INTC Options History — February 2009

In February 2009, INTC traded between $12.08 and $14.91. ATM implied volatility averaged 50.1%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 4.3% (HV 20d: 54.4%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.63.

Notable Days

2009-02-04: Highest Volume — 160,497 contracts
2009-02-17: Largest IV spike — 14.5% change
2009-02-23: Highest IV Rank — 28.8%
2009-02-23: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.50	$12.08	$14.91	$13.63	$12.74
Max Pain	$13.21	$13.00	$14.00	$14.00	$13.00
ATM IV	50.1%	44.1%	61.0%	47.1%	51.2%
Expected Move	14.3%	12.6%	17.5%	13.5%	14.7%
HV 20d	54.4%	49.8%	57.1%	57.1%	54.2%
HV 60d	61.1%	55.7%	67.3%	67.3%	55.7%
IV Rank	20.7%	16.2%	28.8%	18.5%	21.6%
IV Percentile	66.5%	56.7%	83.3%	63.5%	66.7%
Term Structure	3.2%	1.0%	4.7%	2.4%	4.2%
VWIV	50.0%	44.2%	59.9%	48.7%	51.6%
Skew 25d	8.2%	6.1%	10.2%	10.1%	7.1%
Skew 10d	16.1%	12.0%	20.7%	19.3%	15.3%
Call IV 25d	47.2%	41.5%	58.7%	44.6%	49.1%
Put IV 25d	55.5%	49.9%	64.7%	54.6%	56.2%
Bid-Ask Spread %	3.74	2.07	4.83	3.58	4.13
Gamma HHI	0.17	0.12	0.21	0.15	0.16
Net GEX	4.1M	1.5M	6.6M	2.7M	3.6M
Net DEX	69.4M	-138.5M	198.8M	112.1M	134.7M
Net VEX	-3.3M	-3.7M	-2.8M	-3.1M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.31	1.28	0.58	0.50
Total Volume	72,133.526	40,343	160,497	67,505	45,484
Total OI	1,346,401.158	1,219,704	1,447,271	1,219,704	1,390,162

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
2009-02-02	$13.63	$14.00	47.1%	13.5%	57.1%	18.5%	48.7%	10.1%	2.4%	2.7M	112.1M	-3.1M	0.58	3.58	42,759	24,746	700,582	519,122
2009-02-03	$13.73	$14.00	45.5%	13.0%	57.0%	17.3%	48.0%	6.8%	1.0%	3.0M	97.4M	-3.2M	0.40	3.72	28,829	11,514	718,921	530,411
2009-02-04	$13.88	$14.00	46.1%	13.2%	55.8%	17.7%	45.8%	7.2%	1.1%	3.8M	45.5M	-3.3M	1.17	2.62	73,904	86,593	725,535	531,127
2009-02-05	$14.25	$14.00	46.7%	13.4%	52.6%	18.1%	46.1%	6.9%	1.1%	4.8M	-18.4M	-3.5M	0.47	4.22	44,294	20,700	748,035	528,108
2009-02-06	$14.73	$13.00	44.1%	12.6%	53.8%	16.2%	44.2%	9.0%	4.7%	6.0M	-103.4M	-3.6M	0.47	4.62	57,517	27,140	761,955	530,063
2009-02-09	$14.91	$13.00	46.5%	13.1%	52.9%	18.0%	44.8%	9.4%	3.2%	6.6M	-138.5M	-3.7M	0.43	3.18	48,444	20,987	778,078	543,466
2009-02-10	$14.08	$13.00	50.9%	14.3%	56.2%	21.3%	48.5%	10.2%	3.9%	5.4M	-23.1M	-3.6M	0.89	4.83	57,265	50,868	803,792	552,794
2009-02-11	$14.08	$13.00	47.6%	14.0%	56.1%	18.9%	48.4%	9.0%	3.6%	6.1M	-21.2M	-3.6M	0.73	4.77	32,951	24,217	817,021	557,991
2009-02-12	$14.00	$13.00	47.6%	13.6%	53.6%	18.8%	48.6%	8.3%	4.6%	5.8M	7.1M	-3.6M	0.86	3.63	25,534	21,911	821,921	564,857
2009-02-13	$13.88	$13.00	46.9%	13.4%	53.5%	18.3%	45.9%	8.4%	3.8%	5.7M	25.6M	-3.5M	0.31	3.13	31,105	9,791	825,690	569,227
2009-02-17	$13.21	$13.00	53.6%	15.4%	55.2%	23.4%	52.3%	8.7%	3.1%	3.7M	126.8M	-3.2M	0.45	4.13	36,203	16,166	833,399	569,075
2009-02-18	$13.36	$13.00	53.2%	15.3%	49.8%	23.0%	52.5%	9.0%	2.7%	4.2M	105.2M	-3.3M	0.94	2.96	29,893	28,027	839,820	568,721
2009-02-19	$12.68	$13.00	53.2%	15.2%	52.1%	23.0%	53.1%	8.9%	3.0%	1.6M	198.8M	-3.0M	1.28	3.39	34,541	44,280	845,577	576,557
2009-02-20	$12.78	$13.00	54.3%	15.6%	50.8%	23.9%	55.0%	8.8%	2.8%	2.6M	195.9M	-3.0M	0.84	4.56	35,759	30,115	855,129	592,142
2009-02-23	$12.08	$13.00	61.0%	17.5%	53.8%	28.8%	59.9%	6.1%	2.9%	1.5M	192.6M	-2.8M	0.44	3.54	79,601	35,217	763,718	522,893
2009-02-24	$12.73	$13.00	54.2%	15.5%	56.8%	23.7%	54.6%	7.6%	4.2%	3.0M	140.3M	-3.0M	0.33	3.53	55,425	18,553	805,974	541,771
2009-02-25	$13.03	$13.00	51.0%	14.6%	56.3%	21.4%	50.2%	7.8%	4.6%	4.2M	102.2M	-3.2M	0.40	4.51	56,016	22,217	823,908	544,912
2009-02-26	$12.71	$13.00	51.2%	14.7%	56.4%	21.6%	51.0%	6.7%	4.0%	3.5M	139.6M	-3.0M	0.40	2.07	44,158	17,813	833,236	545,932
2009-02-27	$12.74	$13.00	51.2%	14.7%	54.2%	21.6%	51.6%	7.1%	4.2%	3.6M	134.7M	-3.0M	0.50	4.13	30,325	15,159	838,351	551,811