INTC Options History — June 2009

In June 2009, INTC traded between $15.68 and $16.55. ATM implied volatility averaged 36.1%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 5.7% (HV 20d: 30.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2009-06-30: Highest Volume — 101,460 contracts
2009-06-11: Largest IV spike — 15.1% change
2009-06-15: Highest IV Rank — 11.9%
2009-06-15: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.14	$15.68	$16.55	$16.50	$16.55
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	36.1%	32.2%	40.4%	34.1%	34.8%
Expected Move	10.6%	9.4%	11.6%	9.8%	10.0%
HV 20d	30.4%	22.5%	38.4%	38.4%	22.5%
HV 60d	38.3%	32.1%	46.0%	45.6%	32.1%
IV Rank	8.6%	5.6%	11.9%	7.1%	7.6%
IV Percentile	24.3%	17.1%	33.7%	21.8%	21.8%
Term Structure	-0.1%	-2.6%	5.4%	3.6%	-2.0%
VWIV	37.1%	33.0%	40.6%	33.8%	35.8%
Skew 25d	3.8%	3.1%	5.3%	4.4%	5.3%
Skew 10d	7.6%	5.5%	12.5%	9.5%	12.5%
Call IV 25d	35.4%	31.3%	39.0%	31.3%	33.7%
Put IV 25d	39.2%	35.2%	42.3%	35.7%	39.1%
Bid-Ask Spread %	3.02	1.64	4.67	2.43	2.73
Gamma HHI	0.24	0.16	0.72	0.22	0.20
Net GEX	14.7M	6.8M	59.9M	13.4M	11.9M
Net DEX	-193.1M	-303.6M	-59.1M	-303.6M	-220.2M
Net VEX	-4.5M	-4.6M	-4.3M	-4.5M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.40	1.67	0.81	1.64
Total Volume	58,004	25,812	101,460	100,538	101,460
Total OI	1,577,231.091	1,431,283	1,670,420	1,534,208	1,578,480

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
2009-06-01	$16.50	$15.00	34.1%	9.8%	38.4%	7.1%	33.8%	4.4%	3.6%	13.4M	-303.6M	-4.5M	0.81	2.43	55,539	44,999	889,610	644,598
2009-06-02	$16.19	$15.00	34.4%	9.8%	34.2%	7.3%	33.7%	3.1%	3.3%	11.7M	-208.9M	-4.5M	1.12	3.64	17,785	19,991	893,152	666,706
2009-06-03	$15.94	$15.00	33.7%	9.7%	32.9%	6.8%	34.7%	3.5%	4.9%	10.8M	-155.5M	-4.4M	0.71	3.69	44,806	32,003	896,341	657,857
2009-06-04	$16.13	$15.00	33.0%	9.4%	33.2%	6.2%	33.0%	3.4%	5.4%	12.6M	-216.9M	-4.6M	0.70	4.67	19,964	13,963	919,118	669,424
2009-06-05	$15.92	$15.00	32.2%	10.8%	32.5%	5.6%	38.0%	4.2%	-0.3%	11.4M	-153.9M	-4.6M	0.62	3.20	23,715	14,599	915,693	679,741
2009-06-08	$15.92	$15.00	34.5%	11.2%	30.4%	7.4%	38.8%	3.6%	-0.7%	11.8M	-163.5M	-4.5M	1.00	2.96	22,653	22,620	916,598	678,845
2009-06-09	$16.42	$15.00	33.9%	11.2%	32.0%	6.9%	38.8%	4.4%	-1.2%	14.9M	-294.0M	-4.6M	0.40	3.03	57,753	23,363	921,998	684,999
2009-06-10	$16.46	$15.00	33.8%	11.2%	31.6%	6.9%	38.5%	4.2%	-1.0%	15.7M	-299.6M	-4.6M	1.00	3.70	18,152	18,229	935,799	684,769
2009-06-11	$16.35	$15.00	38.9%	11.2%	31.7%	10.7%	38.6%	4.0%	-1.0%	15.3M	-270.2M	-4.6M	0.62	2.59	26,119	16,139	936,428	685,577
2009-06-12	$16.31	$15.00	38.6%	11.1%	30.6%	10.5%	38.8%	4.0%	-1.2%	16.8M	-264.0M	-4.5M	0.69	2.99	17,819	12,346	946,100	684,985
2009-06-15	$15.98	$15.00	40.4%	11.6%	30.3%	11.9%	40.6%	3.3%	-2.2%	14.8M	-176.3M	-4.3M	0.77	3.19	27,268	21,113	947,999	685,209
2009-06-16	$15.86	$15.00	40.0%	11.5%	29.7%	11.6%	40.5%	3.5%	-1.8%	14.6M	-145.5M	-4.3M	0.78	3.39	22,371	17,527	953,003	692,056
2009-06-17	$16.14	$15.00	40.0%	11.5%	30.1%	11.5%	39.9%	3.8%	-1.4%	17.0M	-227.9M	-4.4M	0.80	3.63	48,066	38,616	951,678	692,431
2009-06-18	$15.87	$15.00	39.0%	11.2%	30.8%	10.8%	39.3%	3.6%	-1.2%	14.8M	-142.8M	-4.4M	0.76	3.00	24,974	19,000	964,031	706,389
2009-06-19	$16.01	$15.00	36.5%	10.5%	29.2%	8.9%	36.7%	3.2%	1.1%	59.9M	-195.9M	-4.4M	0.49	4.01	59,748	29,128	960,331	702,882
2009-06-22	$15.68	$15.00	38.5%	11.0%	30.1%	10.4%	39.2%	3.6%	-1.5%	6.8M	-59.1M	-4.3M	0.65	2.38	42,926	27,812	820,656	610,627
2009-06-23	$15.81	$15.00	36.8%	10.5%	28.6%	9.1%	37.4%	3.3%	-0.4%	7.9M	-85.1M	-4.3M	0.50	3.01	35,186	17,521	844,762	625,733
2009-06-24	$16.10	$15.00	35.5%	10.2%	29.2%	8.2%	35.7%	3.5%	-0.8%	9.8M	-138.4M	-4.3M	1.15	2.39	28,308	32,493	855,030	626,903
2009-06-25	$16.31	$15.00	35.2%	10.1%	29.0%	8.0%	35.2%	4.0%	-0.4%	10.5M	-172.1M	-4.5M	0.59	1.64	16,187	9,625	860,354	644,754
2009-06-26	$16.29	$15.00	34.4%	9.9%	29.0%	7.3%	34.1%	3.8%	-0.8%	10.8M	-176.3M	-4.5M	1.67	2.03	25,453	42,521	866,198	647,898
2009-06-29	$16.38	$15.00	36.1%	10.4%	23.3%	8.6%	35.4%	4.3%	-2.6%	11.1M	-178.6M	-4.5M	0.75	2.24	37,754	28,474	880,227	673,115
2009-06-30	$16.55	$15.00	34.8%	10.0%	22.5%	7.6%	35.8%	5.3%	-2.0%	11.9M	-220.2M	-4.6M	1.64	2.73	38,481	62,979	896,219	682,261