INTC Options History — May 2009

In May 2009, INTC traded between $15.05 and $16.66. ATM implied volatility averaged 36.9%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.0% (HV 20d: 36.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2009-05-04: Highest Volume — 361,359 contracts
2009-05-14: Largest IV drop — 18.3% change
2009-05-11: Highest IV Rank — 19.4%
2009-05-08: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.58	$15.05	$16.66	$15.81	$15.72
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	36.9%	30.2%	48.3%	35.2%	30.7%
Expected Move	10.4%	8.6%	12.0%	10.1%	8.8%
HV 20d	36.9%	34.3%	40.3%	34.4%	34.3%
HV 60d	48.8%	45.4%	51.6%	50.7%	45.4%
IV Rank	10.9%	5.8%	19.4%	9.6%	6.3%
IV Percentile	27.3%	11.1%	52.0%	27.0%	11.1%
Term Structure	4.1%	2.6%	5.9%	3.5%	5.6%
VWIV	36.7%	31.0%	43.1%	36.4%	31.6%
Skew 25d	4.5%	2.0%	7.4%	4.8%	2.6%
Skew 10d	8.7%	4.1%	15.0%	11.2%	5.4%
Call IV 25d	34.4%	29.7%	38.9%	34.2%	30.0%
Put IV 25d	38.9%	32.7%	44.6%	39.0%	32.7%
Bid-Ask Spread %	3.10	2.05	4.55	3.34	3.17
Gamma HHI	0.19	0.15	0.24	0.23	0.20
Net GEX	7.7M	1.8M	11.7M	9.8M	10.1M
Net DEX	-92.8M	-364.8M	8.9M	-180.8M	-111.5M
Net VEX	-4.2M	-4.4M	-4.1M	-4.1M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.25	1.00	0.53	1.00
Total Volume	85,185.35	32,752	361,359	32,752	37,263
Total OI	1,467,947.4	1,362,630	1,569,756	1,404,672	1,527,576

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
2009-05-01	$15.81	$15.00	35.2%	10.1%	34.4%	9.6%	36.4%	4.8%	3.5%	9.8M	-180.8M	-4.1M	0.53	3.34	21,354	11,398	838,545	566,127
2009-05-04	$16.66	$15.00	36.5%	10.7%	38.7%	10.6%	43.1%	7.4%	3.7%	11.7M	-364.8M	-4.2M	0.25	3.44	289,568	71,791	833,204	568,284
2009-05-05	$16.16	$15.00	39.1%	11.4%	40.3%	12.5%	40.5%	7.0%	3.7%	9.8M	-189.6M	-4.3M	0.77	3.43	34,168	26,308	814,815	593,822
2009-05-06	$16.12	$15.00	39.2%	11.6%	39.1%	12.6%	41.0%	7.0%	3.2%	10.1M	-194.0M	-4.4M	0.87	4.55	42,770	37,386	827,908	598,602
2009-05-07	$15.77	$15.00	39.9%	11.6%	39.7%	13.1%	41.0%	6.7%	3.2%	7.2M	-107.2M	-4.4M	0.56	3.60	57,096	31,790	850,698	614,962
2009-05-08	$15.29	$15.00	42.4%	12.0%	37.8%	15.0%	41.3%	5.9%	2.9%	5.3M	-27.3M	-4.2M	0.86	2.59	43,647	37,440	866,991	617,551
2009-05-11	$15.37	$15.00	48.3%	11.8%	37.8%	19.4%	40.5%	5.4%	2.6%	6.0M	-38.5M	-4.2M	0.70	2.55	59,818	42,043	869,977	618,712
2009-05-12	$15.21	$15.00	46.9%	11.8%	37.9%	18.4%	41.0%	4.7%	2.7%	5.8M	-25.8M	-4.1M	0.80	3.51	45,069	36,027	893,732	622,403
2009-05-13	$15.13	$15.00	44.5%	11.9%	37.0%	16.5%	40.6%	4.7%	3.0%	3.5M	-7.0M	-4.1M	0.91	2.98	38,259	34,800	898,914	635,222
2009-05-14	$15.54	$15.00	36.4%	10.4%	37.8%	10.5%	37.2%	4.1%	4.6%	9.4M	-98.6M	-4.2M	0.82	2.37	62,657	51,254	909,896	638,693
2009-05-15	$15.19	$15.00	37.3%	10.7%	38.1%	11.2%	37.1%	3.9%	4.1%	1.8M	-26.4M	-4.1M	0.49	3.75	49,266	23,975	911,544	658,212
2009-05-18	$15.52	$15.00	31.8%	9.1%	36.2%	7.1%	32.7%	3.7%	5.4%	7.3M	-82.1M	-4.1M	0.48	2.58	38,298	18,373	795,066	567,564
2009-05-19	$15.65	$15.00	30.2%	8.6%	35.3%	5.8%	31.0%	3.6%	5.9%	8.3M	-105.2M	-4.1M	0.64	3.33	35,890	23,123	808,069	575,001
2009-05-20	$15.58	$15.00	31.9%	9.2%	34.6%	7.2%	32.3%	3.6%	4.8%	7.7M	-82.8M	-4.1M	0.87	4.36	50,561	43,738	816,718	582,345
2009-05-21	$15.18	$15.00	35.8%	10.3%	35.7%	10.0%	35.6%	2.5%	3.9%	6.2M	-7.4M	-4.1M	0.91	2.31	51,411	46,707	834,991	609,473
2009-05-22	$15.05	$15.00	34.1%	9.8%	35.7%	8.8%	34.2%	2.0%	4.9%	6.3M	8.9M	-4.1M	0.67	2.05	27,912	18,594	855,937	619,525
2009-05-26	$15.48	$15.00	33.2%	9.5%	36.4%	8.1%	32.5%	3.3%	4.2%	8.7M	-61.5M	-4.2M	0.51	3.17	52,548	27,010	863,441	627,267
2009-05-27	$15.46	$15.00	33.9%	9.7%	35.9%	8.6%	32.6%	3.5%	4.8%	8.4M	-48.8M	-4.2M	0.62	2.89	25,407	15,654	875,493	639,657
2009-05-28	$15.72	$15.00	31.6%	9.1%	35.7%	6.9%	32.1%	3.4%	5.2%	9.7M	-106.5M	-4.3M	0.34	2.06	32,304	11,030	875,109	636,902
2009-05-29	$15.72	$15.00	30.7%	8.8%	34.3%	6.3%	31.6%	2.6%	5.6%	10.1M	-111.5M	-4.3M	1.00	3.17	18,595	18,668	887,507	640,069