INTC Options History — August 2011

In August 2011, INTC traded between $19.19 and $22.24. ATM implied volatility averaged 36.3%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.7% (HV 20d: 31.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2011-08-02: Highest Volume — 2,340,704 contracts
2011-08-08: Largest IV spike — 67.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.41	$19.19	$22.24	$22.24	$20.13
Max Pain	$21.30	$21.00	$22.00	$22.00	$21.00
ATM IV	36.3%	27.5%	64.7%	34.6%	39.4%
Expected Move	9.2%	7.1%	11.9%	7.8%	8.6%
HV 20d	31.6%	20.3%	39.1%	20.3%	38.3%
HV 60d	25.9%	21.6%	28.6%	21.7%	28.5%
IV Rank	48.5%	24.5%	100.0%	64.7%	48.9%
IV Percentile	93.5%	77.0%	100.0%	98.4%	97.6%
Term Structure	0.5%	-2.7%	3.2%	-0.2%	2.3%
VWIV	32.7%	25.8%	40.3%	28.4%	30.0%
Skew 25d	7.4%	2.8%	11.2%	4.4%	6.7%
Skew 10d	14.9%	4.4%	23.3%	8.9%	13.7%
Call IV 25d	29.8%	24.3%	38.1%	26.1%	27.1%
Put IV 25d	37.2%	27.8%	46.4%	30.5%	33.8%
Bid-Ask Spread %	5.22	3.40	11.17	4.83	3.72
Gamma HHI	0.10	0.08	0.13	0.13	0.09
Net GEX	819.8K	-7.2M	19.7M	19.7M	-3.9M
Net DEX	199.0M	-404.0M	711.2M	-404.0M	218.0M
Net VEX	-8.0M	-8.8M	-7.2M	-8.7M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.04	1.51	1.24	0.72
Total Volume	208,417.217	53,746	2,340,704	84,881	97,214
Total OI	2,593,606.043	2,382,539	2,801,207	2,416,814	2,548,516

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
2011-08-01	$22.24	$22.00	34.6%	7.8%	20.3%	64.7%	28.4%	4.4%	-0.2%	19.7M	-404.0M	-8.7M	1.24	4.83	37,924	46,957	1,386,614	1,030,200
2011-08-02	$21.72	$22.00	37.9%	7.7%	21.8%	75.7%	25.8%	2.8%	-0.4%	8.7M	-175.4M	-8.3M	0.04	4.92	2,242,389	98,315	1,397,946	1,049,633
2011-08-03	$21.81	$22.00	30.8%	7.1%	21.2%	51.9%	26.0%	3.5%	0.7%	16.4M	-301.1M	-8.7M	1.14	3.84	38,667	43,966	1,457,870	1,104,002
2011-08-04	$20.85	$22.00	39.5%	10.1%	24.4%	81.2%	35.7%	4.5%	-2.7%	5.4M	91.3M	-8.7M	1.51	6.13	56,176	85,039	1,467,813	1,100,206
2011-08-05	$20.79	$22.00	38.7%	9.4%	24.4%	78.3%	35.7%	6.5%	0.0%	3.5M	131.6M	-8.8M	1.14	5.92	68,896	78,781	1,476,011	1,126,355
2011-08-08	$20.11	$22.00	64.7%	11.9%	26.3%	100.0%	40.3%	8.4%	-2.4%	2.9M	231.9M	-8.6M	1.10	6.58	71,822	79,168	1,470,218	1,126,975
2011-08-09	$20.60	$22.00	41.9%	9.0%	28.0%	53.9%	33.7%	5.9%	0.4%	-3.1M	249.5M	-8.2M	1.01	11.17	144,375	146,478	1,469,622	1,142,254
2011-08-10	$19.93	$21.00	44.4%	10.9%	29.7%	58.9%	38.7%	8.2%	-1.0%	-3.4M	422.2M	-8.2M	0.85	6.59	64,474	54,858	1,518,524	1,184,941
2011-08-11	$20.76	$21.00	34.4%	9.9%	34.0%	38.6%	36.4%	7.7%	-0.7%	2.5M	127.7M	-8.6M	0.57	5.89	110,745	63,487	1,525,950	1,182,238
2011-08-12	$20.65	$21.00	30.9%	8.9%	33.9%	31.6%	32.8%	7.2%	0.8%	-714.3K	192.5M	-8.4M	1.18	6.24	45,198	53,308	1,569,152	1,201,636
2011-08-15	$20.89	$21.00	27.7%	7.9%	34.3%	25.0%	27.8%	6.3%	1.9%	633.7K	87.7M	-8.1M	0.56	3.93	48,735	27,386	1,565,207	1,195,236
2011-08-16	$20.79	$21.00	27.9%	8.0%	31.3%	25.5%	30.3%	7.0%	2.0%	466.9K	154.2M	-8.1M	0.83	6.09	47,648	39,660	1,577,691	1,196,962
2011-08-17	$20.67	$21.00	27.5%	7.9%	31.3%	24.5%	27.8%	7.0%	2.0%	-286.9K	245.0M	-8.0M	0.51	4.95	46,917	23,866	1,593,635	1,201,829
2011-08-18	$19.77	$21.00	35.5%	10.2%	34.3%	40.8%	37.0%	9.7%	-0.1%	-6.6M	542.2M	-7.6M	1.04	5.83	59,137	61,267	1,596,588	1,200,683
2011-08-19	$19.19	$21.00	39.0%	11.2%	34.2%	47.9%	38.3%	10.8%	-1.5%	-7.2M	711.2M	-7.2M	0.83	4.87	87,722	72,610	1,603,666	1,197,541
2011-08-22	$19.38	$21.00	38.3%	11.0%	34.9%	46.6%	34.8%	11.2%	-1.2%	-3.1M	410.2M	-7.2M	0.58	4.34	71,953	41,971	1,331,207	1,051,332
2011-08-23	$19.71	$21.00	30.3%	8.7%	36.0%	30.3%	31.0%	10.9%	1.8%	-2.8M	345.0M	-7.3M	0.51	4.55	46,396	23,879	1,350,839	1,062,648
2011-08-24	$19.80	$21.00	30.5%	8.8%	36.1%	30.8%	33.8%	9.6%	2.3%	-706.3K	289.4M	-7.4M	0.88	3.40	35,204	31,121	1,367,705	1,061,528
2011-08-25	$19.42	$21.00	37.8%	10.8%	36.3%	45.6%	36.7%	9.8%	-0.9%	-2.8M	409.0M	-7.2M	0.98	3.75	32,715	32,154	1,382,679	1,077,327
2011-08-26	$19.77	$21.00	31.9%	8.6%	37.3%	33.5%	31.9%	9.1%	2.4%	-3.1M	323.2M	-7.4M	1.15	4.08	25,042	28,704	1,396,319	1,095,634
2011-08-29	$20.30	$21.00	35.0%	8.4%	39.1%	39.9%	30.2%	7.0%	1.8%	-681.8K	124.7M	-7.4M	0.65	3.79	74,720	48,288	1,387,829	1,092,011
2011-08-30	$20.24	$21.00	36.0%	8.2%	38.4%	41.9%	29.0%	5.9%	3.2%	-2.9M	151.1M	-7.5M	1.03	4.64	28,771	29,493	1,405,368	1,124,799
2011-08-31	$20.13	$21.00	39.4%	8.6%	38.3%	48.9%	30.0%	6.7%	2.3%	-3.9M	218.0M	-7.3M	0.72	3.72	56,519	40,695	1,414,817	1,133,699