INTC Options History — June 2008

In June 2008, INTC traded between $21.48 and $23.87. ATM implied volatility averaged 36.9%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.5% (HV 20d: 30.4%). Max pain ranged from $22.50 to $24.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2008-06-16: Highest Volume — 76,009 contracts
2008-06-12: Largest IV spike — 19.6% change
2008-06-30: Highest IV Rank — 73.5%
2008-06-30: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.54	$21.48	$23.87	$23.20	$21.48
Max Pain	$22.69	$22.50	$24.00	$24.00	$22.50
ATM IV	36.9%	30.0%	46.2%	30.0%	46.2%
Expected Move	10.9%	8.6%	13.2%	8.6%	13.2%
HV 20d	30.4%	26.3%	34.1%	26.5%	34.1%
HV 60d	33.8%	31.9%	35.1%	34.7%	33.4%
IV Rank	47.0%	27.8%	73.5%	27.8%	73.5%
IV Percentile	76.4%	50.4%	96.8%	50.8%	96.8%
Term Structure	-2.0%	-6.8%	6.0%	5.9%	-6.7%
VWIV	37.6%	29.9%	44.3%	29.9%	44.3%
Skew 25d	4.4%	2.1%	6.2%	2.2%	5.8%
Skew 10d	9.0%	4.4%	12.6%	4.9%	12.6%
Call IV 25d	36.2%	29.4%	42.6%	29.4%	42.6%
Put IV 25d	40.6%	31.6%	48.4%	31.6%	48.4%
Bid-Ask Spread %	3.53	2.48	5.14	3.55	2.48
Gamma HHI	0.12	0.10	0.16	0.14	0.12
Net GEX	3.5M	-1.8M	9.5M	5.9M	2.9M
Net DEX	-266.0M	-737.6M	50.2M	-471.8M	-4.9M
Net VEX	-10.2M	-11.0M	-9.2M	-11.0M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.50	1.03	0.51	0.56
Total Volume	45,241.476	29,226	76,009	29,226	38,011
Total OI	2,245,390.81	2,110,410	2,323,994	2,250,476	2,157,938

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
2008-06-02	$23.20	$24.00	30.0%	8.6%	26.5%	27.8%	29.9%	2.2%	5.9%	5.9M	-471.8M	-11.0M	0.51	3.55	19,387	9,839	1,186,717	1,063,759
2008-06-03	$22.94	$24.00	30.3%	8.7%	26.3%	28.5%	30.4%	2.1%	6.0%	4.8M	-385.8M	-10.8M	0.63	3.76	24,390	15,323	1,189,971	1,064,354
2008-06-04	$23.48	$23.00	30.8%	8.8%	27.2%	30.0%	30.3%	2.5%	4.2%	7.1M	-565.0M	-11.0M	0.54	4.47	21,953	11,895	1,192,445	1,066,455
2008-06-05	$23.87	$23.00	30.1%	8.6%	27.0%	28.1%	30.4%	2.4%	5.2%	9.5M	-737.6M	-11.0M	0.82	5.14	35,436	29,166	1,192,767	1,066,121
2008-06-06	$22.90	$22.50	31.0%	10.8%	30.7%	30.6%	37.3%	4.2%	-2.3%	4.3M	-373.2M	-10.8M	0.91	3.87	37,604	34,378	1,195,643	1,065,488
2008-06-09	$22.76	$22.50	32.0%	11.1%	30.8%	33.5%	38.3%	4.8%	-3.0%	3.2M	-322.2M	-10.7M	0.79	2.82	23,752	18,851	1,206,922	1,078,696
2008-06-10	$22.68	$22.50	31.4%	10.9%	30.4%	31.8%	36.8%	4.9%	-2.8%	2.2M	-271.2M	-10.5M	0.99	2.96	21,899	21,692	1,210,378	1,082,835
2008-06-11	$21.81	$22.50	32.6%	11.0%	33.0%	35.1%	38.5%	4.7%	-2.1%	-1.8M	50.2M	-10.1M	0.92	3.92	32,328	29,687	1,217,262	1,082,626
2008-06-12	$22.05	$22.50	39.0%	11.2%	33.3%	53.2%	39.0%	4.6%	-2.3%	-474.7K	-41.7M	-10.2M	0.50	3.75	22,729	11,379	1,219,390	1,077,614
2008-06-13	$22.66	$22.50	37.7%	10.8%	30.0%	48.9%	38.0%	4.2%	-2.5%	1.9M	-257.8M	-10.4M	0.81	3.98	20,614	16,639	1,218,554	1,074,316
2008-06-16	$22.86	$22.50	39.3%	11.3%	30.4%	53.5%	39.7%	4.1%	-3.9%	3.0M	-343.3M	-10.3M	0.55	3.27	49,096	26,913	1,218,896	1,076,323
2008-06-17	$22.58	$22.50	38.6%	11.1%	30.5%	51.5%	37.8%	4.3%	-3.5%	1.1M	-247.0M	-10.2M	1.03	3.39	18,113	18,672	1,238,503	1,085,461
2008-06-18	$22.28	$22.50	39.6%	11.3%	28.9%	54.2%	39.3%	4.9%	-3.1%	-1.2M	-117.3M	-10.0M	0.80	3.89	17,480	13,982	1,240,076	1,083,918
2008-06-19	$22.85	$22.50	39.3%	11.3%	30.2%	53.5%	38.5%	4.6%	-4.2%	1.9M	-360.9M	-10.1M	0.68	4.72	30,241	20,486	1,245,871	1,074,905
2008-06-20	$22.37	$22.50	39.8%	11.4%	30.7%	54.8%	39.6%	4.7%	-3.6%	2.9M	-164.2M	-10.0M	0.65	3.57	30,827	19,896	1,239,112	1,076,214
2008-06-23	$22.36	$22.50	40.0%	11.5%	30.0%	55.5%	39.1%	4.9%	-3.3%	5.7M	-269.1M	-9.9M	0.59	3.22	31,789	18,623	1,136,167	974,243
2008-06-24	$22.41	$22.50	39.9%	11.4%	29.8%	55.3%	39.5%	5.9%	-3.2%	6.1M	-273.5M	-9.9M	0.86	2.83	23,167	19,837	1,148,962	978,090
2008-06-25	$22.65	$22.50	38.9%	11.1%	30.2%	52.3%	38.1%	5.3%	-4.4%	7.4M	-357.9M	-9.8M	0.52	2.77	22,686	11,888	1,153,595	980,116
2008-06-26	$21.59	$22.50	44.0%	12.6%	34.1%	67.0%	41.7%	6.2%	-6.8%	3.4M	-49.1M	-9.4M	0.78	2.68	25,270	19,747	1,163,787	982,465
2008-06-27	$21.49	$22.50	44.3%	12.7%	34.1%	68.0%	42.5%	5.9%	-5.2%	2.9M	-22.5M	-9.3M	0.73	3.17	19,861	14,545	1,163,787	982,465
2008-06-30	$21.48	$22.50	46.2%	13.2%	34.1%	73.5%	44.3%	5.8%	-6.7%	2.9M	-4.9M	-9.2M	0.56	2.48	24,355	13,656	1,169,298	988,640