INTC Options History — December 2010

In December 2010, INTC traded between $20.84 and $21.91. ATM implied volatility averaged 21.8%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.3% (HV 20d: 13.4%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.86.

Notable Days

2010-12-10: Highest Volume — 113,538 contracts
2010-12-02: Largest IV drop — 26.5% change
2010-12-01: Highest IV Rank — 16.5%
2010-12-31: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.34	$20.84	$21.91	$21.48	$21.03
Max Pain	$20.14	$20.00	$21.00	$21.00	$20.00
ATM IV	21.8%	17.5%	27.3%	27.3%	24.3%
Expected Move	6.4%	5.5%	7.0%	6.4%	7.0%
HV 20d	13.4%	11.0%	15.6%	15.5%	11.0%
HV 60d	17.5%	15.9%	18.7%	18.7%	15.9%
IV Rank	7.6%	0.0%	16.5%	16.5%	13.7%
IV Percentile	14.9%	0.0%	48.0%	48.0%	31.7%
Term Structure	0.6%	-1.8%	5.0%	2.4%	-1.8%
VWIV	23.1%	19.6%	26.1%	21.9%	26.1%
Skew 25d	2.2%	0.0%	3.7%	2.7%	0.1%
Skew 10d	5.6%	1.2%	10.2%	5.3%	2.1%
Call IV 25d	22.3%	19.7%	26.0%	21.2%	26.0%
Put IV 25d	24.5%	20.8%	26.0%	23.9%	26.0%
Bid-Ask Spread %	2.68	1.57	4.43	2.97	1.85
Gamma HHI	0.17	0.13	0.26	0.14	0.16
Net GEX	15.4M	-284.5K	33.3M	17.8M	6.8M
Net DEX	-584.3M	-972.0M	-207.9M	-665.2M	-379.8M
Net VEX	-6.3M	-7.2M	-5.9M	-7.2M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.28	1.82	0.43	0.84
Total Volume	68,300.455	34,294	113,538	80,517	34,294
Total OI	2,542,389.727	2,295,108	2,720,928	2,613,451	2,429,351

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
2010-12-01	$21.48	$21.00	27.3%	6.4%	15.5%	16.5%	21.9%	2.7%	2.4%	17.8M	-665.2M	-7.2M	0.43	2.97	56,207	24,310	1,268,229	1,345,222
2010-12-02	$21.70	$21.00	20.1%	5.6%	15.6%	1.4%	20.6%	2.3%	5.0%	21.1M	-806.2M	-7.0M	0.42	3.80	28,402	12,052	1,279,136	1,346,691
2010-12-03	$21.69	$21.00	19.3%	5.5%	13.6%	0.0%	19.6%	1.1%	4.8%	23.3M	-852.6M	-6.8M	0.28	3.51	60,375	17,078	1,282,452	1,351,688
2010-12-06	$21.70	$20.00	21.5%	6.8%	13.0%	4.6%	24.3%	3.6%	-0.3%	25.4M	-798.3M	-7.0M	1.26	2.24	22,569	28,342	1,292,615	1,353,576
2010-12-07	$21.58	$20.00	19.5%	6.7%	13.2%	0.6%	22.6%	3.7%	-0.4%	24.2M	-772.4M	-6.6M	0.62	4.43	41,795	26,047	1,283,036	1,357,655
2010-12-08	$21.82	$20.00	18.9%	6.2%	13.5%	0.0%	22.8%	3.3%	1.6%	27.4M	-888.2M	-6.5M	0.58	3.45	37,612	21,644	1,288,210	1,363,439
2010-12-09	$21.81	$20.00	18.1%	6.3%	13.3%	0.0%	22.8%	2.4%	1.2%	33.3M	-972.0M	-6.3M	1.19	4.06	50,055	59,694	1,286,519	1,358,181
2010-12-10	$21.91	$20.00	17.5%	6.2%	13.1%	0.0%	22.7%	2.6%	0.8%	29.6M	-917.8M	-6.6M	0.40	3.87	80,938	32,600	1,292,843	1,386,088
2010-12-13	$21.50	$20.00	21.6%	6.9%	14.0%	8.3%	24.2%	3.5%	0.6%	26.5M	-694.3M	-6.6M	1.17	3.07	47,928	56,006	1,315,367	1,381,382
2010-12-14	$21.47	$20.00	22.0%	6.8%	13.5%	9.1%	24.7%	3.6%	0.4%	23.7M	-673.6M	-6.3M	1.44	3.59	28,088	40,522	1,311,188	1,401,859
2010-12-15	$21.28	$20.00	23.3%	6.7%	13.3%	11.6%	23.4%	3.5%	0.5%	20.3M	-598.7M	-6.2M	1.31	1.98	23,714	30,995	1,315,506	1,405,422
2010-12-16	$21.30	$20.00	22.7%	6.5%	13.3%	10.6%	22.9%	2.9%	0.6%	19.7M	-623.6M	-6.1M	0.59	2.10	25,931	15,430	1,315,777	1,399,094
2010-12-17	$21.46	$20.00	22.2%	6.4%	13.4%	9.5%	22.1%	2.9%	0.6%	11.0M	-751.3M	-6.0M	1.30	1.69	30,285	39,484	1,322,011	1,393,648
2010-12-20	$21.23	$20.00	21.7%	6.2%	13.9%	8.4%	21.9%	2.1%	0.2%	8.8M	-432.2M	-6.0M	0.67	1.84	46,628	31,230	1,126,153	1,168,955
2010-12-21	$21.10	$20.00	21.5%	6.2%	14.0%	8.0%	21.9%	1.4%	0.2%	7.4M	-383.6M	-6.0M	1.57	2.09	42,169	66,118	1,142,514	1,183,484
2010-12-22	$20.89	$20.00	21.8%	6.3%	14.2%	8.7%	23.3%	0.9%	-0.1%	563.6K	-254.3M	-6.0M	1.82	2.04	27,533	50,040	1,132,081	1,211,093
2010-12-23	$20.84	$20.00	21.9%	6.3%	13.1%	8.9%	22.6%	1.3%	0.0%	-284.5K	-207.9M	-6.1M	0.94	1.82	20,074	18,862	1,134,534	1,211,716
2010-12-27	$20.84	$20.00	22.8%	6.5%	13.1%	10.7%	23.9%	1.6%	-0.6%	1.4M	-246.9M	-5.9M	0.35	2.61	30,301	10,603	1,140,364	1,217,648
2010-12-28	$20.88	$20.00	23.2%	6.7%	13.1%	11.5%	24.1%	0.9%	-0.7%	1.4M	-251.2M	-5.9M	0.56	1.93	27,882	15,659	1,150,485	1,214,129
2010-12-29	$20.94	$20.00	23.5%	6.7%	13.0%	12.1%	24.5%	1.1%	-1.0%	3.3M	-303.1M	-6.0M	0.69	1.57	37,936	26,099	1,158,647	1,218,364
2010-12-30	$21.02	$20.00	23.8%	6.8%	11.7%	12.6%	24.8%	0.0%	-1.3%	5.8M	-380.5M	-6.1M	0.54	2.36	51,292	27,787	1,174,596	1,221,626
2010-12-31	$21.03	$20.00	24.3%	7.0%	11.0%	13.7%	26.1%	0.1%	-1.8%	6.8M	-379.8M	-6.0M	0.84	1.85	18,605	15,689	1,194,993	1,234,358