INTC Options History — March 2011

In March 2011, INTC traded between $19.81 and $21.79. ATM implied volatility averaged 24.1%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.5% (HV 20d: 21.6%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.72.

Notable Days

2011-03-15: Highest Volume — 188,807 contracts
2011-03-03: Largest IV drop — 28.9% change
2011-03-16: Highest IV Rank — 34.4%
2011-03-16: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.64	$19.81	$21.79	$21.39	$20.18
Max Pain	$21.00	$21.00	$21.00	$21.00	$21.00
ATM IV	24.1%	20.2%	28.5%	27.7%	22.1%
Expected Move	6.5%	5.4%	8.2%	6.5%	6.0%
HV 20d	21.6%	17.9%	24.9%	20.2%	17.9%
HV 60d	17.3%	16.0%	18.1%	16.0%	18.1%
IV Rank	22.7%	12.7%	34.4%	32.1%	17.5%
IV Percentile	37.0%	11.5%	65.5%	59.9%	27.4%
Term Structure	2.0%	0.6%	3.5%	0.6%	2.8%
VWIV	23.0%	20.1%	29.7%	22.5%	20.7%
Skew 25d	3.9%	2.0%	5.7%	2.9%	3.1%
Skew 10d	7.7%	4.0%	12.2%	4.0%	4.9%
Call IV 25d	21.7%	18.7%	27.5%	21.6%	19.9%
Put IV 25d	25.5%	21.9%	33.2%	24.5%	23.0%
Bid-Ask Spread %	3.99	2.87	5.68	3.63	4.56
Gamma HHI	0.18	0.11	0.32	0.26	0.12
Net GEX	4.6M	-21.2M	35.4M	24.0M	-1.5M
Net DEX	-38.1M	-557.8M	390.5M	-390.8M	73.6M
Net VEX	-7.2M	-7.7M	-6.7M	-7.7M	-7.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.26	1.39	1.05	1.22
Total Volume	89,377.304	44,015	188,807	67,844	144,384
Total OI	2,121,260.217	1,935,463	2,282,944	2,082,635	2,153,773

Daily Data (23 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
2011-03-01	$21.39	$21.00	27.7%	6.5%	20.2%	32.1%	22.5%	2.9%	0.6%	24.0M	-390.8M	-7.7M	1.05	3.63	33,087	34,757	1,103,348	979,287
2011-03-02	$21.49	$21.00	28.4%	6.4%	20.3%	34.1%	22.2%	2.0%	0.7%	25.7M	-420.4M	-7.7M	0.66	3.89	26,555	17,460	1,110,281	995,107
2011-03-03	$21.79	$21.00	20.2%	5.4%	20.8%	12.7%	20.2%	2.5%	2.1%	35.4M	-557.8M	-7.7M	0.70	3.47	29,938	21,037	1,115,336	994,277
2011-03-04	$21.56	$21.00	21.2%	6.1%	21.2%	15.3%	22.6%	4.3%	1.5%	26.3M	-437.2M	-7.7M	0.55	4.81	63,449	35,058	1,117,369	998,510
2011-03-07	$21.21	$21.00	26.8%	6.8%	21.9%	29.9%	24.2%	3.9%	1.5%	16.9M	-250.3M	-7.4M	0.94	3.87	49,674	46,909	1,112,211	1,000,566
2011-03-08	$21.13	$21.00	24.9%	6.5%	21.9%	24.8%	22.6%	3.0%	1.7%	14.1M	-228.6M	-7.4M	0.69	3.38	36,887	25,313	1,123,668	1,016,471
2011-03-09	$21.20	$21.00	20.6%	6.6%	21.9%	13.6%	24.3%	3.8%	1.7%	15.5M	-259.4M	-7.4M	0.84	4.46	44,999	37,876	1,136,325	1,026,847
2011-03-10	$20.79	$21.00	24.6%	7.0%	22.8%	24.0%	25.9%	4.5%	1.5%	1.3M	-34.9M	-7.3M	1.39	5.68	52,383	72,592	1,137,295	1,041,596
2011-03-11	$20.87	$21.00	23.3%	6.7%	22.0%	20.6%	24.7%	4.3%	2.0%	2.4M	-65.8M	-7.4M	0.56	5.27	45,485	25,457	1,148,847	1,061,518
2011-03-14	$20.84	$21.00	23.6%	6.8%	22.0%	21.4%	24.6%	4.4%	2.1%	-1.7M	-47.2M	-7.2M	0.85	3.99	31,536	26,732	1,145,133	1,066,689
2011-03-15	$20.18	$21.00	26.0%	7.5%	24.3%	27.8%	25.8%	4.8%	1.3%	-10.7M	274.9M	-7.0M	0.91	2.87	98,831	89,976	1,150,453	1,082,059
2011-03-16	$19.81	$21.00	28.5%	8.2%	24.9%	34.4%	29.7%	5.7%	0.6%	-11.4M	390.5M	-7.2M	1.03	4.64	62,391	64,519	1,177,137	1,093,972
2011-03-17	$19.90	$21.00	26.0%	7.5%	24.2%	27.7%	26.0%	5.4%	1.5%	-14.4M	363.4M	-7.0M	1.06	3.22	51,261	54,279	1,170,331	1,078,282
2011-03-18	$19.93	$21.00	24.3%	7.0%	23.7%	23.4%	24.5%	4.4%	2.2%	-21.2M	384.3M	-6.9M	0.41	4.16	77,093	31,616	1,188,015	1,094,929
2011-03-21	$20.19	$21.00	22.4%	6.4%	24.2%	18.4%	22.6%	5.3%	2.4%	-1.9M	97.9M	-6.8M	0.55	3.86	57,410	31,484	982,021	953,442
2011-03-22	$20.15	$21.00	21.7%	6.2%	23.9%	16.6%	21.3%	4.3%	2.2%	-1.5M	119.0M	-6.7M	0.37	3.15	65,075	24,212	998,518	960,663
2011-03-23	$20.29	$21.00	21.4%	6.1%	21.9%	15.8%	20.6%	4.0%	2.6%	944.2K	55.2M	-7.0M	0.28	3.53	38,709	10,740	1,034,283	969,562
2011-03-24	$20.38	$21.00	21.4%	6.1%	21.8%	15.8%	20.7%	3.0%	3.1%	4.0M	-8.8M	-7.1M	0.58	3.69	37,287	21,653	1,050,550	975,299
2011-03-25	$20.37	$21.00	22.0%	6.0%	19.1%	17.3%	20.7%	2.8%	3.1%	2.1M	-13.3M	-7.1M	0.54	4.16	42,472	23,114	1,060,252	980,663
2011-03-28	$20.34	$21.00	25.7%	6.2%	18.3%	26.8%	20.7%	3.8%	2.4%	720.4K	26.8M	-6.9M	0.65	4.35	34,480	22,391	1,056,713	981,299
2011-03-29	$20.28	$21.00	24.4%	6.1%	18.3%	23.5%	21.7%	3.2%	3.1%	-458.1K	63.0M	-7.0M	0.39	3.93	83,439	32,270	1,066,405	993,171
2011-03-30	$20.46	$21.00	26.7%	5.9%	18.6%	29.5%	20.1%	3.2%	3.5%	1.8M	-10.6M	-7.2M	0.26	3.09	79,145	20,263	1,099,939	1,006,573
2011-03-31	$20.18	$21.00	22.1%	6.0%	17.9%	17.5%	20.7%	3.1%	2.8%	-1.5M	73.6M	-7.2M	1.22	4.56	65,006	79,378	1,149,033	1,004,740