INTC Options History — September 2008

In September 2008, INTC traded between $17.27 and $22.58. ATM implied volatility averaged 41.2%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 4.0% (HV 20d: 37.2%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2008-09-04: Highest Volume — 218,511 contracts
2008-09-29: Largest IV spike — 48.8% change
2008-09-29: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 19.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.64	$17.27	$22.58	$22.58	$18.73
Max Pain	$20.76	$20.00	$23.00	$23.00	$20.00
ATM IV	41.2%	27.8%	68.9%	27.8%	52.0%
Expected Move	12.0%	8.0%	19.8%	8.0%	14.9%
HV 20d	37.2%	28.0%	63.3%	28.0%	63.3%
HV 60d	35.1%	31.4%	45.0%	31.4%	45.0%
IV Rank	49.8%	17.6%	100.0%	17.6%	64.7%
IV Percentile	75.4%	17.9%	100.0%	17.9%	97.2%
Term Structure	-2.6%	-11.7%	4.8%	4.8%	-6.9%
VWIV	41.7%	27.8%	64.5%	27.8%	52.8%
Skew 25d	4.2%	0.4%	9.7%	4.3%	5.2%
Skew 10d	8.1%	1.7%	13.9%	7.5%	13.9%
Call IV 25d	40.6%	26.9%	64.1%	26.9%	51.3%
Put IV 25d	44.8%	31.2%	73.9%	31.2%	56.5%
Bid-Ask Spread %	4.89	2.99	10.30	3.68	4.63
Gamma HHI	0.11	0.09	0.13	0.13	0.10
Net GEX	7.6M	2.9M	13.1M	13.1M	7.2M
Net DEX	270.4M	-405.7M	575.5M	-405.7M	381.7M
Net VEX	-7.1M	-8.7M	-6.2M	-8.7M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.22	0.99	0.38	0.43
Total Volume	88,138.238	44,739	218,511	49,598	56,325
Total OI	2,258,898.714	2,112,273	2,405,515	2,112,273	2,305,585

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
2008-09-02	$22.58	$23.00	27.8%	8.0%	28.0%	17.6%	27.8%	4.3%	4.8%	13.1M	-405.7M	-8.7M	0.38	3.68	36,024	13,574	1,225,148	887,125
2008-09-03	$21.54	$23.00	31.0%	8.9%	31.4%	25.6%	31.4%	1.7%	4.2%	6.6M	-73.1M	-8.3M	0.35	3.75	78,791	27,687	1,232,277	890,067
2008-09-04	$20.52	$23.00	32.1%	9.2%	35.2%	28.6%	32.2%	0.4%	2.1%	2.9M	229.3M	-7.5M	0.30	3.69	168,646	49,865	1,246,879	894,162
2008-09-05	$20.61	$21.00	29.9%	9.8%	31.7%	22.9%	35.0%	2.8%	1.4%	8.2M	129.3M	-7.9M	0.38	3.95	64,150	24,109	1,322,589	911,065
2008-09-08	$20.97	$21.00	31.2%	10.0%	31.0%	26.2%	35.3%	3.3%	1.1%	10.4M	-11.9M	-7.9M	0.60	2.99	55,873	33,400	1,326,816	902,865
2008-09-09	$20.33	$21.00	35.6%	10.6%	31.7%	37.3%	37.1%	3.6%	-0.7%	8.2M	194.2M	-7.4M	0.56	4.48	50,006	27,880	1,342,575	914,579
2008-09-10	$20.16	$21.00	32.1%	10.3%	31.2%	28.6%	36.1%	3.1%	-0.1%	8.1M	254.0M	-7.3M	0.35	3.11	65,527	23,158	1,372,921	920,024
2008-09-11	$20.19	$21.00	36.3%	10.4%	31.3%	39.2%	35.9%	3.9%	-0.6%	9.0M	231.8M	-7.4M	0.51	3.27	49,620	25,392	1,396,763	926,983
2008-09-12	$20.16	$21.00	35.8%	10.3%	30.7%	37.9%	35.9%	4.4%	-0.3%	9.8M	212.9M	-7.3M	0.73	4.33	38,594	28,296	1,402,418	923,157
2008-09-15	$19.36	$21.00	40.0%	11.5%	32.5%	48.4%	38.7%	5.3%	-3.4%	6.8M	448.0M	-6.6M	0.62	4.70	52,974	32,782	1,408,248	931,429
2008-09-16	$19.48	$20.00	38.1%	10.9%	33.1%	43.7%	38.0%	4.3%	-2.1%	7.7M	412.1M	-6.7M	0.58	5.42	66,854	38,883	1,419,921	928,657
2008-09-17	$18.55	$20.00	44.0%	12.6%	35.7%	58.4%	43.4%	5.9%	-3.4%	5.3M	575.5M	-6.3M	0.49	9.43	63,834	31,515	1,439,155	933,544
2008-09-18	$19.26	$20.00	45.1%	12.9%	39.8%	61.4%	44.5%	6.1%	-5.7%	8.2M	378.4M	-6.9M	0.50	10.30	86,563	43,477	1,454,139	934,128
2008-09-19	$19.23	$20.00	46.7%	13.4%	39.9%	65.4%	45.7%	5.4%	-6.9%	8.4M	348.4M	-7.0M	0.22	5.54	60,859	13,461	1,465,050	940,465
2008-09-22	$18.50	$20.00	49.8%	14.3%	39.8%	73.3%	48.6%	4.7%	-5.5%	5.4M	445.0M	-6.2M	0.59	5.04	28,166	16,573	1,277,649	864,764
2008-09-23	$18.63	$20.00	48.0%	13.8%	40.1%	68.6%	50.1%	1.9%	-4.9%	6.8M	376.4M	-6.6M	0.47	3.81	55,373	25,950	1,304,533	871,279
2008-09-24	$18.70	$20.00	47.8%	13.7%	39.9%	68.1%	48.5%	4.0%	-5.3%	6.8M	390.0M	-6.5M	0.52	3.49	41,887	21,972	1,308,183	879,266
2008-09-25	$18.57	$20.00	46.7%	13.4%	39.1%	65.2%	47.4%	4.3%	-5.5%	6.5M	453.0M	-6.4M	0.90	4.45	36,313	32,822	1,326,443	891,547
2008-09-26	$19.20	$20.00	46.3%	13.3%	41.7%	64.4%	46.8%	3.6%	-5.8%	9.0M	268.2M	-7.1M	0.38	4.55	74,789	28,107	1,337,368	899,936
2008-09-29	$17.27	$20.00	68.9%	19.8%	53.5%	100.0%	64.5%	9.7%	-11.7%	4.9M	440.6M	-6.3M	0.99	8.10	40,557	40,275	1,362,077	915,094
2008-09-30	$18.73	$20.00	52.0%	14.9%	63.3%	64.7%	52.8%	5.2%	-6.9%	7.2M	381.7M	-6.7M	0.43	4.63	39,300	17,025	1,374,146	931,439