INTC Options History — February 2010

In February 2010, INTC traded between $19.02 and $20.87. ATM implied volatility averaged 25.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 5.0% (HV 20d: 30.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2010-02-02: Highest Volume — 194,092 contracts
2010-02-04: Largest IV spike — 17.9% change
2010-02-08: Highest IV Rank — 17.5%
2010-02-05: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.16	$19.02	$20.87	$19.61	$20.53
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	25.5%	21.9%	29.8%	27.4%	21.9%
Expected Move	7.5%	6.3%	9.2%	7.8%	6.3%
HV 20d	30.5%	25.5%	33.7%	30.8%	25.5%
HV 60d	26.4%	25.5%	27.1%	25.9%	26.0%
IV Rank	8.1%	0.3%	17.5%	12.2%	0.3%
IV Percentile	11.2%	0.4%	33.3%	19.8%	0.4%
Term Structure	2.7%	1.0%	3.9%	1.0%	3.8%
VWIV	27.1%	23.1%	32.2%	28.0%	23.1%
Skew 25d	3.7%	1.1%	4.9%	1.7%	3.4%
Skew 10d	8.5%	3.8%	11.6%	4.2%	8.7%
Call IV 25d	25.3%	21.8%	29.8%	27.8%	21.8%
Put IV 25d	29.1%	25.0%	34.7%	29.4%	25.2%
Bid-Ask Spread %	3.55	2.47	9.56	2.70	9.56
Gamma HHI	0.20	0.13	0.35	0.15	0.20
Net GEX	18.3M	3.5M	44.1M	6.7M	22.7M
Net DEX	-352.3M	-682.8M	78.7M	-69.0M	-470.1M
Net VEX	-6.4M	-6.7M	-6.1M	-6.3M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.13	1.16	0.51	0.80
Total Volume	90,928.737	33,573	194,092	75,796	33,573
Total OI	1,820,446.211	1,582,282	1,965,720	1,763,629	1,681,036

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
2010-02-01	$19.61	$20.00	27.4%	7.8%	30.8%	12.2%	28.0%	1.7%	1.0%	6.7M	-69.0M	-6.3M	0.51	2.70	50,345	25,451	1,040,413	723,216
2010-02-02	$19.91	$20.00	24.9%	7.1%	30.0%	6.9%	31.6%	1.1%	2.2%	10.1M	-180.7M	-6.3M	0.13	3.42	171,645	22,447	1,060,717	732,233
2010-02-03	$19.68	$20.00	24.0%	6.9%	30.2%	4.9%	25.2%	1.8%	3.0%	8.1M	-131.6M	-6.2M	0.66	3.32	33,194	21,934	1,063,807	738,094
2010-02-04	$19.02	$20.00	28.3%	8.1%	32.2%	14.3%	28.8%	3.2%	2.3%	3.5M	78.7M	-6.1M	0.62	3.77	79,860	49,563	1,075,309	748,311
2010-02-05	$19.47	$20.00	28.8%	9.2%	33.6%	15.4%	32.2%	4.7%	2.0%	6.7M	-93.2M	-6.5M	0.58	3.03	88,379	51,552	1,095,602	763,990
2010-02-08	$19.35	$20.00	29.8%	9.1%	33.2%	17.5%	31.7%	4.9%	1.9%	5.3M	-38.2M	-6.3M	0.54	3.08	42,949	23,025	1,100,367	765,525
2010-02-09	$19.65	$20.00	26.5%	8.3%	33.7%	10.4%	30.6%	4.8%	2.2%	8.0M	-151.3M	-6.4M	0.69	4.33	47,342	32,608	1,110,156	770,301
2010-02-10	$19.69	$20.00	25.6%	8.2%	33.4%	8.3%	29.2%	4.8%	2.5%	8.3M	-166.0M	-6.5M	0.28	2.55	53,091	14,618	1,116,271	787,580
2010-02-11	$20.06	$20.00	27.5%	7.9%	33.5%	12.5%	27.2%	4.5%	2.5%	14.0M	-340.6M	-6.6M	0.45	3.24	68,070	30,595	1,130,965	791,382
2010-02-12	$20.43	$20.00	28.1%	8.1%	32.9%	13.9%	27.3%	3.9%	2.4%	21.2M	-514.7M	-6.7M	0.39	3.32	86,660	33,402	1,151,739	793,277
2010-02-16	$20.72	$20.00	26.0%	7.4%	31.5%	9.2%	27.4%	4.4%	2.4%	28.0M	-652.3M	-6.5M	0.50	2.95	73,233	36,419	1,156,860	803,438
2010-02-17	$20.66	$20.00	25.2%	7.2%	31.2%	7.5%	27.3%	4.5%	2.9%	30.0M	-619.2M	-6.4M	1.16	3.42	44,431	51,485	1,154,916	794,650
2010-02-18	$20.84	$20.00	24.1%	6.9%	31.3%	5.0%	24.8%	4.6%	2.9%	44.1M	-682.8M	-6.4M	0.74	3.11	44,263	32,720	1,155,247	800,728
2010-02-19	$20.82	$20.00	23.1%	6.6%	31.1%	2.8%	24.8%	4.5%	3.6%	39.5M	-626.8M	-6.4M	0.64	3.16	48,994	31,373	1,155,328	810,392
2010-02-22	$20.87	$20.00	22.5%	6.5%	26.0%	1.7%	23.5%	3.0%	3.5%	23.8M	-577.2M	-6.2M	0.47	3.38	52,880	24,735	916,646	665,636
2010-02-23	$20.39	$20.00	25.6%	7.3%	26.6%	8.4%	25.2%	3.6%	2.9%	19.7M	-422.2M	-6.3M	1.10	3.83	45,568	50,184	939,347	675,636
2010-02-24	$20.70	$20.00	22.5%	6.5%	26.4%	1.6%	23.7%	3.9%	3.5%	24.3M	-524.4M	-6.3M	0.74	2.83	46,734	34,656	952,024	691,021
2010-02-25	$20.63	$20.00	22.3%	6.4%	26.2%	1.1%	23.7%	3.4%	3.9%	23.8M	-511.5M	-6.4M	1.09	2.47	23,729	25,939	966,046	710,272
2010-02-26	$20.53	$20.00	21.9%	6.3%	25.5%	0.3%	23.1%	3.4%	3.8%	22.7M	-470.1M	-6.4M	0.80	9.56	18,611	14,962	968,016	713,020