INTC Options History — May 2010

In May 2010, INTC traded between $20.67 and $23.26. ATM implied volatility averaged 33.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 1.9% (HV 20d: 35.3%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.65.

Notable Days

2010-05-04: Highest Volume — 210,716 contracts
2010-05-10: Largest IV drop — 25.3% change
2010-05-20: Highest IV Rank — 50.2%
2010-05-20: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.76	$20.67	$23.26	$23.26	$21.42
Max Pain	$22.35	$22.00	$23.00	$23.00	$22.00
ATM IV	33.4%	23.4%	43.8%	23.4%	32.4%
Expected Move	9.5%	6.7%	12.6%	6.7%	9.3%
HV 20d	35.3%	24.0%	43.4%	24.0%	42.7%
HV 60d	25.8%	20.3%	29.8%	20.3%	29.8%
IV Rank	28.1%	7.1%	50.2%	7.1%	26.1%
IV Percentile	65.9%	9.9%	93.3%	9.9%	67.9%
Term Structure	0.8%	-1.2%	3.0%	1.6%	2.2%
VWIV	34.3%	24.3%	45.7%	24.3%	32.2%
Skew 25d	7.6%	2.7%	12.3%	2.7%	7.8%
Skew 10d	16.1%	4.6%	28.4%	4.6%	17.5%
Call IV 25d	30.9%	22.8%	39.7%	22.8%	28.8%
Put IV 25d	38.4%	25.5%	51.9%	25.5%	36.7%
Bid-Ask Spread %	3.75	2.08	5.43	3.82	4.18
Gamma HHI	0.14	0.10	0.36	0.19	0.10
Net GEX	9.7M	-16.2M	26.8M	21.8M	10.8M
Net DEX	-369.0M	-864.4M	-10.0M	-769.0M	-362.0M
Net VEX	-8.0M	-8.2M	-7.4M	-7.4M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.23	1.17	0.27	1.04
Total Volume	125,475.65	60,007	210,716	79,301	60,007
Total OI	2,005,007.15	1,840,783	2,199,272	1,840,783	1,973,729

Daily Data (20 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
2010-05-03	$23.26	$23.00	23.4%	6.7%	24.0%	7.1%	24.3%	2.7%	1.6%	21.8M	-769.0M	-7.4M	0.27	3.82	62,611	16,690	1,052,471	788,312
2010-05-04	$22.56	$23.00	27.2%	7.8%	26.4%	15.1%	30.6%	3.2%	0.4%	13.5M	-512.1M	-7.6M	0.29	2.78	163,731	46,985	1,062,727	795,895
2010-05-05	$22.17	$23.00	28.9%	8.3%	27.1%	18.7%	29.2%	3.4%	0.6%	11.7M	-430.1M	-7.9M	0.51	2.08	91,798	46,599	1,092,597	817,223
2010-05-06	$21.51	$23.00	32.6%	9.3%	29.1%	26.4%	33.7%	3.4%	-1.2%	8.1M	-241.5M	-7.9M	0.76	5.43	108,424	81,874	1,118,328	815,692
2010-05-07	$21.31	$23.00	39.0%	10.8%	28.8%	40.0%	37.0%	8.3%	0.4%	7.0M	-200.1M	-8.1M	0.68	4.13	117,397	79,855	1,152,236	847,113
2010-05-10	$22.55	$22.00	29.1%	8.2%	35.7%	19.1%	29.2%	6.9%	1.5%	16.1M	-593.1M	-8.2M	0.35	4.20	82,822	29,142	1,152,244	856,437
2010-05-11	$22.28	$22.00	31.7%	9.0%	35.7%	24.6%	31.7%	6.9%	1.1%	13.0M	-485.9M	-8.1M	0.23	3.89	77,095	18,052	1,161,398	855,018
2010-05-12	$23.09	$22.00	26.7%	7.9%	36.1%	14.0%	28.0%	6.8%	1.3%	26.8M	-864.4M	-8.1M	0.60	3.58	70,605	42,039	1,185,628	853,894
2010-05-13	$22.50	$23.00	30.9%	8.8%	35.3%	22.8%	30.0%	6.3%	1.3%	17.8M	-600.2M	-8.1M	0.98	4.86	40,314	39,658	1,193,790	864,070
2010-05-14	$21.89	$23.00	34.3%	9.8%	36.2%	30.1%	35.5%	8.1%	0.4%	8.4M	-342.4M	-8.1M	0.48	4.63	96,015	45,791	1,199,464	879,590
2010-05-17	$22.02	$22.00	34.3%	9.8%	36.3%	30.0%	35.0%	7.9%	0.8%	10.6M	-410.8M	-8.0M	0.62	3.42	45,584	28,245	1,226,306	890,349
2010-05-18	$21.43	$22.00	37.8%	10.8%	37.0%	37.5%	36.7%	7.8%	-0.1%	4.9M	-206.6M	-8.0M	0.40	3.30	58,456	23,580	1,232,705	895,774
2010-05-19	$21.60	$22.00	36.5%	10.5%	37.2%	34.8%	38.6%	9.1%	0.7%	6.6M	-271.5M	-8.2M	1.11	3.72	62,231	68,871	1,246,756	893,266
2010-05-20	$20.79	$22.00	43.8%	12.6%	38.7%	50.2%	45.7%	12.1%	-1.1%	617.8K	-19.8M	-8.0M	1.17	4.96	78,419	91,490	1,248,845	914,399
2010-05-21	$20.91	$22.00	41.1%	11.8%	38.8%	44.5%	43.9%	12.3%	0.5%	-16.2M	-10.0M	-8.1M	0.99	3.23	95,896	94,937	1,267,384	931,888
2010-05-24	$20.67	$22.00	38.5%	11.0%	38.8%	38.9%	40.3%	11.3%	0.6%	6.0M	-177.9M	-7.9M	0.74	3.00	46,345	34,405	1,077,925	809,147
2010-05-25	$20.85	$22.00	35.7%	10.2%	38.9%	33.0%	37.8%	11.1%	1.8%	6.9M	-214.5M	-7.8M	0.50	3.84	93,411	46,780	1,081,616	808,982
2010-05-26	$20.70	$22.00	35.1%	10.1%	38.9%	31.7%	35.6%	8.1%	0.8%	6.9M	-198.6M	-7.8M	0.68	2.61	54,043	36,572	1,100,058	816,936
2010-05-27	$21.76	$22.00	27.9%	8.0%	43.4%	16.6%	29.9%	8.1%	3.0%	13.4M	-469.6M	-7.9M	0.54	3.28	86,255	46,489	1,108,648	831,303
2010-05-28	$21.42	$22.00	32.4%	9.3%	42.7%	26.1%	32.2%	7.8%	2.2%	10.8M	-362.0M	-8.0M	1.04	4.18	29,460	30,547	1,130,564	843,165