INTC Options History — October 2010

In October 2010, INTC traded between $18.87 and $20.47. ATM implied volatility averaged 27.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.5% (HV 20d: 19.8%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2010-10-12: Highest Volume — 361,292 contracts
2010-10-13: Largest IV drop — 40.6% change
2010-10-12: Highest IV Rank — 53.0%
2010-10-01: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.57	$18.87	$20.47	$19.32	$20.05
Max Pain	$19.00	$19.00	$19.00	$19.00	$19.00
ATM IV	27.3%	19.4%	45.1%	29.7%	25.8%
Expected Move	6.9%	5.6%	8.5%	8.5%	6.5%
HV 20d	19.8%	17.7%	22.0%	20.0%	20.1%
HV 60d	23.8%	22.6%	25.2%	24.8%	23.1%
IV Rank	15.7%	0.0%	53.0%	20.3%	13.4%
IV Percentile	37.0%	0.0%	96.4%	62.7%	29.8%
Term Structure	1.2%	-1.9%	2.4%	-1.9%	2.4%
VWIV	24.9%	21.0%	29.3%	29.3%	23.5%
Skew 25d	3.8%	1.6%	6.5%	6.5%	4.9%
Skew 10d	7.4%	3.1%	11.3%	9.9%	8.5%
Call IV 25d	22.9%	19.4%	27.3%	26.5%	21.2%
Put IV 25d	26.7%	22.1%	33.0%	33.0%	26.1%
Bid-Ask Spread %	3.05	2.33	4.05	2.33	2.89
Gamma HHI	0.18	0.13	0.28	0.16	0.17
Net GEX	8.5M	-33.5K	21.3M	5.2M	14.0M
Net DEX	-145.9M	-471.7M	161.3M	-39.5M	-374.5M
Net VEX	-7.2M	-7.6M	-6.7M	-7.3M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.28	1.73	1.73	0.74
Total Volume	130,442.714	48,211	361,292	67,512	88,078
Total OI	2,531,099.524	2,164,840	2,923,527	2,573,195	2,446,484

Daily Data (21 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
2010-10-01	$19.32	$19.00	29.7%	8.5%	20.0%	20.3%	29.3%	6.5%	-1.9%	5.2M	-39.5M	-7.3M	1.73	2.33	24,731	42,781	1,401,503	1,171,692
2010-10-04	$18.87	$19.00	31.3%	7.9%	22.0%	23.7%	29.3%	6.0%	1.9%	266.5K	161.3M	-6.9M	0.98	3.16	43,029	42,263	1,402,730	1,161,665
2010-10-05	$19.15	$19.00	31.7%	7.8%	21.4%	24.7%	28.5%	5.6%	1.4%	2.9M	57.9M	-7.0M	0.72	3.59	35,302	25,473	1,412,624	1,180,460
2010-10-06	$19.31	$19.00	34.6%	8.2%	20.7%	30.8%	28.3%	5.1%	0.4%	4.5M	-20.4M	-7.1M	0.28	3.57	158,931	43,984	1,417,957	1,188,433
2010-10-07	$19.40	$19.00	36.4%	8.1%	20.7%	34.5%	27.9%	4.7%	0.5%	13.0M	-120.1M	-7.3M	0.52	3.15	49,198	25,603	1,489,958	1,201,336
2010-10-08	$19.52	$19.00	32.5%	7.4%	20.6%	26.3%	27.2%	4.2%	1.4%	15.1M	-186.1M	-7.2M	0.63	2.92	55,857	35,260	1,497,156	1,198,313
2010-10-11	$19.56	$19.00	41.4%	7.9%	17.7%	45.1%	27.8%	3.8%	0.0%	15.7M	-225.1M	-7.1M	0.74	3.05	104,859	77,654	1,496,864	1,194,996
2010-10-12	$19.77	$19.00	45.1%	8.2%	17.8%	53.0%	28.8%	4.1%	-1.0%	21.3M	-353.4M	-7.1M	0.51	4.05	238,566	122,726	1,526,833	1,201,811
2010-10-13	$19.24	$19.00	26.8%	7.1%	20.7%	14.3%	24.9%	1.6%	1.8%	5.9M	22.4M	-6.7M	0.60	2.36	222,061	132,851	1,617,410	1,238,593
2010-10-14	$19.32	$19.00	24.6%	7.1%	20.2%	9.6%	24.9%	2.8%	1.8%	3.7M	-39.0M	-7.0M	0.82	2.78	63,224	52,139	1,635,239	1,261,412
2010-10-15	$19.32	$19.00	23.7%	6.8%	19.9%	7.7%	23.5%	2.9%	2.3%	3.2M	-85.8M	-7.0M	0.84	3.15	75,503	63,469	1,645,217	1,278,310
2010-10-18	$19.19	$19.00	21.9%	6.3%	20.0%	3.9%	22.0%	3.4%	0.9%	341.5K	17.1M	-6.7M	0.85	3.66	51,971	44,002	1,132,606	1,032,234
2010-10-19	$19.21	$19.00	21.6%	6.2%	19.6%	3.2%	21.8%	2.4%	1.3%	-33.5K	13.3M	-6.9M	1.10	3.85	50,379	55,616	1,155,074	1,060,317
2010-10-20	$19.64	$19.00	20.6%	5.9%	20.9%	1.1%	21.4%	2.6%	1.7%	4.8M	-161.9M	-7.1M	0.85	2.72	92,375	78,586	1,169,980	1,082,856
2010-10-21	$19.76	$19.00	20.4%	5.8%	20.9%	0.7%	22.5%	3.2%	2.2%	7.5M	-163.3M	-7.2M	1.27	2.94	47,806	60,527	1,199,027	1,107,190
2010-10-22	$19.84	$19.00	19.4%	5.6%	19.5%	0.0%	21.3%	2.7%	2.1%	9.5M	-203.2M	-7.4M	0.56	2.52	30,820	17,391	1,220,524	1,135,816
2010-10-25	$19.87	$19.00	20.5%	5.9%	19.0%	2.3%	21.0%	3.0%	1.9%	11.0M	-234.9M	-7.4M	1.14	2.60	32,052	36,647	1,215,906	1,137,541
2010-10-26	$20.04	$19.00	20.8%	6.0%	18.7%	3.0%	21.7%	2.2%	2.1%	12.7M	-310.0M	-7.4M	1.05	3.31	48,292	50,778	1,224,053	1,158,705
2010-10-27	$20.19	$19.00	21.6%	6.2%	17.9%	4.6%	23.6%	4.5%	1.7%	12.9M	-347.4M	-7.6M	1.10	2.91	46,734	51,499	1,236,608	1,178,227
2010-10-28	$20.47	$19.00	22.7%	6.5%	18.3%	6.9%	23.6%	4.0%	0.6%	15.1M	-471.7M	-7.6M	0.50	2.61	80,075	40,205	1,243,267	1,196,163
2010-10-29	$20.05	$19.00	25.8%	6.5%	20.1%	13.4%	23.5%	4.9%	2.4%	14.0M	-374.5M	-7.4M	0.74	2.89	50,502	37,576	1,247,916	1,198,568