INTC Options History — July 2011

In July 2011, INTC traded between $22.27 and $23.23. ATM implied volatility averaged 24.4%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.6% (HV 20d: 23.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2011-07-20: Highest Volume — 364,864 contracts
2011-07-05: Largest IV spike — 47.3% change
2011-07-29: Highest IV Rank — 62.5%
2011-07-12: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.70	$22.27	$23.23	$22.53	$22.33
Max Pain	$22.10	$22.00	$23.00	$22.00	$22.00
ATM IV	24.4%	17.0%	34.0%	17.0%	34.0%
Expected Move	7.2%	5.2%	8.1%	5.2%	8.0%
HV 20d	23.9%	21.1%	25.4%	23.5%	21.1%
HV 60d	24.2%	21.7%	26.6%	26.1%	21.7%
IV Rank	28.8%	4.3%	62.5%	4.3%	62.5%
IV Percentile	53.3%	1.6%	98.4%	1.6%	98.4%
Term Structure	-0.6%	-1.9%	3.8%	3.8%	-0.7%
VWIV	25.6%	19.5%	27.9%	19.5%	27.9%
Skew 25d	3.4%	2.4%	5.4%	2.8%	4.7%
Skew 10d	6.8%	4.3%	9.9%	5.6%	9.2%
Call IV 25d	24.1%	18.7%	26.8%	18.7%	26.1%
Put IV 25d	27.5%	21.5%	30.8%	21.5%	30.8%
Bid-Ask Spread %	5.76	3.04	14.47	3.69	4.83
Gamma HHI	0.16	0.12	0.22	0.15	0.13
Net GEX	32.9M	19.7M	47.3M	34.5M	21.6M
Net DEX	-753.5M	-1.16B	-462.4M	-735.0M	-462.4M
Net VEX	-8.6M	-9.0M	-8.2M	-8.4M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.40	1.18	0.85	0.68
Total Volume	119,783.45	41,235	364,864	97,974	84,836
Total OI	2,440,161.1	2,165,351	2,664,213	2,425,881	2,413,793

Daily Data (20 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
2011-07-01	$22.53	$22.00	17.0%	5.2%	23.5%	4.3%	19.5%	2.8%	3.8%	34.5M	-735.0M	-8.4M	0.85	3.69	53,094	44,880	1,319,968	1,105,913
2011-07-05	$22.44	$22.00	25.0%	6.9%	23.6%	25.2%	22.7%	3.8%	-1.5%	33.0M	-676.3M	-8.2M	0.56	8.73	67,039	37,342	1,318,588	1,099,388
2011-07-06	$22.75	$22.00	19.2%	6.6%	23.8%	10.1%	24.3%	4.3%	-0.4%	38.5M	-851.1M	-8.3M	0.59	14.47	73,430	43,693	1,350,373	1,104,848
2011-07-07	$23.23	$22.00	20.5%	7.2%	24.3%	13.6%	25.2%	3.9%	-1.5%	47.3M	-1.16B	-8.5M	0.49	10.56	113,138	55,467	1,381,547	1,123,918
2011-07-08	$23.09	$23.00	19.8%	7.1%	24.4%	11.7%	25.8%	3.5%	-0.9%	45.7M	-1.06B	-8.6M	0.78	7.27	63,173	49,028	1,395,977	1,152,780
2011-07-11	$22.85	$22.00	23.6%	7.6%	23.7%	21.5%	27.6%	3.6%	-1.0%	41.9M	-934.5M	-8.5M	1.13	5.09	39,788	45,030	1,405,914	1,153,391
2011-07-12	$22.45	$22.00	26.8%	8.1%	24.8%	29.8%	27.8%	3.2%	-1.9%	33.2M	-687.1M	-8.5M	0.90	6.05	53,872	48,634	1,420,893	1,169,020
2011-07-13	$22.48	$22.00	26.2%	7.8%	24.0%	36.6%	27.1%	3.1%	-1.8%	36.0M	-701.2M	-8.5M	0.40	4.57	61,006	24,513	1,440,450	1,164,005
2011-07-14	$22.27	$23.00	27.5%	7.9%	23.2%	40.7%	27.7%	2.9%	-1.4%	25.8M	-593.3M	-8.8M	0.99	5.11	31,169	30,754	1,469,906	1,176,739
2011-07-15	$22.37	$22.00	27.1%	7.8%	23.2%	39.3%	26.8%	3.6%	-1.4%	20.4M	-663.3M	-8.8M	0.47	4.44	68,691	32,082	1,474,971	1,189,242
2011-07-18	$22.28	$22.00	27.6%	7.9%	22.8%	41.1%	27.4%	3.1%	-1.7%	19.7M	-463.1M	-8.7M	0.40	4.42	67,284	27,062	1,230,430	934,921
2011-07-19	$23.06	$22.00	26.6%	7.6%	25.4%	37.6%	27.0%	3.9%	-1.3%	32.0M	-857.0M	-8.8M	0.44	5.89	89,882	39,748	1,262,156	941,078
2011-07-20	$22.99	$22.00	27.6%	7.9%	25.2%	41.2%	27.8%	2.8%	-1.7%	32.6M	-833.8M	-8.8M	0.75	4.73	208,245	156,619	1,294,810	952,850
2011-07-21	$22.81	$22.00	22.6%	6.5%	24.9%	24.4%	23.4%	2.4%	0.2%	26.7M	-675.2M	-8.7M	0.50	3.04	215,478	108,444	1,384,226	1,042,838
2011-07-22	$23.13	$22.00	21.8%	6.3%	24.9%	21.8%	22.5%	2.7%	0.2%	39.7M	-983.4M	-8.9M	0.49	3.85	83,422	40,951	1,429,782	1,037,129
2011-07-25	$23.03	$22.00	22.9%	6.6%	23.0%	25.4%	24.0%	2.6%	-0.0%	38.7M	-834.7M	-8.8M	0.76	5.02	26,267	20,090	1,365,669	980,954
2011-07-26	$22.90	$22.00	23.0%	6.6%	23.2%	25.6%	23.7%	3.0%	0.3%	36.4M	-758.3M	-8.7M	0.73	4.30	23,804	17,431	1,368,378	991,352
2011-07-27	$22.53	$22.00	24.9%	7.2%	24.2%	32.2%	27.0%	3.5%	-0.5%	28.8M	-574.0M	-8.6M	1.18	4.35	36,018	42,367	1,372,835	997,456
2011-07-28	$22.55	$22.00	24.7%	7.1%	24.1%	31.4%	26.1%	5.4%	0.4%	26.2M	-568.1M	-9.0M	1.07	4.84	34,659	37,239	1,370,622	1,014,112
2011-07-29	$22.33	$22.00	34.0%	8.0%	21.1%	62.5%	27.9%	4.7%	-0.7%	21.6M	-462.4M	-8.9M	0.68	4.83	50,476	34,360	1,384,882	1,028,911