INTC Options History — March 2010

In March 2010, INTC traded between $20.52 and $22.67. ATM implied volatility averaged 25.2%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.7% (HV 20d: 19.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2010-03-16: Highest Volume — 247,665 contracts
2010-03-11: Largest IV spike — 28.7% change
2010-03-31: Highest IV Rank — 18.4%
2010-03-31: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.62	$20.52	$22.67	$20.87	$22.29
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	25.2%	20.1%	28.8%	22.3%	28.8%
Expected Move	7.5%	6.2%	8.2%	6.4%	8.2%
HV 20d	19.6%	15.6%	23.9%	23.7%	18.0%
HV 60d	25.1%	24.4%	25.9%	25.8%	24.4%
IV Rank	10.3%	0.0%	18.4%	1.1%	18.4%
IV Percentile	18.2%	0.0%	40.5%	0.8%	40.5%
Term Structure	-0.6%	-2.9%	4.4%	3.5%	-2.9%
VWIV	27.0%	22.6%	29.6%	23.7%	29.0%
Skew 25d	3.6%	2.1%	4.8%	3.4%	2.7%
Skew 10d	8.6%	4.5%	11.3%	8.9%	8.0%
Call IV 25d	25.2%	21.7%	28.1%	22.2%	28.1%
Put IV 25d	28.9%	24.6%	30.8%	25.6%	30.8%
Bid-Ask Spread %	3.38	2.00	5.72	4.57	2.40
Gamma HHI	0.26	0.16	0.73	0.21	0.19
Net GEX	35.8M	22.9M	134.4M	28.5M	23.5M
Net DEX	-828.9M	-1.28B	-455.5M	-601.8M	-864.1M
Net VEX	-6.4M	-6.6M	-6.1M	-6.3M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.20	1.56	0.48	0.46
Total Volume	86,686.217	40,209	247,665	66,295	41,759
Total OI	1,817,394.087	1,687,210	2,012,347	1,687,210	1,813,575

Daily Data (23 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
2010-03-01	$20.87	$20.00	22.3%	6.4%	23.7%	1.1%	23.7%	3.4%	3.5%	28.5M	-601.8M	-6.3M	0.48	4.57	44,821	21,474	972,176	715,034
2010-03-02	$20.70	$20.00	23.0%	6.6%	23.9%	2.8%	24.0%	3.3%	3.2%	26.7M	-537.3M	-6.4M	0.51	4.43	42,006	21,264	991,380	718,580
2010-03-03	$20.52	$20.00	21.8%	6.2%	23.8%	0.0%	22.6%	2.9%	4.2%	24.5M	-468.8M	-6.3M	0.52	3.64	34,797	18,121	994,101	725,962
2010-03-04	$20.53	$20.00	21.5%	6.2%	23.3%	0.0%	23.4%	2.9%	4.4%	23.4M	-455.5M	-6.3M	0.45	5.72	41,138	18,338	1,000,016	732,026
2010-03-05	$20.79	$20.00	20.1%	7.3%	19.2%	0.0%	26.4%	4.6%	0.0%	29.9M	-584.5M	-6.2M	0.63	3.06	55,213	34,760	1,014,050	736,679
2010-03-08	$20.77	$20.00	21.6%	7.5%	17.9%	3.2%	27.0%	4.3%	-0.6%	28.8M	-568.3M	-6.2M	0.35	3.64	38,913	13,769	1,030,612	756,046
2010-03-09	$20.94	$20.00	21.3%	7.7%	17.6%	2.5%	27.6%	4.5%	-1.4%	32.6M	-655.9M	-6.3M	0.94	5.03	71,510	67,545	1,047,768	760,462
2010-03-10	$21.19	$20.00	21.4%	7.8%	17.4%	2.7%	28.2%	4.8%	-1.7%	34.5M	-748.8M	-6.4M	0.72	4.40	50,733	36,298	1,057,447	798,332
2010-03-11	$21.25	$20.00	27.5%	7.9%	17.4%	15.7%	26.7%	4.6%	-1.2%	34.2M	-747.6M	-6.6M	0.50	2.98	41,537	20,941	1,071,335	825,244
2010-03-12	$21.27	$20.00	27.0%	7.7%	16.5%	14.7%	27.0%	4.2%	-1.3%	36.0M	-779.4M	-6.6M	0.50	2.58	31,893	16,061	1,085,624	833,943
2010-03-15	$21.17	$20.00	27.2%	7.8%	15.6%	14.9%	27.9%	4.5%	-1.7%	41.1M	-745.6M	-6.5M	0.52	4.10	26,394	13,815	1,085,624	833,943
2010-03-16	$22.01	$20.00	26.5%	7.6%	20.1%	13.5%	27.6%	4.2%	-1.8%	46.2M	-1.15B	-6.5M	0.20	3.75	206,587	41,078	1,095,316	846,728
2010-03-17	$22.24	$20.00	27.1%	7.8%	20.1%	14.9%	28.4%	3.7%	-1.8%	49.5M	-1.28B	-6.5M	0.72	2.99	80,734	57,740	1,124,547	858,496
2010-03-18	$22.20	$20.00	25.8%	7.4%	20.1%	12.2%	27.2%	3.4%	-0.8%	59.7M	-1.24B	-6.5M	0.66	4.25	56,951	37,852	1,124,617	881,746
2010-03-19	$21.99	$20.00	26.6%	7.6%	20.6%	13.7%	27.2%	3.3%	-1.2%	134.4M	-1.10B	-6.5M	0.42	3.21	104,954	43,695	1,117,828	894,519
2010-03-22	$22.24	$20.00	25.4%	7.3%	20.8%	11.3%	26.2%	3.5%	-0.9%	24.6M	-901.9M	-6.1M	0.92	2.97	35,964	33,162	928,982	761,222
2010-03-23	$22.67	$20.00	25.3%	7.3%	19.0%	11.1%	26.9%	3.6%	-2.1%	25.1M	-1.05B	-6.2M	0.48	2.39	85,810	41,340	938,792	771,198
2010-03-24	$22.43	$20.00	28.3%	8.1%	19.4%	17.3%	29.6%	3.7%	-2.2%	23.8M	-953.5M	-6.3M	1.15	2.66	58,981	67,875	956,058	786,445
2010-03-25	$22.35	$20.00	28.1%	8.1%	19.4%	17.0%	28.0%	3.1%	-2.0%	22.9M	-929.1M	-6.4M	0.38	2.27	40,595	15,339	966,217	817,815
2010-03-26	$22.24	$20.00	27.7%	7.9%	19.4%	16.0%	29.2%	2.1%	-1.5%	23.6M	-897.8M	-6.3M	1.56	2.54	30,082	46,810	966,758	800,163
2010-03-29	$22.33	$20.00	27.9%	8.0%	18.9%	16.4%	29.6%	3.2%	-2.2%	24.9M	-897.3M	-6.3M	0.83	2.00	24,848	20,666	972,198	801,917
2010-03-30	$22.34	$20.00	28.7%	8.2%	18.4%	18.2%	28.7%	3.4%	-2.6%	24.8M	-905.6M	-6.2M	0.96	2.17	30,430	29,190	979,472	809,071
2010-03-31	$22.29	$20.00	28.8%	8.2%	18.0%	18.4%	29.0%	2.7%	-2.9%	23.5M	-864.1M	-6.3M	0.46	2.40	28,603	13,156	986,786	826,789