INTC Options History — January 2008

In January 2008, INTC traded between $18.63 and $25.35. ATM implied volatility averaged 42.4%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 12.6% (HV 20d: 55.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2008-01-16: Highest Volume — 506,989 contracts
2008-01-10: Largest IV drop — 24.9% change
2008-01-02: Highest IV Rank — 100.0%
2008-01-15: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.47	$18.63	$25.35	$25.35	$21.10
Max Pain	$21.67	$20.00	$25.00	$22.50	$20.00
ATM IV	42.4%	33.5%	55.4%	39.8%	34.2%
Expected Move	11.5%	9.6%	14.0%	11.4%	9.8%
HV 20d	55.1%	33.7%	71.4%	33.7%	70.8%
HV 60d	42.7%	32.5%	49.6%	32.5%	49.6%
IV Rank	71.2%	44.1%	100.0%	100.0%	45.8%
IV Percentile	96.1%	86.1%	100.0%	100.0%	86.9%
Term Structure	-2.0%	-6.5%	2.7%	-4.6%	0.1%
VWIV	40.5%	34.6%	48.2%	39.7%	35.0%
Skew 25d	2.7%	-0.1%	4.6%	4.2%	1.4%
Skew 10d	5.1%	-1.6%	8.9%	5.3%	2.3%
Call IV 25d	40.1%	34.0%	46.8%	38.7%	34.0%
Put IV 25d	42.8%	35.4%	51.2%	42.9%	35.4%
Bid-Ask Spread %	2.96	1.96	4.51	1.96	3.55
Gamma HHI	0.22	0.16	0.31	0.31	0.17
Net GEX	8.9M	-2.2M	29.7M	29.7M	6.0M
Net DEX	-128.8M	-1.53B	932.9M	-1.53B	-60.9M
Net VEX	-9.6M	-10.6M	-7.8M	-10.5M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.32	1.12	0.77	1.12
Total Volume	177,471.238	66,630	506,989	156,786	104,637
Total OI	2,720,766.429	1,799,287	3,429,197	2,933,767	2,076,556

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
2008-01-02	$25.35	$22.50	39.8%	11.4%	33.7%	100.0%	39.7%	4.2%	-4.6%	29.7M	-1.53B	-10.5M	0.77	1.96	88,460	68,326	1,724,483	1,209,284
2008-01-03	$24.67	$22.50	42.2%	12.1%	34.9%	100.0%	42.4%	2.5%	-5.8%	24.1M	-1.25B	-10.6M	0.36	2.94	129,293	47,065	1,738,240	1,226,669
2008-01-04	$22.67	$25.00	50.8%	12.1%	42.6%	100.0%	42.3%	2.5%	-3.1%	11.8M	-422.2M	-10.3M	0.47	3.93	224,953	105,751	1,791,118	1,234,819
2008-01-07	$22.88	$22.50	53.8%	12.2%	41.0%	100.0%	41.8%	3.0%	-3.6%	14.3M	-542.9M	-10.4M	0.42	2.46	121,700	50,707	1,851,074	1,252,280
2008-01-08	$22.26	$22.50	55.3%	12.2%	41.4%	100.0%	43.0%	2.5%	-3.4%	11.5M	-281.4M	-10.1M	0.32	4.51	116,823	36,961	1,884,147	1,265,240
2008-01-09	$22.75	$22.50	55.4%	12.1%	42.8%	100.0%	42.5%	3.1%	-3.2%	12.9M	-486.0M	-10.4M	0.47	2.76	62,518	29,145	1,881,057	1,267,517
2008-01-10	$22.54	$22.50	41.6%	11.9%	42.1%	64.7%	41.7%	4.1%	-3.0%	11.9M	-407.6M	-10.2M	0.65	2.35	75,615	49,509	1,894,276	1,279,476
2008-01-11	$21.99	$22.50	43.8%	12.6%	41.6%	70.5%	44.5%	2.2%	-3.9%	9.0M	-173.3M	-9.9M	0.34	4.43	105,032	35,385	1,915,667	1,289,098
2008-01-14	$23.08	$22.50	45.5%	13.0%	46.6%	74.8%	44.6%	4.6%	-5.3%	18.4M	-668.0M	-10.5M	0.41	2.33	159,523	65,542	1,954,602	1,299,615
2008-01-15	$22.69	$22.50	48.7%	14.0%	45.9%	82.8%	48.2%	4.4%	-6.5%	16.9M	-540.7M	-10.4M	0.42	2.80	211,928	89,661	1,985,513	1,310,476
2008-01-16	$19.88	$22.50	38.8%	11.1%	63.7%	57.7%	40.2%	-0.1%	0.4%	-2.2M	704.1M	-8.3M	0.67	3.47	303,358	203,631	2,043,650	1,331,481
2008-01-17	$19.33	$22.50	38.5%	11.0%	63.5%	56.9%	39.0%	1.5%	2.2%	524.9K	844.4M	-8.3M	0.83	3.04	119,318	99,059	2,096,691	1,332,506
2008-01-18	$19.00	$22.50	36.8%	10.5%	62.8%	52.4%	37.2%	1.7%	2.7%	-163.3K	932.9M	-7.8M	0.80	1.97	101,264	80,808	2,084,470	1,324,969
2008-01-22	$18.63	$20.00	44.3%	12.7%	62.1%	71.7%	42.7%	4.6%	-3.8%	-180.2K	430.8M	-7.8M	0.57	2.07	86,542	49,004	1,032,515	766,772
2008-01-23	$19.98	$20.00	40.4%	11.6%	68.3%	61.6%	41.7%	2.1%	-1.5%	3.0M	197.2M	-8.9M	0.59	2.83	112,578	66,824	1,080,168	786,176
2008-01-24	$20.69	$20.00	38.9%	11.2%	69.9%	57.9%	39.0%	3.8%	-1.1%	5.1M	31.7M	-9.5M	0.48	2.35	67,994	32,361	1,118,913	817,128
2008-01-25	$20.00	$20.00	36.4%	10.4%	69.9%	51.4%	36.9%	2.9%	0.6%	3.2M	177.0M	-9.1M	0.79	2.45	68,634	54,199	1,134,933	825,135
2008-01-28	$20.29	$20.00	36.9%	10.6%	70.6%	52.6%	37.5%	2.0%	0.0%	3.1M	154.2M	-9.2M	0.54	2.94	43,188	23,442	1,146,635	846,305
2008-01-29	$20.50	$20.00	35.6%	10.2%	71.0%	49.4%	35.7%	2.6%	-0.4%	3.6M	114.4M	-9.3M	0.48	3.15	66,798	31,856	1,149,889	848,846
2008-01-30	$20.69	$20.00	33.5%	9.6%	71.4%	44.1%	34.6%	0.7%	0.2%	5.0M	66.0M	-9.6M	0.59	3.81	86,336	51,168	1,174,155	863,551
2008-01-31	$21.10	$20.00	34.2%	9.8%	70.8%	45.8%	35.0%	1.4%	0.1%	6.0M	-60.9M	-9.9M	1.12	3.55	49,432	55,205	1,194,209	882,347