Highest Volume — 179,705 contracts
2007-11-15: Largest IV spike — 60.3% change
2007-11-12: Highest IV Rank — 81.6%
2007-11-12: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.83	$24.37	$27.49	$26.50	$26.08
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	28.8%	20.8%	33.8%	27.8%	27.5%
Expected Move	8.5%	6.8%	9.6%	8.0%	7.9%
HV 20d	32.0%	27.1%	38.3%	27.1%	37.1%
HV 60d	26.7%	24.7%	28.4%	25.6%	28.4%
IV Rank	58.0%	21.1%	81.6%	53.7%	52.3%
IV Percentile	65.3%	3.7%	93.1%	58.6%	53.9%
Term Structure	3.0%	0.5%	6.0%	0.5%	4.1%
VWIV	29.6%	25.4%	34.0%	28.2%	25.9%
Skew 25d	2.9%	0.7%	5.8%	0.7%	3.1%
Skew 10d	5.8%	-1.4%	12.8%	1.3%	12.8%
Call IV 25d	28.9%	23.9%	33.3%	28.1%	24.1%
Put IV 25d	31.8%	27.0%	35.8%	28.7%	27.2%
Bid-Ask Spread %	2.86	1.81	3.63	3.22	2.86
Gamma HHI	0.32	0.25	0.40	0.34	0.34
Net GEX	35.1M	21.1M	59.1M	40.6M	38.0M
Net DEX	-1.95B	-2.85B	-1.21B	-2.30B	-1.97B
Net VEX	-12.4M	-13.1M	-11.8M	-12.8M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.12	1.24	0.26	0.59
Total Volume	85,963.19	49,860	179,705	71,360	65,805
Total OI	2,967,162.524	2,836,200	3,078,494	2,956,531	2,934,469

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
2007-11-01	$26.50	$25.00	27.8%	8.0%	27.1%	53.7%	28.2%	0.7%	0.5%	40.6M	-2.30B	-12.8M	0.26	3.22	56,728	14,632	1,775,051	1,181,480
2007-11-02	$26.80	$25.00	26.0%	7.5%	27.3%	45.2%	26.6%	1.4%	1.7%	45.0M	-2.44B	-12.8M	0.34	2.84	63,676	21,372	1,781,662	1,177,933
2007-11-05	$26.84	$25.00	26.7%	8.0%	27.3%	48.5%	28.1%	2.1%	2.3%	48.9M	-2.51B	-12.5M	0.25	2.42	72,028	18,275	1,788,121	1,181,846
2007-11-06	$27.49	$25.00	24.7%	7.6%	28.3%	39.3%	27.0%	2.8%	2.4%	59.1M	-2.85B	-12.3M	0.20	1.81	69,704	14,035	1,801,010	1,181,728
2007-11-07	$26.90	$25.00	29.0%	8.3%	29.7%	58.9%	29.1%	2.2%	2.0%	50.0M	-2.54B	-12.3M	0.27	3.38	54,989	14,830	1,793,130	1,181,281
2007-11-08	$25.93	$25.00	31.8%	9.2%	32.0%	72.2%	31.5%	1.7%	1.6%	35.4M	-1.98B	-12.9M	0.41	2.59	127,190	52,515	1,787,200	1,181,392
2007-11-09	$25.15	$25.00	30.4%	9.5%	33.9%	65.8%	33.6%	2.3%	1.9%	24.7M	-1.58B	-13.1M	0.50	2.94	87,222	44,026	1,817,619	1,195,070
2007-11-12	$25.29	$25.00	33.8%	9.6%	33.8%	81.6%	34.0%	2.5%	1.8%	24.9M	-1.71B	-12.6M	0.33	3.63	58,725	19,120	1,834,502	1,205,145
2007-11-13	$26.14	$25.00	31.8%	9.2%	35.6%	72.3%	31.7%	1.5%	2.0%	40.4M	-2.09B	-12.6M	0.70	3.38	41,479	28,959	1,840,553	1,206,616
2007-11-14	$25.85	$25.00	20.8%	9.5%	31.4%	21.1%	32.6%	1.8%	1.6%	34.4M	-1.95B	-12.6M	0.12	3.37	51,289	6,113	1,836,279	1,216,768
2007-11-15	$25.53	$25.00	33.4%	9.6%	31.3%	79.4%	33.1%	2.6%	1.8%	21.5M	-1.80B	-12.7M	0.54	2.02	37,204	20,119	1,856,880	1,212,171
2007-11-16	$25.51	$25.00	31.0%	8.9%	30.2%	68.2%	30.8%	3.5%	2.4%	21.1M	-1.80B	-12.5M	0.57	2.35	48,990	27,827	1,862,733	1,215,761
2007-11-19	$25.17	$25.00	29.6%	8.5%	30.0%	61.9%	29.4%	3.7%	4.9%	29.7M	-1.63B	-12.2M	0.44	3.40	103,340	45,845	1,707,202	1,128,998
2007-11-20	$25.52	$25.00	28.9%	8.3%	30.4%	58.8%	28.3%	4.5%	4.6%	33.0M	-1.78B	-12.6M	0.63	2.69	54,700	34,332	1,751,505	1,147,670
2007-11-21	$24.63	$25.00	30.1%	8.6%	31.1%	64.4%	30.7%	3.1%	4.1%	24.9M	-1.35B	-12.6M	1.24	2.45	40,465	50,081	1,736,038	1,161,446
2007-11-23	$25.07	$25.00	28.5%	8.2%	31.9%	56.9%	28.4%	4.9%	5.0%	29.0M	-1.56B	-12.2M	0.58	3.07	33,774	19,672	1,733,294	1,174,027
2007-11-26	$24.37	$25.00	31.2%	9.0%	33.3%	69.5%	31.8%	4.2%	3.8%	23.0M	-1.21B	-12.1M	0.56	2.76	32,051	17,809	1,742,268	1,177,063
2007-11-27	$25.11	$25.00	29.6%	8.5%	34.9%	62.1%	29.2%	5.8%	3.8%	30.9M	-1.61B	-12.1M	0.95	3.51	37,988	36,054	1,749,171	1,174,416
2007-11-28	$26.19	$25.00	27.2%	7.8%	38.3%	50.8%	25.4%	3.1%	4.5%	40.2M	-2.09B	-11.9M	0.66	2.59	75,711	50,035	1,748,623	1,182,119
2007-11-29	$26.34	$25.00	23.8%	6.8%	37.3%	35.2%	25.4%	3.0%	6.0%	41.7M	-2.15B	-11.8M	0.98	2.68	28,481	28,037	1,756,083	1,194,090
2007-11-30	$26.08	$25.00	27.5%	7.9%	37.1%	52.3%	25.9%	3.1%	4.1%	38.0M	-1.97B	-11.8M	0.59	2.86	41,342	24,463	1,742,781	1,191,688