INTC Options History — February 2011

In February 2011, INTC traded between $21.15 and $22.14. ATM implied volatility averaged 19.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 14.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2011-02-02: Highest Volume — 804,772 contracts
2011-02-28: Largest IV spike — 24.7% change
2011-02-28: Highest IV Rank — 30.2%
2011-02-24: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.64	$21.15	$22.14	$21.48	$21.47
Max Pain	$20.95	$20.00	$21.00	$21.00	$21.00
ATM IV	19.0%	15.3%	26.9%	18.7%	26.9%
Expected Move	5.5%	4.7%	6.6%	5.4%	6.5%
HV 20d	14.9%	13.0%	20.2%	15.6%	20.2%
HV 60d	13.8%	13.0%	16.1%	13.6%	16.1%
IV Rank	8.7%	0.0%	30.2%	3.5%	30.2%
IV Percentile	10.2%	0.0%	55.6%	2.4%	55.6%
Term Structure	0.9%	-0.1%	1.8%	1.8%	0.3%
VWIV	20.2%	17.1%	23.1%	18.8%	22.0%
Skew 25d	2.6%	0.1%	4.4%	4.3%	3.2%
Skew 10d	8.0%	4.5%	20.4%	20.4%	6.9%
Call IV 25d	19.0%	17.1%	22.0%	19.0%	21.1%
Put IV 25d	21.6%	18.1%	26.3%	23.3%	24.3%
Bid-Ask Spread %	3.57	2.83	4.20	3.50	3.69
Gamma HHI	0.33	0.20	0.55	0.25	0.28
Net GEX	34.1M	16.5M	68.6M	27.5M	26.0M
Net DEX	-551.7M	-857.1M	-252.6M	-525.3M	-374.7M
Net VEX	-7.5M	-7.8M	-7.2M	-7.6M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.02	1.51	0.51	0.73
Total Volume	147,164.263	61,211	804,772	133,167	99,782
Total OI	2,204,076.158	1,943,782	2,394,445	2,182,537	2,060,529

Daily Data (19 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
2011-02-01	$21.48	$21.00	18.7%	5.4%	15.6%	3.5%	18.8%	4.3%	1.8%	27.5M	-525.3M	-7.6M	0.51	3.50	88,478	44,689	1,146,769	1,035,768
2011-02-02	$21.56	$21.00	17.1%	4.9%	14.8%	0.0%	17.1%	0.1%	0.8%	30.1M	-581.9M	-7.5M	0.02	3.24	786,092	18,680	1,174,590	1,057,877
2011-02-03	$21.57	$21.00	16.5%	4.7%	14.3%	0.0%	18.0%	1.8%	1.8%	30.2M	-531.0M	-7.7M	0.78	3.17	36,246	28,114	1,136,199	1,056,934
2011-02-04	$21.68	$20.00	15.5%	5.1%	13.9%	0.0%	20.4%	3.3%	1.3%	33.7M	-579.9M	-7.6M	0.58	3.20	49,724	28,870	1,137,446	1,053,601
2011-02-07	$21.69	$21.00	16.6%	5.2%	13.6%	2.8%	20.6%	2.8%	0.9%	35.2M	-602.5M	-7.2M	0.46	3.43	65,314	29,836	1,138,136	1,066,793
2011-02-08	$21.64	$21.00	15.3%	5.1%	13.7%	0.0%	20.3%	2.5%	0.8%	35.4M	-571.0M	-7.5M	0.84	4.06	37,886	31,923	1,163,598	1,082,426
2011-02-09	$21.46	$21.00	17.4%	5.5%	13.0%	5.3%	20.9%	2.2%	0.6%	28.5M	-470.4M	-7.6M	1.01	3.09	30,493	30,718	1,173,057	1,088,952
2011-02-10	$21.80	$21.00	18.3%	5.2%	13.5%	7.6%	20.0%	2.4%	0.8%	41.6M	-658.3M	-7.5M	0.62	3.19	92,137	56,977	1,177,330	1,097,635
2011-02-11	$21.76	$21.00	18.1%	5.2%	13.5%	7.2%	19.3%	2.5%	0.2%	41.5M	-650.8M	-7.5M	0.68	4.06	48,812	33,278	1,191,286	1,115,997
2011-02-14	$21.57	$21.00	18.5%	5.3%	13.4%	8.2%	19.1%	2.5%	0.8%	34.3M	-523.9M	-7.4M	0.67	2.83	41,082	27,692	1,190,134	1,121,586
2011-02-15	$21.45	$21.00	19.0%	5.4%	13.6%	9.5%	19.7%	2.4%	0.9%	30.2M	-474.4M	-7.4M	1.51	3.33	31,325	47,393	1,208,039	1,109,518
2011-02-16	$21.75	$21.00	18.0%	5.2%	14.2%	6.8%	19.9%	2.9%	1.2%	45.2M	-644.7M	-7.4M	1.08	3.97	58,943	63,822	1,201,309	1,123,401
2011-02-17	$21.97	$21.00	18.3%	5.2%	14.4%	7.6%	18.9%	1.6%	1.0%	68.6M	-782.8M	-7.4M	0.26	4.17	127,583	33,389	1,213,975	1,126,699
2011-02-18	$22.14	$21.00	17.8%	5.1%	14.2%	6.4%	18.5%	2.0%	1.6%	47.5M	-857.1M	-7.7M	0.31	3.06	134,345	41,134	1,249,888	1,144,557
2011-02-22	$21.81	$21.00	20.8%	6.0%	14.1%	14.2%	22.4%	2.5%	0.6%	28.2M	-534.3M	-7.6M	1.47	3.93	50,271	73,650	1,037,980	905,802
2011-02-23	$21.15	$21.00	22.6%	6.5%	17.3%	18.8%	22.8%	3.9%	0.3%	16.5M	-252.6M	-7.6M	0.71	4.20	108,844	76,844	1,044,645	942,734
2011-02-24	$21.29	$21.00	23.2%	6.6%	17.1%	20.4%	23.1%	4.4%	-0.1%	18.8M	-307.7M	-7.7M	0.60	3.96	64,793	38,676	1,076,911	958,920
2011-02-25	$21.86	$21.00	21.6%	5.8%	19.7%	16.3%	21.8%	2.7%	1.6%	29.6M	-559.1M	-7.8M	0.37	3.74	101,164	37,122	1,096,071	970,355
2011-02-28	$21.47	$21.00	26.9%	6.5%	20.2%	30.2%	22.0%	3.2%	0.3%	26.0M	-374.7M	-7.5M	0.73	3.69	57,643	42,139	1,090,247	970,282