INTC Options History — January 2010

In January 2010, INTC traded between $19.40 and $21.48. ATM implied volatility averaged 34.2%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 9.7% (HV 20d: 24.5%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2010-01-14: Highest Volume — 761,305 contracts
2010-01-14: Largest IV drop — 53.0% change
2010-01-13: Highest IV Rank — 60.2%
2010-01-14: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.61	$19.40	$21.48	$20.88	$19.40
Max Pain	$20.63	$20.00	$21.00	$21.00	$20.00
ATM IV	34.2%	21.8%	67.4%	34.3%	28.5%
Expected Move	7.7%	6.2%	9.1%	7.8%	8.2%
HV 20d	24.5%	21.0%	30.5%	24.1%	30.5%
HV 60d	24.8%	23.7%	26.6%	24.1%	26.5%
IV Rank	17.1%	0.0%	60.2%	14.4%	14.8%
IV Percentile	35.3%	0.0%	99.2%	44.0%	22.6%
Term Structure	0.6%	-3.0%	2.3%	0.4%	2.3%
VWIV	27.4%	22.3%	31.6%	27.8%	28.9%
Skew 25d	2.8%	1.0%	4.2%	4.2%	2.2%
Skew 10d	5.7%	2.9%	8.1%	8.1%	4.0%
Call IV 25d	26.2%	21.7%	30.1%	25.8%	28.6%
Put IV 25d	29.0%	23.4%	32.9%	30.0%	30.8%
Bid-Ask Spread %	3.43	2.51	4.30	3.44	3.65
Gamma HHI	0.21	0.14	0.29	0.29	0.14
Net GEX	21.8M	5.0M	36.6M	32.0M	5.0M
Net DEX	-671.2M	-1.42B	-3.4M	-1.04B	-3.4M
Net VEX	-5.7M	-6.4M	-5.4M	-5.4M	-6.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.44	1.09	0.61	0.52
Total Volume	184,013.368	62,507	761,305	133,293	107,727
Total OI	1,962,881.789	1,354,643	2,632,689	2,167,505	1,731,796

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
2010-01-04	$20.88	$21.00	34.3%	7.8%	24.1%	14.4%	27.8%	4.2%	0.4%	32.0M	-1.04B	-5.4M	0.61	3.44	82,611	50,682	1,234,527	932,978
2010-01-05	$20.87	$21.00	36.0%	7.7%	22.0%	16.7%	27.3%	3.6%	0.6%	30.9M	-1.02B	-5.4M	0.91	4.03	43,654	39,824	1,244,038	954,147
2010-01-06	$20.80	$21.00	36.3%	7.6%	21.9%	17.1%	27.0%	3.5%	0.2%	28.8M	-958.3M	-5.4M	1.09	4.00	29,855	32,652	1,239,118	977,364
2010-01-07	$20.60	$21.00	37.3%	7.4%	21.0%	18.5%	26.5%	4.1%	1.0%	28.1M	-848.1M	-5.4M	0.74	3.58	54,012	39,996	1,245,264	992,601
2010-01-08	$20.83	$21.00	37.4%	7.7%	21.3%	18.7%	27.3%	3.5%	0.0%	28.1M	-960.4M	-5.4M	0.61	4.04	49,881	30,395	1,256,773	1,010,733
2010-01-11	$20.95	$21.00	48.1%	8.1%	21.3%	33.5%	28.2%	3.1%	-0.0%	29.4M	-1.06B	-5.4M	0.63	3.26	132,568	83,236	1,279,566	1,023,473
2010-01-12	$20.61	$21.00	64.7%	8.9%	21.7%	56.5%	31.3%	2.5%	-1.8%	29.5M	-871.7M	-5.4M	0.83	4.23	123,331	102,529	1,317,209	1,013,512
2010-01-13	$20.96	$20.00	67.4%	9.0%	22.3%	60.2%	31.6%	2.8%	-2.3%	34.4M	-1.12B	-5.4M	0.50	3.91	170,976	85,364	1,349,831	1,014,786
2010-01-14	$21.48	$20.00	31.7%	9.1%	23.2%	10.7%	31.1%	3.0%	-3.0%	36.6M	-1.42B	-5.5M	0.56	3.53	487,075	274,230	1,393,886	1,044,962
2010-01-15	$20.80	$21.00	23.9%	6.9%	25.0%	0.0%	24.2%	1.7%	2.3%	14.0M	-917.6M	-5.6M	0.46	2.72	337,697	156,365	1,465,537	1,167,152
2010-01-19	$21.05	$21.00	21.8%	6.2%	24.0%	0.0%	22.3%	1.8%	1.3%	18.5M	-460.6M	-5.6M	0.46	3.16	96,778	44,776	786,999	567,644
2010-01-20	$21.08	$21.00	22.6%	6.5%	22.3%	1.9%	23.5%	1.0%	1.8%	19.9M	-491.4M	-5.8M	0.44	2.51	96,124	42,274	828,112	589,593
2010-01-21	$20.84	$21.00	23.9%	6.9%	21.7%	4.8%	25.0%	3.2%	1.8%	18.0M	-429.3M	-6.0M	0.62	2.86	93,020	57,806	863,087	596,888
2010-01-22	$19.91	$21.00	28.4%	8.2%	27.5%	14.6%	29.1%	3.7%	1.0%	8.9M	-165.3M	-5.9M	0.45	2.77	140,458	63,653	894,871	621,287
2010-01-25	$20.32	$20.00	26.9%	7.7%	28.4%	11.2%	27.2%	3.0%	1.5%	15.5M	-318.8M	-6.3M	0.83	2.62	58,926	48,886	967,572	648,650
2010-01-26	$20.00	$20.00	26.9%	7.7%	28.7%	11.3%	27.6%	1.8%	1.6%	11.7M	-207.1M	-6.1M	0.57	3.06	52,602	29,750	984,820	666,929
2010-01-27	$20.24	$20.00	26.2%	7.5%	29.0%	9.8%	26.9%	2.3%	1.8%	14.5M	-297.2M	-6.4M	0.84	3.58	36,204	30,348	1,004,735	680,952
2010-01-28	$19.92	$20.00	26.8%	7.7%	29.5%	11.1%	27.7%	2.2%	1.9%	9.8M	-169.0M	-6.3M	0.79	4.30	50,157	39,832	1,008,329	695,033
2010-01-29	$19.40	$20.00	28.5%	8.2%	30.5%	14.8%	28.9%	2.2%	2.3%	5.0M	-3.4M	-6.1M	0.52	3.65	70,643	37,084	1,019,735	712,061