INTC Options History — March 2008

In March 2008, INTC traded between $19.87 and $22.27. ATM implied volatility averaged 38.3%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.1% (HV 20d: 33.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2008-03-04: Highest Volume — 145,347 contracts
2008-03-13: Largest IV spike — 28.6% change
2008-03-31: Highest IV Rank — 72.4%
2008-03-31: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.96	$19.87	$22.27	$20.01	$21.18
Max Pain	$21.02	$20.00	$22.50	$20.00	$21.00
ATM IV	38.3%	31.5%	45.6%	34.6%	45.6%
Expected Move	11.5%	9.0%	13.1%	9.9%	13.1%
HV 20d	33.2%	27.4%	37.8%	33.9%	36.9%
HV 60d	49.6%	48.1%	51.1%	49.3%	50.4%
IV Rank	53.6%	32.8%	72.4%	47.0%	72.4%
IV Percentile	87.3%	67.9%	98.0%	83.7%	98.0%
Term Structure	-1.0%	-6.3%	7.9%	5.8%	-6.3%
VWIV	40.0%	31.7%	46.1%	34.7%	45.3%
Skew 25d	5.1%	3.1%	6.7%	3.4%	6.6%
Skew 10d	9.8%	5.6%	14.4%	5.9%	11.4%
Call IV 25d	37.9%	29.7%	42.3%	33.5%	42.3%
Put IV 25d	43.0%	33.9%	48.9%	36.9%	48.9%
Bid-Ask Spread %	3.29	2.16	4.64	2.16	2.64
Gamma HHI	0.13	0.11	0.14	0.13	0.14
Net GEX	1.6M	-2.3M	5.7M	-188.1K	1.7M
Net DEX	-101.7M	-422.5M	177.8M	143.2M	-67.1M
Net VEX	-10.6M	-11.2M	-9.9M	-9.9M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.26	1.54	1.01	0.91
Total Volume	72,736.8	31,021	145,347	41,916	58,275
Total OI	2,220,245.6	2,120,845	2,369,652	2,134,532	2,205,100

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
2008-03-03	$20.01	$20.00	34.6%	9.9%	33.9%	47.0%	34.7%	3.4%	5.8%	-188.1K	143.2M	-9.9M	1.01	2.16	20,821	21,095	1,176,660	957,872
2008-03-04	$20.00	$20.00	33.2%	9.5%	32.8%	43.3%	33.2%	3.5%	6.8%	-843.3K	154.8M	-9.9M	1.28	2.60	63,848	81,499	1,178,922	962,531
2008-03-05	$20.20	$20.00	31.5%	9.0%	27.4%	38.8%	31.7%	4.1%	7.5%	461.3K	114.7M	-9.9M	0.26	2.27	55,132	14,171	1,194,354	978,569
2008-03-06	$19.87	$20.00	32.0%	9.2%	27.8%	40.2%	32.1%	3.1%	7.9%	438.5K	177.8M	-9.9M	0.50	2.55	20,691	10,330	1,209,588	974,303
2008-03-07	$20.07	$21.00	31.5%	11.6%	27.9%	38.8%	40.0%	4.7%	-1.8%	602.0K	142.2M	-9.9M	0.49	4.02	51,115	25,282	1,204,056	976,067
2008-03-10	$20.12	$21.00	35.7%	12.2%	27.7%	49.7%	42.3%	5.0%	-2.5%	1.2M	92.5M	-9.9M	1.04	3.75	39,873	41,399	1,212,350	975,570
2008-03-11	$21.20	$21.00	31.6%	11.4%	32.7%	32.8%	38.9%	5.0%	-1.9%	2.8M	-211.1M	-10.5M	0.99	3.45	70,201	69,338	1,215,463	996,239
2008-03-12	$21.12	$21.00	31.6%	11.6%	32.6%	32.9%	39.4%	4.7%	-2.2%	1.2M	-182.8M	-10.7M	0.46	3.55	38,041	17,379	1,234,108	1,024,146
2008-03-13	$21.28	$21.00	40.7%	11.7%	32.3%	58.4%	39.7%	5.0%	-2.1%	1.7M	-224.6M	-10.8M	0.62	2.93	48,145	30,088	1,239,821	1,025,935
2008-03-14	$20.66	$21.00	42.8%	12.3%	31.4%	64.3%	43.1%	5.8%	-2.6%	-598.1K	-32.7M	-10.6M	1.54	4.64	45,815	70,704	1,246,515	1,032,612
2008-03-17	$20.85	$21.00	44.4%	12.7%	30.8%	68.8%	46.1%	6.0%	-4.3%	-455.7K	-97.1M	-10.9M	0.81	3.00	45,769	37,002	1,272,306	1,053,088
2008-03-18	$21.75	$21.00	42.6%	12.2%	34.0%	63.8%	41.5%	6.7%	-4.1%	5.6M	-422.5M	-11.2M	0.87	4.14	60,504	52,539	1,289,051	1,048,761
2008-03-19	$21.09	$21.00	42.8%	12.3%	36.0%	64.5%	42.7%	5.6%	-3.2%	-2.3M	-197.5M	-11.0M	0.84	3.61	27,068	22,649	1,294,937	1,074,715
2008-03-20	$21.75	$21.00	41.5%	11.9%	37.4%	60.7%	41.1%	5.6%	-2.3%	3.5M	-422.0M	-11.1M	0.46	3.27	45,803	21,196	1,288,787	1,058,331
2008-03-24	$22.13	$21.00	38.8%	11.1%	36.2%	53.3%	39.9%	6.0%	-1.2%	5.7M	-362.7M	-11.0M	1.37	3.24	29,467	40,334	1,175,333	945,512
2008-03-25	$22.27	$21.00	39.2%	11.2%	36.2%	54.2%	40.2%	5.6%	-1.9%	5.5M	-369.8M	-11.1M	1.09	3.52	29,674	32,257	1,182,617	955,004
2008-03-26	$21.86	$22.50	40.0%	11.5%	35.2%	56.6%	41.0%	5.9%	-2.6%	4.0M	-258.7M	-11.1M	1.26	3.82	17,424	21,949	1,195,708	975,091
2008-03-27	$21.09	$22.50	43.5%	12.5%	37.7%	66.4%	43.9%	5.6%	-4.1%	1.5M	-54.9M	-10.7M	0.80	3.99	25,997	20,832	1,197,498	982,310
2008-03-28	$20.79	$22.50	43.1%	12.3%	37.8%	65.2%	42.8%	4.9%	-4.1%	465.0K	43.8M	-10.5M	1.14	2.58	14,510	16,520	1,205,964	989,118
2008-03-31	$21.18	$21.00	45.6%	13.1%	36.9%	72.4%	45.3%	6.6%	-6.3%	1.7M	-67.1M	-10.6M	0.91	2.64	30,543	27,732	1,212,420	992,680