INTC Options History — June 2011

In June 2011, INTC traded between $21.19 and $22.16. ATM implied volatility averaged 24.3%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.2% (HV 20d: 20.1%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.04.

Notable Days

2011-06-30: Highest Volume — 137,005 contracts
2011-06-30: Largest IV drop — 32.4% change
2011-06-28: Highest IV Rank — 38.0%
2011-06-16: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.62	$21.19	$22.16	$22.00	$22.16
Max Pain	$22.09	$22.00	$23.00	$23.00	$22.00
ATM IV	24.3%	19.1%	29.9%	27.2%	19.1%
Expected Move	6.6%	5.7%	7.5%	6.6%	5.7%
HV 20d	20.1%	18.1%	23.7%	21.3%	23.7%
HV 60d	25.1%	24.4%	26.0%	25.3%	26.0%
IV Rank	23.4%	9.7%	38.0%	30.8%	9.7%
IV Percentile	48.6%	9.1%	86.5%	67.9%	9.1%
Term Structure	2.4%	-0.0%	4.3%	-0.0%	4.3%
VWIV	23.2%	20.1%	26.2%	23.1%	20.1%
Skew 25d	3.6%	1.8%	5.0%	2.0%	4.0%
Skew 10d	7.0%	3.3%	10.8%	3.3%	6.7%
Call IV 25d	21.9%	18.7%	24.0%	22.9%	18.7%
Put IV 25d	25.5%	22.7%	28.5%	24.9%	22.7%
Bid-Ask Spread %	4.61	3.55	7.11	7.11	3.91
Gamma HHI	0.11	0.09	0.13	0.11	0.12
Net GEX	12.2M	6.3M	25.7M	12.4M	25.7M
Net DEX	-169.9M	-493.6M	87.3M	-270.7M	-493.6M
Net VEX	-8.5M	-8.9M	-8.1M	-8.8M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.37	3.04	1.77	0.53
Total Volume	72,153.227	30,625	137,005	92,341	137,005
Total OI	2,465,712.227	2,257,879	2,632,192	2,451,488	2,382,353

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
2011-06-01	$22.00	$23.00	27.2%	6.6%	21.3%	30.8%	23.1%	2.0%	-0.0%	12.4M	-270.7M	-8.8M	1.77	7.11	33,376	58,965	1,324,380	1,127,108
2011-06-02	$22.09	$23.00	23.6%	6.5%	20.8%	21.6%	23.0%	3.4%	-0.0%	9.7M	-311.1M	-8.9M	1.20	6.84	31,340	37,595	1,330,175	1,146,032
2011-06-03	$21.73	$22.00	23.0%	6.4%	21.1%	20.0%	22.8%	3.3%	2.8%	10.9M	-109.9M	-8.7M	0.88	4.68	61,496	54,252	1,337,943	1,160,789
2011-06-06	$21.83	$22.00	25.7%	6.6%	20.9%	26.9%	23.3%	3.1%	2.4%	12.3M	-194.9M	-8.7M	0.71	3.55	50,465	36,002	1,352,513	1,155,273
2011-06-07	$22.06	$22.00	25.4%	6.6%	20.2%	26.3%	22.7%	1.8%	2.5%	18.4M	-352.8M	-8.6M	0.38	3.63	51,195	19,281	1,372,988	1,165,668
2011-06-08	$21.82	$22.00	22.6%	6.6%	19.9%	18.9%	24.2%	2.7%	2.4%	14.4M	-206.9M	-8.8M	0.81	4.27	57,748	46,622	1,384,631	1,164,851
2011-06-09	$21.76	$22.00	22.1%	6.3%	18.5%	17.6%	22.6%	2.7%	2.5%	14.4M	-178.9M	-8.7M	1.06	3.69	36,908	39,091	1,410,412	1,174,747
2011-06-10	$21.38	$22.00	23.4%	6.7%	18.2%	20.9%	22.7%	3.0%	2.7%	9.2M	16.0M	-8.4M	0.59	5.25	58,842	34,758	1,418,250	1,184,775
2011-06-13	$21.39	$22.00	23.9%	6.8%	18.1%	22.2%	24.2%	3.2%	2.5%	11.3M	-16.3M	-8.4M	2.30	4.52	15,561	35,834	1,418,233	1,178,483
2011-06-14	$21.82	$22.00	21.4%	6.1%	19.4%	15.9%	22.9%	3.0%	2.9%	16.9M	-193.7M	-8.5M	0.64	4.96	30,660	19,625	1,420,112	1,186,607
2011-06-15	$21.42	$22.00	24.6%	7.1%	20.1%	24.1%	24.7%	3.5%	2.4%	11.1M	-13.2M	-8.3M	1.88	4.22	16,872	31,768	1,423,770	1,187,752
2011-06-16	$21.42	$22.00	26.3%	7.5%	18.9%	28.5%	26.2%	4.4%	1.9%	10.1M	-23.6M	-8.3M	3.04	4.36	23,343	70,907	1,416,451	1,181,275
2011-06-17	$21.19	$22.00	25.6%	7.3%	18.8%	26.7%	25.9%	4.5%	2.5%	6.3M	87.3M	-8.4M	1.04	4.36	35,236	36,783	1,422,243	1,209,949
2011-06-20	$21.32	$22.00	24.5%	7.0%	18.9%	23.8%	23.9%	4.6%	2.3%	7.1M	-128.9M	-8.2M	0.90	4.52	36,365	32,727	1,209,211	1,048,668
2011-06-21	$21.65	$22.00	21.3%	6.1%	19.6%	15.4%	22.2%	4.1%	3.0%	12.9M	-257.7M	-8.4M	0.37	4.13	51,168	19,116	1,226,038	1,065,481
2011-06-22	$21.40	$22.00	22.8%	6.5%	19.7%	19.3%	21.9%	3.3%	2.9%	9.5M	-161.0M	-8.2M	0.37	4.31	40,645	15,019	1,245,622	1,064,762
2011-06-23	$21.71	$22.00	20.9%	6.0%	20.5%	14.4%	22.4%	3.7%	3.6%	16.3M	-301.0M	-8.5M	0.68	4.27	39,167	26,773	1,265,981	1,066,345
2011-06-24	$21.20	$22.00	25.0%	7.0%	21.8%	25.1%	23.6%	4.0%	2.2%	8.1M	-115.2M	-8.2M	1.26	5.25	16,511	20,877	1,276,835	1,067,678
2011-06-27	$21.34	$22.00	28.5%	6.9%	21.7%	34.2%	23.1%	4.7%	1.9%	9.5M	-156.6M	-8.2M	0.60	4.38	29,132	17,355	1,276,171	1,072,774
2011-06-28	$21.49	$22.00	29.9%	6.9%	21.2%	38.0%	22.9%	5.0%	2.4%	12.1M	-196.6M	-8.3M	0.60	4.22	19,119	11,506	1,283,485	1,076,643
2011-06-29	$21.39	$22.00	28.2%	6.3%	19.8%	33.6%	21.3%	4.8%	3.2%	10.9M	-159.0M	-8.1M	1.20	4.99	22,902	27,459	1,286,950	1,075,262
2011-06-30	$22.16	$22.00	19.1%	5.7%	23.7%	9.7%	20.1%	4.0%	4.3%	25.7M	-493.6M	-8.5M	0.53	3.91	89,458	47,547	1,295,314	1,087,039