INTC Options History — December 2007

In December 2007, INTC traded between $25.72 and $27.98. ATM implied volatility averaged 30.6%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 3.7% (HV 20d: 34.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2007-12-05: Highest Volume — 175,760 contracts
2007-12-10: Largest IV spike — 13.7% change
2007-12-17: Highest IV Rank — 92.6%
2007-12-17: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.86	$25.72	$27.98	$26.25	$26.66
Max Pain	$23.00	$22.50	$25.00	$25.00	$22.50
ATM IV	30.6%	24.2%	36.2%	28.6%	35.0%
Expected Move	9.0%	7.2%	10.4%	8.2%	10.0%
HV 20d	34.3%	28.5%	38.4%	37.0%	28.5%
HV 60d	29.9%	27.9%	31.1%	27.9%	30.7%
IV Rank	66.6%	36.7%	92.6%	57.1%	87.0%
IV Percentile	74.4%	29.8%	99.2%	64.9%	96.4%
Term Structure	0.2%	-3.3%	5.6%	4.4%	-3.3%
VWIV	32.1%	26.9%	37.5%	27.1%	37.5%
Skew 25d	2.0%	-1.0%	3.8%	2.4%	3.5%
Skew 10d	4.9%	-1.9%	15.9%	4.8%	9.1%
Call IV 25d	31.7%	25.2%	35.6%	26.1%	35.6%
Put IV 25d	33.7%	27.8%	39.1%	28.5%	39.1%
Bid-Ask Spread %	2.44	1.61	3.28	3.14	2.41
Gamma HHI	0.36	0.32	0.39	0.35	0.33
Net GEX	47.1M	31.4M	59.8M	41.8M	42.4M
Net DEX	-2.35B	-3.05B	-1.75B	-2.14B	-2.13B
Net VEX	-11.0M	-11.6M	-10.4M	-11.4M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.23	0.93	0.70	0.93
Total Volume	68,287.4	24,017	175,760	74,382	61,189
Total OI	3,018,539.25	2,880,542	3,146,775	2,933,700	2,913,087

Daily Data (20 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
2007-12-03	$26.25	$25.00	28.6%	8.2%	37.0%	57.1%	27.1%	2.4%	4.4%	41.8M	-2.14B	-11.4M	0.70	3.14	43,674	30,708	1,748,005	1,185,695
2007-12-04	$26.31	$25.00	25.1%	7.2%	37.0%	41.0%	26.9%	3.8%	5.6%	41.5M	-2.10B	-11.6M	0.69	3.07	27,174	18,705	1,752,451	1,197,086
2007-12-05	$27.22	$25.00	26.8%	7.7%	38.0%	48.9%	27.0%	-1.0%	4.7%	52.3M	-2.61B	-11.2M	0.31	1.97	134,133	41,627	1,759,576	1,202,120
2007-12-06	$27.98	$25.00	26.4%	7.6%	38.4%	46.9%	27.0%	0.6%	4.5%	59.0M	-3.05B	-11.1M	0.26	2.36	90,045	23,761	1,794,596	1,218,301
2007-12-07	$27.73	$22.50	24.2%	8.6%	35.9%	36.7%	30.5%	2.5%	1.1%	59.8M	-2.89B	-11.2M	0.63	2.17	38,749	24,546	1,808,320	1,223,142
2007-12-10	$27.78	$22.50	27.5%	9.1%	33.6%	52.0%	31.8%	2.0%	-0.4%	58.3M	-2.90B	-11.0M	0.30	2.33	67,303	20,227	1,798,876	1,230,579
2007-12-11	$26.93	$22.50	27.7%	9.2%	35.9%	53.2%	33.0%	1.4%	-0.7%	51.6M	-2.46B	-11.1M	0.61	2.78	59,964	36,870	1,813,621	1,233,427
2007-12-12	$27.28	$22.50	29.5%	9.3%	34.4%	61.3%	32.7%	1.7%	-0.6%	54.9M	-2.61B	-11.1M	0.23	3.28	68,513	15,464	1,824,787	1,245,358
2007-12-13	$27.16	$22.50	32.5%	9.3%	34.1%	75.4%	33.1%	1.7%	-0.4%	55.9M	-2.54B	-11.2M	0.76	2.85	27,813	21,217	1,834,582	1,248,954
2007-12-14	$26.29	$22.50	33.4%	9.6%	36.0%	79.7%	34.0%	2.1%	-1.4%	42.1M	-2.02B	-11.3M	0.34	2.43	64,132	21,794	1,841,996	1,257,698
2007-12-17	$25.72	$22.50	36.2%	10.4%	36.9%	92.6%	35.7%	2.9%	-1.4%	31.4M	-1.75B	-11.0M	0.38	2.69	53,381	20,114	1,859,919	1,253,592
2007-12-18	$25.91	$22.50	35.1%	10.1%	36.6%	87.6%	34.2%	2.4%	-0.6%	32.6M	-1.84B	-11.0M	0.73	2.72	35,954	26,417	1,857,173	1,255,990
2007-12-19	$26.19	$22.50	34.8%	10.0%	36.5%	85.8%	34.2%	2.2%	-0.7%	39.7M	-1.95B	-11.1M	0.58	2.76	23,454	13,643	1,863,706	1,272,484
2007-12-20	$26.41	$22.50	31.9%	9.1%	33.9%	72.5%	32.8%	1.4%	-0.2%	44.6M	-2.11B	-10.8M	0.37	1.83	17,488	6,529	1,868,030	1,277,850
2007-12-21	$26.96	$22.50	30.6%	8.8%	34.0%	66.3%	31.8%	1.7%	0.5%	47.4M	-2.33B	-10.7M	0.42	1.91	33,424	14,002	1,873,920	1,272,855
2007-12-24	$27.31	$22.50	30.6%	8.8%	32.0%	66.7%	32.9%	2.3%	-0.4%	48.0M	-2.51B	-10.6M	0.27	1.95	38,286	10,256	1,697,759	1,182,783
2007-12-26	$27.45	$22.50	31.6%	9.1%	30.7%	71.1%	32.2%	2.7%	-1.8%	51.0M	-2.62B	-10.5M	0.36	1.61	20,352	7,240	1,724,716	1,185,720
2007-12-27	$26.83	$22.50	32.0%	9.2%	28.7%	73.2%	32.8%	1.9%	-1.8%	44.5M	-2.26B	-10.5M	0.57	2.46	31,673	18,139	1,703,088	1,189,298
2007-12-28	$26.76	$22.50	33.0%	9.5%	28.7%	77.7%	34.0%	2.3%	-2.6%	44.0M	-2.21B	-10.6M	0.61	2.06	35,789	21,999	1,707,263	1,192,382
2007-12-31	$26.66	$22.50	35.0%	10.0%	28.5%	87.0%	37.5%	3.5%	-3.3%	42.4M	-2.13B	-10.4M	0.93	2.41	31,632	29,557	1,713,606	1,199,481