INTC Options History — September 2009

In September 2009, INTC traded between $19.36 and $19.93. ATM implied volatility averaged 33.5%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.1% (HV 20d: 23.4%). 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 4 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2009-09-23: Highest Volume — 136,114 contracts
2009-09-10: Largest IV spike — 29.4% change
2009-09-30: Highest IV Rank — 10.2%
2009-09-30: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.59	$19.36	$19.93	$19.72	$19.57
Max Pain	$18.14	$18.00	$19.00	$19.00	$18.00
ATM IV	33.5%	25.2%	38.6%	29.1%	38.6%
Expected Move	9.9%	8.1%	11.1%	8.4%	11.1%
HV 20d	23.4%	17.4%	26.5%	26.5%	17.4%
HV 60d	26.2%	25.3%	27.3%	27.3%	25.3%
IV Rank	6.2%	0.0%	10.2%	1.9%	10.2%
IV Percentile	20.5%	0.0%	35.3%	7.1%	35.3%
Term Structure	-1.3%	-6.0%	8.2%	6.4%	-6.0%
VWIV	35.0%	28.4%	38.8%	30.3%	38.8%
Skew 25d	2.4%	0.4%	4.2%	2.5%	0.6%
Skew 10d	5.7%	2.1%	8.5%	5.7%	3.2%
Call IV 25d	34.2%	27.5%	39.1%	29.4%	39.1%
Put IV 25d	36.6%	30.6%	39.6%	31.9%	39.6%
Bid-Ask Spread %	2.68	2.02	3.60	3.55	2.90
Gamma HHI	0.21	0.16	0.30	0.16	0.22
Net GEX	14.3M	10.6M	19.1M	12.2M	19.1M
Net DEX	-558.6M	-663.6M	-480.0M	-584.0M	-566.2M
Net VEX	-5.3M	-5.5M	-5.1M	-5.5M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.18	0.88	0.80	0.39
Total Volume	65,421.905	37,483	136,114	76,328	67,653
Total OI	1,794,725	1,683,134	1,891,491	1,683,134	1,891,491

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
2009-09-01	$19.72	$19.00	29.1%	8.4%	26.5%	1.9%	30.3%	2.5%	6.4%	12.2M	-584.0M	-5.5M	0.80	3.55	42,359	33,969	906,696	776,438
2009-09-02	$19.47	$19.00	30.0%	8.6%	25.3%	2.6%	29.7%	2.5%	7.6%	11.0M	-511.5M	-5.5M	0.72	2.19	29,774	21,573	912,774	788,804
2009-09-03	$19.42	$19.00	28.3%	8.1%	25.1%	1.3%	28.4%	3.1%	8.2%	11.1M	-480.6M	-5.5M	0.62	2.02	39,110	24,424	918,728	793,684
2009-09-04	$19.64	$18.00	25.2%	9.7%	24.8%	0.0%	34.2%	4.0%	0.2%	12.3M	-566.6M	-5.4M	0.60	3.60	23,404	14,079	926,633	801,010
2009-09-08	$19.80	$18.00	26.6%	9.8%	24.6%	1.1%	35.0%	4.2%	-0.3%	12.7M	-597.5M	-5.3M	0.35	3.40	30,770	10,808	929,828	806,048
2009-09-09	$19.93	$18.00	25.6%	9.6%	24.4%	0.3%	34.5%	4.1%	-1.0%	13.8M	-643.8M	-5.2M	0.88	2.29	32,933	29,040	933,633	808,040
2009-09-10	$19.76	$18.00	33.1%	9.5%	24.6%	6.1%	33.4%	3.9%	-0.7%	12.5M	-590.1M	-5.2M	0.68	2.88	27,816	19,040	933,201	816,324
2009-09-11	$19.51	$18.00	33.8%	9.7%	24.9%	6.6%	34.2%	3.3%	-1.2%	11.0M	-510.8M	-5.3M	0.43	2.89	43,870	18,889	942,582	825,681
2009-09-14	$19.36	$18.00	35.5%	10.2%	24.4%	7.9%	35.3%	3.1%	-2.1%	10.9M	-480.0M	-5.1M	0.67	2.60	28,622	19,072	964,885	831,150
2009-09-15	$19.55	$18.00	34.4%	9.9%	23.5%	7.1%	35.0%	3.8%	-2.1%	12.2M	-542.8M	-5.1M	0.61	2.95	37,159	22,687	970,452	839,418
2009-09-16	$19.65	$18.00	36.2%	10.4%	22.9%	8.4%	36.3%	2.5%	-3.2%	14.6M	-582.7M	-5.2M	0.27	2.97	86,672	23,406	981,839	841,589
2009-09-17	$19.41	$18.00	37.7%	10.8%	23.5%	9.5%	37.8%	1.8%	-3.8%	10.6M	-515.7M	-5.3M	0.37	3.04	65,419	23,913	1,020,355	844,645
2009-09-18	$19.56	$18.00	35.9%	10.3%	23.4%	8.2%	36.4%	1.9%	-3.4%	15.3M	-576.1M	-5.3M	0.46	2.83	50,171	22,943	1,036,347	849,424
2009-09-21	$19.54	$18.00	36.2%	10.4%	23.3%	8.4%	36.6%	1.4%	-3.7%	15.4M	-545.7M	-5.2M	0.40	2.10	51,812	20,857	973,466	775,319
2009-09-22	$19.53	$18.00	35.6%	10.2%	23.1%	7.9%	35.9%	1.4%	-3.6%	16.8M	-562.5M	-5.2M	0.51	2.32	50,236	25,533	1,000,810	783,142
2009-09-23	$19.88	$18.00	35.2%	10.1%	23.1%	7.6%	35.6%	1.6%	-3.5%	18.6M	-663.6M	-5.3M	0.47	2.83	92,824	43,290	1,016,771	797,918
2009-09-24	$19.54	$18.00	36.3%	10.4%	23.3%	8.5%	36.8%	1.4%	-4.1%	16.8M	-549.0M	-5.3M	0.72	2.30	38,080	27,568	1,029,110	810,161
2009-09-25	$19.37	$18.00	36.1%	10.4%	23.5%	8.4%	36.1%	1.0%	-2.8%	16.9M	-513.0M	-5.4M	0.39	2.04	38,999	15,128	1,043,732	816,297
2009-09-28	$19.74	$18.00	37.1%	10.6%	19.8%	9.1%	37.3%	1.3%	-5.0%	18.6M	-613.8M	-5.3M	0.18	2.40	35,751	6,607	1,046,776	822,526
2009-09-29	$19.48	$18.00	36.6%	10.5%	20.2%	8.7%	37.2%	0.4%	-3.6%	18.1M	-535.2M	-5.3M	0.32	2.14	28,451	9,149	1,055,987	825,511
2009-09-30	$19.57	$18.00	38.6%	11.1%	17.4%	10.2%	38.8%	0.6%	-6.0%	19.1M	-566.2M	-5.3M	0.39	2.90	48,623	19,030	1,065,717	825,774