INTC Options History — December 2008

In December 2008, INTC traded between $12.56 and $15.64. ATM implied volatility averaged 60.0%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 15.7% (HV 20d: 75.6%). Max pain ranged from $13.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2008-12-30: Highest Volume — 143,347 contracts
2008-12-11: Largest IV spike — 12.6% change
2008-12-01: Highest IV Rank — 33.5%
2008-12-01: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.15	$12.56	$15.64	$12.56	$14.66
Max Pain	$18.73	$13.00	$20.00	$13.00	$20.00
ATM IV	60.0%	52.6%	67.3%	67.3%	52.6%
Expected Move	17.4%	15.1%	19.3%	19.3%	15.1%
HV 20d	75.6%	57.3%	85.3%	82.0%	57.3%
HV 60d	79.9%	76.7%	83.0%	77.5%	77.1%
IV Rank	28.1%	22.6%	33.5%	33.5%	22.6%
IV Percentile	84.8%	73.8%	91.7%	91.7%	73.8%
Term Structure	-0.8%	-4.8%	8.5%	6.7%	-4.8%
VWIV	61.1%	53.3%	68.9%	68.9%	53.3%
Skew 25d	10.3%	8.0%	13.5%	13.5%	8.3%
Skew 10d	19.2%	13.6%	24.0%	21.6%	13.8%
Call IV 25d	56.9%	50.5%	63.8%	63.8%	50.5%
Put IV 25d	67.2%	58.8%	77.3%	77.3%	58.8%
Bid-Ask Spread %	2.64	1.54	4.65	4.65	2.15
Gamma HHI	0.13	0.09	0.17	0.09	0.12
Net GEX	2.4M	703.2K	5.0M	1.1M	2.3M
Net DEX	450.2M	187.5M	547.3M	547.3M	462.3M
Net VEX	-3.5M	-4.2M	-3.1M	-3.3M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.25	1.55	0.60	1.13
Total Volume	61,951.409	17,412	143,347	59,924	52,226
Total OI	2,228,573.136	2,112,106	2,370,609	2,203,084	2,179,132

Daily Data (22 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
2008-12-01	$12.56	$13.00	67.3%	19.3%	82.0%	33.5%	68.9%	13.5%	6.7%	1.1M	547.3M	-3.3M	0.60	4.65	37,474	22,450	1,346,203	856,881
2008-12-02	$13.28	$13.00	65.0%	18.6%	85.3%	31.8%	62.5%	12.2%	1.8%	1.5M	543.3M	-3.5M	0.53	3.00	38,610	20,375	1,341,813	860,072
2008-12-03	$13.66	$13.00	57.2%	16.4%	84.6%	26.0%	59.7%	12.1%	8.5%	2.1M	491.3M	-3.6M	0.77	2.74	30,064	23,125	1,352,355	839,442
2008-12-04	$12.77	$13.00	63.4%	18.2%	83.7%	30.6%	64.3%	10.1%	8.0%	1.0M	547.2M	-3.3M	0.71	4.05	24,056	17,192	1,362,554	847,313
2008-12-05	$13.29	$20.00	60.1%	18.2%	80.5%	28.1%	66.3%	11.7%	1.8%	1.5M	520.2M	-3.4M	0.54	3.00	47,429	25,554	1,363,176	843,384
2008-12-08	$13.94	$20.00	59.1%	18.2%	80.0%	27.4%	63.4%	11.4%	-1.4%	3.1M	451.3M	-3.7M	0.78	3.50	40,939	31,933	1,382,435	847,473
2008-12-09	$14.30	$20.00	61.1%	18.8%	80.4%	28.9%	64.5%	10.8%	-2.5%	3.9M	389.9M	-3.8M	0.78	2.35	53,218	41,379	1,396,836	854,116
2008-12-10	$14.27	$20.00	58.0%	18.6%	79.6%	26.6%	64.0%	12.3%	-1.8%	3.9M	406.5M	-3.8M	1.52	2.58	32,957	50,063	1,415,530	871,518
2008-12-11	$14.01	$20.00	65.3%	18.7%	79.1%	32.1%	63.8%	11.2%	-2.6%	3.0M	430.7M	-3.7M	0.88	2.53	27,434	24,164	1,411,259	882,588
2008-12-12	$14.75	$20.00	62.3%	17.9%	77.8%	29.8%	65.4%	12.0%	-1.5%	4.6M	338.9M	-4.0M	1.18	2.63	31,378	36,889	1,413,319	881,115
2008-12-15	$14.59	$20.00	65.7%	18.8%	71.9%	32.4%	68.1%	11.1%	-3.2%	4.2M	352.6M	-3.9M	1.55	3.22	19,646	30,455	1,418,692	887,683
2008-12-16	$15.64	$20.00	60.9%	17.5%	74.6%	28.7%	62.9%	11.4%	-2.4%	5.0M	187.5M	-4.2M	0.76	2.99	64,728	49,123	1,421,265	897,410
2008-12-17	$15.26	$20.00	62.3%	17.9%	75.5%	29.8%	61.8%	8.8%	-2.6%	4.7M	242.4M	-4.1M	1.17	2.29	28,711	33,461	1,440,862	919,838
2008-12-18	$14.26	$20.00	62.0%	17.8%	77.7%	29.5%	60.3%	9.3%	-2.3%	2.8M	458.5M	-3.5M	0.96	2.86	36,300	34,847	1,446,571	924,038
2008-12-19	$14.44	$20.00	58.0%	16.6%	77.0%	26.6%	56.4%	8.0%	-0.8%	859.3K	415.1M	-3.5M	0.64	2.15	32,075	20,415	1,445,801	921,431
2008-12-22	$14.34	$20.00	57.1%	16.4%	73.7%	25.9%	56.0%	8.5%	-2.2%	810.1K	521.1M	-3.3M	0.66	2.29	30,375	20,059	1,293,238	818,868
2008-12-23	$14.07	$20.00	55.9%	16.0%	73.3%	25.0%	56.3%	8.2%	-2.4%	703.2K	535.2M	-3.2M	0.57	1.75	18,843	10,708	1,297,927	823,939
2008-12-24	$14.23	$20.00	56.1%	16.1%	72.2%	25.2%	54.5%	8.7%	-2.5%	894.2K	529.5M	-3.3M	0.25	1.54	13,877	3,535	1,301,771	824,386
2008-12-26	$14.18	$20.00	56.5%	16.2%	68.9%	25.5%	55.8%	8.1%	-3.1%	1.1M	522.2M	-3.2M	0.75	2.05	14,503	10,906	1,309,235	816,081
2008-12-29	$14.13	$20.00	59.2%	17.0%	68.8%	27.5%	59.5%	8.7%	-4.6%	1.0M	531.9M	-3.1M	0.61	1.79	23,722	14,386	1,311,710	821,943
2008-12-30	$14.69	$20.00	53.9%	15.5%	60.0%	23.5%	55.8%	10.2%	-4.4%	1.8M	479.3M	-3.3M	0.33	2.01	107,436	35,911	1,319,440	817,966
2008-12-31	$14.66	$20.00	52.6%	15.1%	57.3%	22.6%	53.3%	8.3%	-4.8%	2.3M	462.3M	-3.4M	1.13	2.15	24,565	27,661	1,344,749	834,383