INTC Options History — January 2009

In January 2009, INTC traded between $12.82 and $15.37. ATM implied volatility averaged 55.9%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 3.6% (HV 20d: 52.3%). Max pain ranged from $14.00 to $20.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.10.

Notable Days

2009-01-15: Highest Volume — 172,417 contracts
2009-01-15: Largest IV drop — 43.4% change
2009-01-14: Highest IV Rank — 55.0%
2009-01-14: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.79	$12.82	$15.37	$15.20	$12.90
Max Pain	$14.85	$14.00	$20.00	$20.00	$14.00
ATM IV	55.9%	42.2%	96.0%	55.6%	47.7%
Expected Move	14.2%	12.1%	16.1%	15.9%	13.7%
HV 20d	52.3%	46.6%	57.8%	57.8%	54.8%
HV 60d	71.6%	65.9%	77.4%	76.7%	66.7%
IV Rank	25.1%	14.8%	55.0%	24.8%	18.9%
IV Percentile	74.4%	54.0%	98.8%	78.2%	64.3%
Term Structure	2.4%	-7.9%	6.6%	-7.9%	3.9%
VWIV	49.4%	41.7%	55.5%	55.5%	47.5%
Skew 25d	9.4%	7.4%	10.5%	7.4%	9.5%
Skew 10d	14.6%	8.7%	19.1%	12.9%	16.0%
Call IV 25d	45.4%	39.4%	52.6%	52.6%	45.0%
Put IV 25d	54.8%	48.0%	60.1%	60.1%	54.4%
Bid-Ask Spread %	3.22	1.51	4.49	1.51	4.01
Gamma HHI	0.14	0.10	0.20	0.14	0.14
Net GEX	954.3K	-2.6M	3.3M	2.8M	1.7M
Net DEX	344.8M	53.8M	654.9M	400.7M	143.1M
Net VEX	-3.1M	-3.6M	-2.7M	-3.6M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.40	2.58	0.90	1.76
Total Volume	87,427.25	33,311	172,417	46,835	56,789
Total OI	1,751,035.75	1,010,807	2,387,595	2,183,308	1,185,159

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
2009-01-02	$15.20	$20.00	55.6%	15.9%	57.8%	24.8%	55.5%	7.4%	-7.9%	2.8M	400.7M	-3.6M	0.90	1.51	24,647	22,188	1,334,458	848,850
2009-01-05	$14.91	$15.00	61.3%	14.1%	52.0%	29.1%	50.5%	10.0%	3.0%	2.4M	434.6M	-3.4M	1.56	3.58	31,716	49,341	1,335,882	852,818
2009-01-06	$15.37	$15.00	61.5%	14.2%	51.3%	29.2%	49.3%	10.2%	2.7%	2.6M	377.0M	-3.5M	2.58	3.45	41,041	106,037	1,346,474	862,706
2009-01-07	$14.44	$15.00	57.3%	14.6%	54.6%	26.0%	48.8%	9.7%	3.1%	265.2K	539.2M	-3.3M	1.10	3.07	64,816	71,465	1,356,342	896,660
2009-01-08	$14.55	$15.00	55.2%	14.0%	53.9%	24.5%	49.6%	9.5%	2.8%	1.1M	515.3M	-3.3M	2.29	3.25	26,956	61,801	1,375,421	899,092
2009-01-09	$14.15	$15.00	59.9%	14.7%	54.9%	28.0%	50.4%	10.0%	2.4%	-476.3K	548.4M	-3.2M	1.18	3.08	25,497	29,958	1,371,839	900,131
2009-01-12	$13.79	$15.00	68.9%	15.1%	55.3%	34.7%	52.4%	9.9%	2.3%	-659.2K	579.1M	-3.0M	0.76	2.51	42,906	32,595	1,379,141	899,869
2009-01-13	$13.67	$15.00	77.4%	14.9%	51.7%	41.1%	53.2%	9.6%	3.5%	-700.9K	584.8M	-3.0M	1.92	3.21	39,794	76,355	1,391,882	901,495
2009-01-14	$13.08	$15.00	96.0%	16.1%	53.6%	55.0%	54.7%	8.3%	2.4%	-2.6M	654.9M	-2.8M	0.60	2.67	74,003	44,736	1,399,874	919,922
2009-01-15	$13.29	$15.00	54.4%	15.6%	46.6%	23.9%	54.7%	10.5%	3.6%	-2.2M	620.8M	-2.9M	1.41	4.49	71,684	100,733	1,438,350	922,581
2009-01-16	$13.74	$15.00	46.2%	13.2%	48.4%	17.8%	47.9%	9.9%	6.6%	-160.7K	584.5M	-3.0M	0.62	4.28	74,236	46,183	1,454,090	933,505
2009-01-20	$12.86	$15.00	52.4%	15.0%	48.1%	22.4%	51.1%	8.2%	1.0%	596.6K	152.0M	-2.7M	0.52	2.84	53,046	27,363	583,189	427,618
2009-01-21	$13.26	$14.00	48.7%	14.0%	49.4%	19.7%	47.8%	10.4%	2.8%	1.3M	129.9M	-2.9M	0.72	3.03	58,337	41,884	602,260	426,816
2009-01-22	$12.82	$14.00	48.6%	13.9%	50.5%	19.6%	50.1%	9.1%	1.9%	1.0M	154.8M	-2.7M	0.90	2.39	29,726	26,786	621,698	448,012
2009-01-23	$13.12	$14.00	47.4%	13.6%	51.2%	18.7%	46.3%	9.7%	2.8%	1.3M	137.8M	-2.9M	0.46	3.34	72,357	33,583	631,668	462,112
2009-01-26	$13.38	$14.00	47.7%	13.7%	51.6%	19.0%	46.2%	10.1%	3.2%	2.0M	113.3M	-3.0M	0.79	3.93	21,360	16,779	661,097	476,373
2009-01-27	$13.81	$14.00	43.5%	12.5%	53.1%	15.8%	43.5%	8.8%	2.9%	2.9M	64.0M	-3.1M	0.41	3.18	46,509	19,197	667,241	477,031
2009-01-28	$14.01	$14.00	42.2%	12.1%	53.4%	14.8%	41.7%	8.6%	2.2%	3.3M	53.8M	-3.2M	0.40	3.62	37,729	15,101	673,073	481,503
2009-01-29	$13.37	$14.00	47.1%	13.5%	53.7%	18.5%	46.2%	8.7%	2.0%	2.5M	107.8M	-3.0M	1.18	2.95	15,293	18,018	688,413	486,070
2009-01-30	$12.90	$14.00	47.7%	13.7%	54.8%	18.9%	47.5%	9.5%	3.9%	1.7M	143.1M	-2.8M	1.76	4.01	20,563	36,226	693,080	492,079