INTC Options History — June 2010

In June 2010, INTC traded between $19.45 and $21.90. ATM implied volatility averaged 34.4%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.8% (HV 20d: 37.2%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2010-06-08: Highest Volume — 136,532 contracts
2010-06-04: Largest IV spike — 23.7% change
2010-06-07: Highest IV Rank — 48.5%
2010-06-07: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.78	$19.45	$21.90	$21.18	$19.45
Max Pain	$21.14	$21.00	$22.00	$22.00	$21.00
ATM IV	34.4%	29.0%	43.0%	37.0%	42.0%
Expected Move	9.9%	8.3%	12.3%	10.6%	12.0%
HV 20d	37.2%	30.1%	44.9%	42.0%	30.1%
HV 60d	32.1%	29.8%	33.4%	29.8%	33.4%
IV Rank	30.4%	18.9%	48.5%	35.8%	46.4%
IV Percentile	73.8%	50.4%	92.9%	84.9%	91.7%
Term Structure	-0.7%	-4.1%	3.8%	0.1%	-3.8%
VWIV	34.9%	29.8%	41.7%	36.8%	40.6%
Skew 25d	7.5%	5.4%	10.4%	9.2%	8.0%
Skew 10d	15.5%	11.1%	22.7%	18.1%	15.7%
Call IV 25d	32.0%	27.1%	38.1%	33.2%	38.1%
Put IV 25d	39.4%	33.2%	48.2%	42.3%	46.1%
Bid-Ask Spread %	2.70	1.84	4.18	3.30	2.61
Gamma HHI	0.10	0.09	0.12	0.10	0.09
Net GEX	8.4M	1.1M	16.1M	9.2M	1.1M
Net DEX	-212.2M	-523.3M	145.1M	-287.6M	145.1M
Net VEX	-7.2M	-8.0M	-6.5M	-7.9M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.44	1.43	0.76	0.73
Total Volume	76,764.364	46,913	136,532	48,772	73,723
Total OI	2,052,084.227	1,938,362	2,188,078	1,980,668	2,061,706

Daily Data (22 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
2010-06-01	$21.18	$22.00	37.0%	10.6%	42.0%	35.8%	36.8%	9.2%	0.1%	9.2M	-287.6M	-7.9M	0.76	3.30	27,690	21,082	1,134,892	845,776
2010-06-02	$21.81	$22.00	29.9%	8.6%	42.5%	20.8%	32.3%	9.0%	3.1%	14.4M	-472.6M	-7.9M	1.08	2.79	38,926	42,214	1,138,159	847,360
2010-06-03	$21.90	$22.00	29.0%	8.3%	42.1%	18.9%	29.9%	7.4%	3.8%	16.1M	-523.3M	-8.0M	1.43	3.25	28,409	40,746	1,154,780	856,206
2010-06-04	$20.95	$21.00	35.9%	11.0%	43.7%	33.5%	38.2%	10.4%	-1.9%	7.9M	-220.6M	-7.8M	0.79	4.18	43,172	34,033	1,159,946	859,749
2010-06-07	$20.31	$21.00	43.0%	12.3%	44.9%	48.5%	41.7%	10.3%	-4.1%	4.0M	-57.1M	-7.3M	0.74	3.53	50,541	37,254	1,163,053	855,404
2010-06-08	$20.18	$21.00	38.5%	11.5%	39.1%	38.9%	39.5%	9.3%	-2.9%	2.5M	2.8M	-7.2M	0.55	2.67	88,182	48,350	1,173,146	869,082
2010-06-09	$19.93	$21.00	37.1%	11.1%	39.1%	35.9%	40.3%	8.8%	-2.1%	2.0M	46.4M	-7.1M	0.97	2.71	48,058	46,537	1,194,365	877,365
2010-06-10	$20.55	$21.00	34.1%	9.8%	38.4%	29.7%	35.4%	7.1%	0.0%	4.8M	-119.1M	-7.4M	0.50	3.12	37,982	18,971	1,207,288	905,719
2010-06-11	$20.64	$21.00	32.9%	9.4%	37.8%	27.1%	34.9%	7.0%	0.3%	5.1M	-119.7M	-7.3M	0.49	2.62	31,442	15,471	1,212,854	899,814
2010-06-14	$20.89	$21.00	32.5%	9.3%	37.2%	26.2%	32.8%	6.3%	0.3%	7.3M	-231.4M	-7.3M	0.44	2.72	52,649	23,222	1,221,551	902,591
2010-06-15	$21.48	$21.00	30.6%	8.8%	38.7%	22.3%	29.8%	5.5%	0.7%	14.6M	-453.7M	-7.2M	0.59	2.23	53,018	31,503	1,226,883	903,163
2010-06-16	$21.49	$21.00	31.9%	9.2%	37.4%	25.1%	31.4%	6.0%	-0.1%	13.9M	-472.1M	-7.3M	0.54	2.16	35,418	19,153	1,246,674	916,737
2010-06-17	$21.52	$21.00	29.1%	8.3%	37.3%	19.0%	30.5%	5.4%	1.0%	15.0M	-482.5M	-7.2M	0.80	2.22	56,092	44,912	1,250,425	917,406
2010-06-18	$21.40	$21.00	30.4%	8.7%	34.6%	21.8%	29.8%	6.0%	0.3%	13.0M	-448.0M	-7.2M	0.85	2.57	39,328	33,406	1,257,696	930,382
2010-06-21	$21.19	$21.00	31.4%	9.0%	34.8%	24.0%	31.2%	6.9%	-1.2%	11.7M	-326.7M	-7.1M	0.54	2.62	42,817	23,133	1,118,808	819,554
2010-06-22	$20.98	$21.00	32.7%	9.4%	34.7%	26.7%	33.4%	6.6%	-1.2%	11.5M	-278.0M	-7.1M	0.84	1.84	35,817	30,147	1,138,124	825,098
2010-06-23	$20.81	$21.00	32.8%	9.4%	34.7%	27.0%	33.0%	6.7%	-1.1%	9.9M	-227.7M	-7.0M	0.64	2.39	37,725	24,080	1,140,850	828,312
2010-06-24	$20.32	$21.00	36.9%	10.6%	35.7%	35.5%	36.1%	7.6%	-1.7%	6.1M	-70.2M	-6.8M	0.84	2.67	39,966	33,529	1,152,171	837,895
2010-06-25	$20.03	$21.00	35.7%	10.2%	30.4%	33.0%	36.2%	6.8%	-0.9%	4.2M	-6.9M	-6.8M	0.86	2.62	54,654	47,197	1,158,953	851,590
2010-06-28	$20.36	$21.00	35.7%	10.2%	30.9%	33.0%	34.8%	6.0%	-1.3%	6.4M	-102.4M	-6.8M	0.57	2.60	42,446	24,286	1,175,973	866,514
2010-06-29	$19.79	$21.00	38.7%	11.1%	32.2%	39.4%	39.2%	8.2%	-2.6%	4.1M	36.0M	-6.7M	0.66	1.93	55,277	36,258	1,184,245	857,594
2010-06-30	$19.45	$21.00	42.0%	12.0%	30.1%	46.4%	40.6%	8.0%	-3.8%	1.1M	145.1M	-6.5M	0.73	2.61	42,698	31,025	1,191,845	869,861