INTC Options History — August 2009

In August 2009, INTC traded between $18.45 and $20.32. ATM implied volatility averaged 28.9%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.2% (HV 20d: 22.7%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2009-08-04: Highest Volume — 586,044 contracts
2009-08-13: Largest IV spike — 11.7% change
2009-08-17: Highest IV Rank — 6.3%
2009-08-17: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.03	$18.45	$20.32	$19.37	$20.32
Max Pain	$18.90	$18.00	$19.00	$18.00	$19.00
ATM IV	28.9%	26.6%	33.0%	30.0%	28.6%
Expected Move	8.5%	7.6%	9.5%	8.6%	8.2%
HV 20d	22.7%	16.8%	31.2%	30.6%	23.9%
HV 60d	27.9%	25.7%	29.4%	29.4%	26.4%
IV Rank	3.1%	1.4%	6.3%	4.0%	1.5%
IV Percentile	6.4%	0.4%	18.7%	9.9%	4.8%
Term Structure	4.2%	1.2%	6.7%	1.4%	6.3%
VWIV	30.6%	26.0%	46.0%	30.9%	29.2%
Skew 25d	3.5%	1.1%	4.9%	2.9%	2.7%
Skew 10d	6.9%	2.4%	9.9%	6.2%	6.9%
Call IV 25d	28.4%	25.1%	30.5%	29.2%	27.4%
Put IV 25d	31.9%	27.9%	34.9%	32.1%	30.1%
Bid-Ask Spread %	3.21	2.25	4.38	3.56	2.55
Gamma HHI	0.17	0.14	0.26	0.16	0.18
Net GEX	11.2M	8.0M	15.8M	12.9M	14.6M
Net DEX	-440.4M	-762.8M	-281.0M	-577.3M	-762.8M
Net VEX	-5.4M	-5.5M	-5.2M	-5.4M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.04	1.39	0.75	1.23
Total Volume	83,774.095	30,350	586,044	34,651	55,377
Total OI	1,661,418.333	1,562,916	1,736,104	1,639,717	1,673,022

Daily Data (21 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
2009-08-03	$19.37	$18.00	30.0%	8.6%	30.6%	4.0%	30.9%	2.9%	1.4%	12.9M	-577.3M	-5.4M	0.75	3.56	19,789	14,862	916,005	723,712
2009-08-04	$19.32	$18.00	29.8%	8.6%	29.4%	3.8%	46.0%	1.9%	1.2%	13.1M	-569.5M	-5.4M	0.04	3.62	563,859	22,185	921,266	727,630
2009-08-05	$18.86	$19.00	29.3%	8.4%	30.0%	3.4%	30.3%	1.1%	1.5%	9.9M	-391.3M	-5.3M	0.87	2.94	27,878	24,141	874,746	735,721
2009-08-06	$18.70	$19.00	29.4%	8.4%	30.6%	3.6%	30.6%	1.5%	1.6%	8.7M	-334.2M	-5.5M	1.29	3.25	24,812	31,939	881,404	746,919
2009-08-07	$18.50	$19.00	28.8%	9.3%	31.2%	3.1%	31.2%	4.9%	4.1%	8.5M	-328.8M	-5.4M	1.19	4.38	23,056	27,449	888,846	757,102
2009-08-10	$18.76	$19.00	27.3%	8.6%	30.4%	1.9%	30.8%	4.1%	4.3%	9.5M	-362.7M	-5.3M	1.39	3.63	16,733	23,238	897,298	761,081
2009-08-11	$18.64	$19.00	28.7%	9.0%	30.3%	3.0%	31.7%	4.0%	3.9%	8.8M	-329.3M	-5.4M	0.60	3.71	24,831	14,846	905,035	771,697
2009-08-12	$18.81	$19.00	27.0%	9.0%	18.3%	1.7%	31.5%	4.2%	4.0%	10.8M	-386.9M	-5.5M	0.77	3.40	19,892	15,344	917,059	778,083
2009-08-13	$19.05	$19.00	30.2%	8.6%	16.8%	4.1%	30.3%	4.1%	4.4%	11.7M	-444.2M	-5.5M	0.68	3.56	27,370	18,573	919,485	781,678
2009-08-14	$18.77	$19.00	29.8%	8.5%	16.9%	3.8%	30.4%	4.0%	4.6%	9.9M	-359.2M	-5.4M	0.89	2.25	27,094	24,030	921,908	783,592
2009-08-17	$18.45	$19.00	33.0%	9.5%	17.8%	6.3%	32.6%	4.4%	4.3%	8.0M	-281.0M	-5.4M	0.53	2.70	25,203	13,232	929,737	789,222
2009-08-18	$18.77	$19.00	30.5%	8.8%	18.9%	4.4%	31.4%	4.8%	4.5%	10.5M	-378.8M	-5.4M	0.96	2.57	15,512	14,838	931,954	786,514
2009-08-19	$18.80	$19.00	29.8%	8.5%	18.3%	3.8%	30.7%	4.7%	4.4%	11.8M	-382.2M	-5.3M	0.82	3.52	28,494	23,260	934,249	787,955
2009-08-20	$18.71	$19.00	29.3%	8.4%	17.0%	3.5%	29.7%	4.5%	4.7%	10.0M	-359.6M	-5.2M	0.72	2.72	32,560	23,513	933,209	790,071
2009-08-21	$18.89	$19.00	29.4%	8.4%	17.4%	3.5%	29.7%	4.0%	5.0%	15.8M	-398.1M	-5.3M	0.96	3.18	53,603	51,319	943,298	792,806
2009-08-24	$18.76	$19.00	28.9%	8.3%	17.3%	3.2%	29.3%	4.3%	4.9%	9.6M	-346.6M	-5.4M	0.45	3.92	30,507	13,625	846,168	716,748
2009-08-25	$19.10	$19.00	26.6%	7.6%	18.6%	1.4%	26.6%	3.7%	5.8%	11.4M	-446.0M	-5.3M	0.58	3.04	41,944	24,393	856,181	721,761
2009-08-26	$19.43	$19.00	27.4%	7.8%	19.7%	2.0%	26.9%	2.9%	5.2%	12.6M	-529.9M	-5.5M	0.95	2.48	47,425	44,953	868,971	729,722
2009-08-27	$19.47	$19.00	26.8%	7.7%	19.6%	1.6%	26.0%	2.2%	5.7%	12.6M	-537.1M	-5.5M	0.59	3.84	29,155	17,279	878,225	739,618
2009-08-28	$20.25	$19.00	27.1%	7.8%	23.9%	1.8%	27.4%	2.7%	6.7%	13.6M	-743.9M	-5.3M	0.35	2.52	134,294	46,849	882,118	747,969
2009-08-31	$20.32	$19.00	28.6%	8.2%	23.9%	1.5%	29.2%	2.7%	6.3%	14.6M	-762.8M	-5.4M	1.23	2.55	24,845	30,532	911,468	761,554