INTC Options History — August 2010

In August 2010, INTC traded between $17.66 and $21.15. ATM implied volatility averaged 27.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.2% (HV 20d: 25.5%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2010-08-03: Highest Volume — 982,517 contracts
2010-08-24: Largest IV spike — 13.5% change
2010-08-12: Highest IV Rank — 23.2%
2010-08-12: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.40	$17.66	$21.15	$21.15	$17.66
Max Pain	$20.50	$19.00	$22.00	$21.00	$19.00
ATM IV	27.8%	23.3%	31.0%	25.6%	30.5%
Expected Move	8.1%	7.1%	8.9%	7.3%	8.7%
HV 20d	25.5%	23.2%	27.8%	27.3%	23.4%
HV 60d	29.7%	26.2%	33.4%	33.4%	26.2%
IV Rank	16.3%	6.9%	23.2%	11.7%	22.1%
IV Percentile	43.1%	9.9%	66.3%	24.2%	63.5%
Term Structure	3.0%	0.9%	4.3%	0.9%	3.1%
VWIV	29.1%	26.4%	40.1%	26.5%	30.5%
Skew 25d	4.2%	2.0%	5.8%	4.0%	2.0%
Skew 10d	8.5%	2.9%	12.3%	10.5%	2.9%
Call IV 25d	27.0%	24.2%	30.9%	24.2%	30.9%
Put IV 25d	31.2%	28.2%	34.1%	28.2%	32.9%
Bid-Ask Spread %	2.65	2.06	3.74	2.16	3.23
Gamma HHI	0.12	0.10	0.17	0.12	0.12
Net GEX	-41.1K	-6.0M	11.1M	11.1M	-5.3M
Net DEX	207.6M	-273.6M	537.9M	-273.6M	537.9M
Net VEX	-6.4M	-7.1M	-5.9M	-7.1M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.03	1.43	0.69	0.43
Total Volume	149,700.409	39,301	982,517	78,115	137,748
Total OI	2,137,834.364	2,023,978	2,331,984	2,037,394	2,258,888

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
2010-08-02	$21.15	$21.00	25.6%	7.3%	27.3%	11.7%	26.5%	4.0%	0.9%	11.1M	-273.6M	-7.1M	0.69	2.16	46,233	31,882	1,137,939	899,455
2010-08-03	$20.87	$21.00	24.9%	7.1%	27.8%	10.2%	40.1%	3.4%	1.2%	7.9M	-162.5M	-6.9M	0.03	2.06	950,906	31,611	1,137,838	903,040
2010-08-04	$20.73	$21.00	25.5%	7.3%	25.6%	11.4%	26.5%	2.6%	1.5%	9.2M	-140.3M	-7.0M	0.49	2.12	43,946	21,654	1,123,341	900,637
2010-08-05	$20.67	$21.00	24.6%	7.1%	25.6%	9.6%	26.4%	3.3%	2.1%	8.3M	-114.3M	-7.0M	0.71	2.18	41,345	29,178	1,133,167	906,126
2010-08-06	$20.65	$22.00	23.3%	7.6%	25.6%	6.9%	28.1%	5.3%	2.6%	7.9M	-114.0M	-6.9M	0.70	2.53	35,525	24,992	1,138,080	919,185
2010-08-09	$20.65	$22.00	24.5%	7.5%	24.9%	9.4%	27.3%	5.1%	2.6%	7.8M	-91.4M	-6.8M	0.50	2.42	26,280	13,021	1,141,765	925,008
2010-08-10	$19.82	$22.00	26.6%	8.0%	27.6%	13.7%	28.6%	5.6%	2.6%	-132.1K	176.8M	-6.3M	0.66	2.50	105,615	69,278	1,144,754	927,462
2010-08-11	$19.43	$21.00	29.3%	8.8%	27.2%	19.5%	29.6%	5.8%	2.6%	-2.5M	271.4M	-6.3M	0.73	2.73	94,855	69,396	1,169,320	944,693
2010-08-12	$19.45	$21.00	31.0%	8.9%	27.0%	23.2%	30.5%	5.5%	2.6%	-308.2K	241.2M	-6.4M	0.88	2.51	47,530	41,957	1,198,697	959,016
2010-08-13	$19.15	$21.00	30.7%	8.8%	26.4%	22.4%	30.3%	5.1%	2.9%	-3.1M	330.1M	-6.2M	0.84	2.46	39,640	33,396	1,199,775	967,334
2010-08-16	$19.47	$20.00	30.0%	8.6%	25.0%	21.1%	29.3%	5.3%	3.4%	-917.9K	243.7M	-6.4M	1.09	2.42	37,485	40,788	1,213,236	979,564
2010-08-17	$19.53	$20.00	27.3%	7.8%	25.1%	15.2%	28.1%	4.7%	3.6%	-1.1M	232.9M	-6.4M	0.75	2.56	56,683	42,523	1,218,025	991,141
2010-08-18	$19.59	$20.00	26.6%	7.6%	24.7%	13.9%	27.4%	4.6%	3.6%	-473.2K	205.9M	-6.4M	1.43	2.54	36,245	51,886	1,224,619	1,000,724
2010-08-19	$18.90	$20.00	28.5%	8.2%	24.8%	17.8%	28.7%	3.7%	3.5%	-6.0M	417.6M	-6.2M	1.09	2.60	114,069	124,141	1,235,196	1,014,386
2010-08-20	$18.91	$20.00	26.9%	7.7%	24.9%	14.4%	27.3%	3.1%	3.7%	-6.0M	442.5M	-6.3M	0.64	2.42	101,760	65,122	1,276,396	1,055,588
2010-08-23	$18.70	$20.00	26.7%	7.7%	24.8%	14.1%	27.6%	3.7%	4.3%	-4.5M	322.0M	-6.3M	0.83	3.74	68,048	56,556	1,113,084	926,280
2010-08-24	$18.41	$20.00	30.4%	8.7%	25.0%	21.7%	29.9%	3.7%	3.3%	-4.5M	378.1M	-6.1M	0.78	3.50	50,913	39,753	1,144,405	940,996
2010-08-25	$18.48	$20.00	30.6%	8.8%	25.3%	22.2%	29.8%	4.6%	3.1%	-4.9M	376.9M	-6.3M	0.65	3.17	54,036	35,059	1,151,896	960,672
2010-08-26	$18.18	$20.00	30.2%	8.7%	25.3%	21.4%	30.0%	4.4%	3.7%	-4.9M	437.4M	-6.2M	0.27	2.35	111,546	30,358	1,171,004	968,028
2010-08-27	$18.37	$20.00	28.7%	8.2%	25.6%	18.3%	28.0%	4.2%	4.2%	-3.4M	354.4M	-6.3M	0.76	3.03	68,670	52,147	1,208,485	980,233
2010-08-30	$17.96	$19.00	28.5%	8.2%	23.2%	17.9%	29.0%	2.7%	4.3%	-5.1M	494.1M	-6.0M	0.86	2.94	64,480	55,153	1,222,161	1,000,717
2010-08-31	$17.66	$19.00	30.5%	8.7%	23.4%	22.1%	30.5%	2.0%	3.1%	-5.3M	537.9M	-5.9M	0.43	3.23	96,524	41,224	1,240,510	1,018,378