INTC Options History — November 2008

In November 2008, INTC traded between $12.23 and $16.26. ATM implied volatility averaged 64.9%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 21.0% (HV 20d: 85.9%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2008-11-13: Highest Volume — 189,396 contracts
2008-11-10: Largest IV spike — 20.8% change
2008-11-20: Highest IV Rank — 48.1%
2008-11-20: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.86	$12.23	$16.26	$15.64	$13.80
Max Pain	$14.16	$13.00	$16.00	$16.00	$13.00
ATM IV	64.9%	51.2%	86.8%	54.3%	54.3%
Expected Move	18.7%	14.7%	24.9%	15.6%	15.6%
HV 20d	85.9%	76.1%	95.8%	87.4%	76.1%
HV 60d	71.0%	64.1%	75.9%	64.1%	75.4%
IV Rank	32.1%	22.4%	48.1%	24.7%	23.9%
IV Percentile	92.6%	82.5%	98.0%	90.5%	84.5%
Term Structure	4.2%	-3.0%	10.9%	2.3%	8.8%
VWIV	64.4%	51.7%	84.3%	56.8%	54.3%
Skew 25d	13.0%	8.4%	14.7%	12.2%	12.3%
Skew 10d	24.6%	18.1%	29.1%	24.0%	23.9%
Call IV 25d	59.6%	47.0%	79.6%	51.7%	50.0%
Put IV 25d	72.6%	57.3%	92.4%	64.0%	62.3%
Bid-Ask Spread %	4.22	2.25	8.62	2.25	3.68
Gamma HHI	0.09	0.07	0.11	0.08	0.11
Net GEX	1.7M	145.9K	5.4M	3.9M	2.2M
Net DEX	593.0M	405.5M	689.6M	488.4M	521.6M
Net VEX	-4.0M	-5.1M	-3.4M	-4.9M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.32	1.46	0.62	0.56
Total Volume	77,988	24,405	189,396	47,988	24,405
Total OI	2,359,546.158	2,164,572	2,517,582	2,318,282	2,197,365

Daily Data (19 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
2008-11-03	$15.64	$16.00	54.3%	15.6%	87.4%	24.7%	56.8%	12.2%	2.3%	3.9M	488.4M	-4.9M	0.62	2.25	29,555	18,433	1,378,161	940,121
2008-11-04	$16.26	$16.00	51.2%	14.7%	86.5%	22.4%	51.7%	10.3%	1.5%	5.4M	405.5M	-5.1M	0.66	2.85	47,939	31,531	1,383,383	939,419
2008-11-05	$15.06	$16.00	57.3%	16.4%	90.5%	26.9%	57.3%	8.4%	3.2%	2.9M	558.4M	-4.7M	0.72	3.68	50,883	36,757	1,381,414	948,242
2008-11-06	$13.87	$16.00	67.5%	19.3%	93.9%	34.4%	67.0%	12.0%	0.2%	1.4M	640.6M	-4.1M	0.97	3.10	51,090	49,313	1,397,731	938,966
2008-11-07	$14.63	$14.00	55.9%	17.5%	95.8%	25.9%	61.7%	13.6%	4.4%	2.0M	592.9M	-4.4M	0.73	2.90	38,986	28,565	1,395,178	944,005
2008-11-10	$14.35	$14.00	67.5%	18.8%	86.0%	34.4%	63.8%	13.8%	3.0%	1.9M	612.2M	-4.2M	0.52	3.37	33,814	17,434	1,407,091	943,077
2008-11-11	$13.93	$14.00	66.0%	19.1%	83.8%	33.3%	65.8%	14.5%	2.4%	1.2M	661.6M	-3.9M	0.85	3.50	47,176	40,213	1,421,465	944,791
2008-11-12	$13.52	$14.00	68.8%	19.6%	81.9%	35.4%	68.3%	14.4%	3.5%	1.0M	656.3M	-3.8M	0.70	3.64	64,278	45,066	1,432,643	942,735
2008-11-13	$14.43	$14.00	63.5%	18.2%	82.7%	31.4%	63.8%	13.6%	5.1%	2.6M	575.6M	-4.3M	0.48	4.53	127,787	61,609	1,467,276	961,850
2008-11-14	$13.32	$14.00	70.2%	20.1%	86.7%	35.7%	67.2%	13.2%	1.6%	1.3M	647.0M	-4.0M	0.78	4.63	37,797	29,568	1,535,302	982,280
2008-11-17	$13.00	$14.00	71.7%	20.5%	85.4%	36.8%	69.4%	13.4%	6.0%	580.9K	678.7M	-3.7M	0.71	4.29	30,375	21,459	1,506,586	976,487
2008-11-18	$13.11	$14.00	69.9%	20.0%	84.3%	35.5%	67.2%	13.6%	5.8%	530.2K	689.6M	-3.7M	0.59	4.15	52,784	31,380	1,504,920	975,635
2008-11-19	$12.49	$14.00	79.7%	22.9%	84.5%	42.8%	75.3%	13.2%	-0.3%	145.9K	684.5M	-3.4M	0.42	3.33	60,963	25,456	1,505,588	964,679
2008-11-20	$12.23	$14.00	86.8%	24.9%	84.7%	48.1%	84.3%	12.8%	-3.0%	365.3K	648.0M	-3.5M	0.71	6.95	50,938	36,181	1,524,690	955,788
2008-11-21	$13.11	$13.00	73.9%	21.2%	89.0%	38.5%	76.2%	14.0%	6.1%	521.8K	610.3M	-3.9M	1.46	8.62	37,477	54,739	1,539,822	952,032
2008-11-24	$13.56	$13.00	59.6%	17.1%	90.0%	27.8%	61.2%	14.7%	9.1%	1.4M	525.3M	-3.8M	0.76	6.44	44,198	33,400	1,307,564	857,008
2008-11-25	$13.13	$13.00	61.7%	17.7%	80.6%	29.4%	58.4%	14.4%	9.8%	1.1M	560.6M	-3.6M	0.38	3.99	26,723	10,123	1,320,487	866,822
2008-11-26	$13.97	$13.00	52.6%	15.1%	82.1%	22.6%	53.0%	12.3%	10.9%	2.2M	510.4M	-3.8M	0.32	4.35	40,351	13,026	1,331,130	859,644
2008-11-28	$13.80	$13.00	54.3%	15.6%	76.1%	23.9%	54.3%	12.3%	8.8%	2.2M	521.6M	-3.7M	0.56	3.68	15,682	8,723	1,342,377	854,988