INTC Options History — February 2008

In February 2008, INTC traded between $19.82 and $21.77. ATM implied volatility averaged 34.4%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 17.5% (HV 20d: 51.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2008-02-22: Highest Volume — 116,140 contracts
2008-02-14: Largest IV spike — 14.5% change
2008-02-06: Highest IV Rank — 58.0%
2008-02-06: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.46	$19.82	$21.77	$21.77	$19.97
Max Pain	$20.20	$20.00	$21.00	$20.00	$20.00
ATM IV	34.4%	30.3%	39.0%	31.5%	33.9%
Expected Move	10.0%	8.7%	11.1%	9.0%	9.7%
HV 20d	51.9%	33.6%	71.9%	71.9%	36.1%
HV 60d	49.9%	49.1%	50.8%	50.1%	49.3%
IV Rank	46.4%	35.9%	58.0%	38.9%	45.1%
IV Percentile	83.3%	63.9%	95.2%	76.2%	81.3%
Term Structure	4.2%	1.3%	6.5%	1.3%	5.7%
VWIV	35.0%	31.2%	38.8%	33.5%	33.9%
Skew 25d	4.2%	2.8%	5.8%	2.8%	3.0%
Skew 10d	8.6%	5.4%	11.6%	5.6%	6.9%
Call IV 25d	33.4%	30.1%	37.5%	31.8%	33.2%
Put IV 25d	37.7%	32.9%	42.4%	34.5%	36.2%
Bid-Ask Spread %	3.06	1.83	4.60	3.77	2.08
Gamma HHI	0.14	0.12	0.24	0.21	0.13
Net GEX	1.1M	-4.7M	9.0M	9.0M	-551.7K
Net DEX	41.5M	-236.9M	217.0M	-236.9M	171.7M
Net VEX	-10.1M	-10.5M	-9.7M	-10.4M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.51	1.84	0.91	0.79
Total Volume	76,163.3	20,527	116,140	114,629	48,044
Total OI	2,134,112.45	1,944,136	2,267,818	2,111,131	2,134,483

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
2008-02-01	$21.77	$20.00	31.5%	9.0%	71.9%	38.9%	33.5%	2.8%	1.3%	9.0M	-236.9M	-10.4M	0.91	3.77	60,140	54,489	1,209,315	901,816
2008-02-04	$21.20	$21.00	34.7%	10.2%	66.3%	47.2%	36.6%	4.0%	2.5%	4.0M	-60.8M	-10.2M	0.57	4.60	73,530	41,639	1,212,128	937,099
2008-02-05	$20.12	$21.00	38.4%	11.0%	68.3%	56.6%	38.1%	4.4%	2.8%	-260.4K	217.0M	-9.7M	0.91	3.54	49,484	45,138	1,216,948	953,183
2008-02-06	$19.92	$21.00	39.0%	11.1%	67.8%	58.0%	38.8%	4.9%	2.8%	-278.9K	194.7M	-9.7M	0.96	3.16	35,293	33,776	1,233,824	926,568
2008-02-07	$20.05	$21.00	37.3%	11.1%	67.2%	53.7%	38.5%	4.8%	3.4%	13.2K	159.6M	-9.9M	1.05	4.09	50,852	53,181	1,240,238	935,842
2008-02-08	$20.27	$20.00	35.3%	10.7%	67.5%	48.5%	35.3%	5.8%	3.7%	337.7K	106.6M	-9.9M	0.66	4.53	48,258	31,831	1,254,316	940,981
2008-02-11	$20.68	$20.00	36.5%	10.5%	67.7%	51.9%	38.0%	5.0%	3.2%	1.9M	-45.2M	-10.3M	0.86	3.53	28,387	24,424	1,277,881	954,113
2008-02-12	$20.90	$20.00	34.2%	10.3%	65.1%	46.0%	35.4%	5.0%	3.6%	2.8M	-111.1M	-10.4M	0.55	2.50	46,016	25,122	1,275,795	957,881
2008-02-13	$21.21	$20.00	31.5%	10.0%	65.3%	39.0%	35.4%	5.1%	3.9%	3.4M	-191.0M	-10.5M	0.69	3.08	31,006	21,429	1,289,184	969,690
2008-02-14	$20.46	$20.00	36.1%	10.3%	46.3%	50.6%	35.7%	4.2%	4.0%	-509.8K	18.3M	-10.1M	1.09	2.44	27,122	29,623	1,292,442	974,063
2008-02-15	$20.11	$20.00	35.6%	10.2%	45.6%	49.6%	35.5%	5.1%	4.6%	-4.7M	43.8M	-9.9M	0.76	2.50	53,537	40,469	1,298,501	969,317
2008-02-19	$20.16	$20.00	35.5%	10.2%	45.0%	49.3%	35.5%	4.6%	4.5%	1.2M	99.6M	-9.8M	0.94	2.49	22,500	21,042	1,080,516	863,620
2008-02-20	$20.38	$20.00	35.6%	10.2%	44.3%	49.6%	34.7%	4.2%	2.7%	1.4M	58.6M	-9.9M	0.84	2.79	55,336	46,540	1,090,443	866,993
2008-02-21	$20.30	$20.00	34.5%	9.9%	36.9%	46.5%	33.5%	4.4%	4.8%	618.6K	90.6M	-10.0M	0.53	2.83	27,373	14,386	1,111,966	902,807
2008-02-22	$19.82	$20.00	33.5%	9.6%	35.6%	44.0%	33.9%	3.1%	5.0%	-729.7K	194.2M	-9.7M	0.72	2.20	67,623	48,517	1,110,635	909,068
2008-02-25	$19.94	$20.00	31.3%	9.0%	33.6%	38.5%	31.5%	3.7%	6.0%	-638.5K	178.2M	-9.7M	0.51	1.83	51,970	26,540	1,133,401	921,395
2008-02-26	$20.69	$20.00	30.3%	8.7%	35.8%	35.9%	31.2%	2.8%	6.5%	2.1M	-32.2M	-10.3M	0.92	3.38	54,959	50,787	1,155,357	931,666
2008-02-27	$20.77	$20.00	30.9%	8.8%	35.7%	37.3%	32.3%	3.6%	6.1%	1.5M	-48.0M	-10.4M	0.82	2.88	34,355	28,021	1,162,903	952,706
2008-02-28	$20.49	$20.00	32.6%	9.4%	35.9%	41.8%	31.9%	3.7%	6.1%	682.5K	23.0M	-10.4M	1.84	2.94	7,230	13,297	1,173,751	959,414
2008-02-29	$19.97	$20.00	33.9%	9.7%	36.1%	45.1%	33.9%	3.0%	5.7%	-551.7K	171.7M	-9.9M	0.79	2.08	26,865	21,179	1,175,304	959,179