INTC Options History — September 2011

In September 2011, INTC traded between $19.54 and $22.54. ATM implied volatility averaged 34.1%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.9% (HV 20d: 29.2%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.24.

Notable Days

2011-09-16: Highest Volume — 268,374 contracts
2011-09-06: Largest IV spike — 19.6% change
2011-09-29: Highest IV Rank — 53.3%
2011-09-30: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.19	$19.54	$22.54	$19.99	$21.34
Max Pain	$21.33	$21.00	$22.00	$21.00	$22.00
ATM IV	34.1%	28.5%	41.6%	28.9%	41.1%
Expected Move	10.1%	8.3%	12.9%	8.4%	12.9%
HV 20d	29.2%	24.7%	35.6%	35.2%	29.6%
HV 60d	29.4%	28.5%	30.3%	28.5%	30.1%
IV Rank	38.1%	26.7%	53.3%	27.5%	52.2%
IV Percentile	90.4%	79.4%	98.4%	82.9%	97.2%
Term Structure	-0.9%	-4.0%	3.6%	2.7%	-4.0%
VWIV	36.0%	29.3%	44.0%	29.3%	44.0%
Skew 25d	7.8%	5.1%	9.9%	5.1%	8.4%
Skew 10d	15.8%	7.7%	21.5%	7.7%	15.9%
Call IV 25d	32.1%	27.6%	39.8%	27.6%	39.8%
Put IV 25d	39.9%	32.7%	48.1%	32.7%	48.1%
Bid-Ask Spread %	4.94	3.50	9.14	5.07	5.70
Gamma HHI	0.11	0.09	0.14	0.10	0.11
Net GEX	7.9M	-10.6M	25.3M	-5.6M	-427.6K
Net DEX	-234.7M	-883.5M	484.0M	248.3M	-28.3M
Net VEX	-8.3M	-10.0M	-6.8M	-7.3M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.40	2.19	1.45	1.37
Total Volume	144,339.81	55,163	268,374	90,854	89,928
Total OI	2,688,747.19	2,392,206	2,985,486	2,575,090	2,985,486

Daily Data (21 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
2011-09-01	$19.99	$21.00	28.9%	8.4%	35.2%	27.5%	29.3%	5.1%	2.7%	-5.6M	248.3M	-7.3M	1.45	5.07	37,112	53,742	1,427,606	1,147,484
2011-09-02	$19.64	$21.00	29.9%	8.3%	35.6%	29.6%	30.2%	5.9%	3.6%	-9.2M	430.6M	-7.1M	1.43	3.81	31,691	45,229	1,426,173	1,163,245
2011-09-06	$19.54	$21.00	35.8%	9.7%	33.8%	41.5%	36.0%	7.8%	-0.9%	-10.6M	484.0M	-6.8M	0.62	9.14	50,698	31,379	1,429,280	1,174,500
2011-09-07	$20.08	$21.00	29.5%	9.4%	34.1%	28.8%	34.1%	8.4%	-0.5%	-10.3M	271.1M	-7.1M	0.49	5.77	85,343	41,552	1,451,290	1,172,800
2011-09-08	$19.90	$21.00	28.6%	9.3%	32.2%	26.9%	31.4%	7.7%	-0.2%	-6.6M	321.2M	-7.1M	0.92	7.37	28,765	26,398	1,514,309	1,178,304
2011-09-09	$19.70	$21.00	30.3%	10.0%	28.4%	30.4%	35.1%	8.2%	-0.8%	-6.0M	401.7M	-7.2M	1.15	5.04	32,058	36,749	1,519,237	1,184,843
2011-09-12	$20.28	$21.00	34.1%	10.5%	30.5%	37.9%	36.6%	9.9%	-1.3%	-3.4M	122.4M	-7.3M	0.88	3.82	67,774	59,506	1,515,591	1,178,798
2011-09-13	$20.76	$21.00	30.4%	9.4%	31.5%	30.6%	33.4%	8.3%	-0.1%	2.7M	-171.6M	-7.6M	0.40	4.02	95,382	37,979	1,523,481	1,188,763
2011-09-14	$21.11	$21.00	28.5%	9.4%	32.0%	26.7%	33.2%	7.1%	-0.1%	13.1M	-415.5M	-7.8M	0.70	5.02	117,593	82,833	1,561,639	1,186,815
2011-09-15	$21.54	$21.00	32.8%	9.4%	32.6%	35.4%	33.7%	6.5%	-0.4%	25.2M	-649.9M	-8.1M	0.75	4.03	100,989	76,117	1,580,207	1,197,721
2011-09-16	$21.97	$21.00	31.6%	9.0%	28.1%	32.9%	33.8%	6.9%	0.2%	25.3M	-883.5M	-8.4M	0.99	3.58	134,873	133,501	1,602,114	1,234,926
2011-09-19	$21.93	$21.00	33.3%	9.5%	25.0%	36.3%	36.0%	6.9%	-0.6%	22.2M	-587.2M	-8.4M	2.14	3.55	48,800	104,491	1,351,991	1,040,215
2011-09-20	$22.20	$21.00	33.3%	9.5%	25.1%	36.4%	33.3%	6.9%	-0.8%	22.0M	-663.4M	-8.6M	1.68	3.50	74,583	125,148	1,357,920	1,112,446
2011-09-21	$21.94	$22.00	34.6%	9.9%	25.6%	39.1%	35.8%	6.6%	-1.2%	13.7M	-477.8M	-9.0M	1.83	5.96	44,424	81,443	1,389,599	1,201,151
2011-09-22	$21.61	$22.00	37.8%	10.8%	26.6%	45.4%	40.4%	7.4%	-1.6%	11.2M	-347.0M	-8.9M	2.12	4.13	60,957	129,395	1,403,250	1,207,445
2011-09-23	$22.16	$21.00	38.0%	10.9%	26.1%	45.8%	38.3%	8.1%	-1.4%	15.3M	-590.1M	-9.3M	0.72	4.52	105,716	75,693	1,411,706	1,257,173
2011-09-26	$22.24	$22.00	38.9%	11.1%	25.7%	47.7%	42.9%	8.9%	-2.3%	15.9M	-573.5M	-9.3M	1.90	3.79	35,963	68,435	1,418,342	1,279,480
2011-09-27	$22.54	$22.00	36.4%	10.4%	24.7%	42.7%	37.0%	9.6%	-2.2%	21.0M	-717.4M	-9.3M	0.95	6.17	109,842	104,768	1,428,733	1,296,314
2011-09-28	$22.31	$22.00	41.3%	11.8%	25.2%	52.6%	40.1%	9.6%	-2.8%	16.2M	-592.1M	-9.5M	2.19	3.79	68,096	149,216	1,473,124	1,343,482
2011-09-29	$22.21	$22.00	41.6%	11.9%	25.1%	53.3%	41.9%	9.5%	-3.3%	13.9M	-510.6M	-10.0M	1.26	5.96	64,936	82,039	1,510,094	1,436,614
2011-09-30	$21.34	$22.00	41.1%	12.9%	29.6%	52.2%	44.0%	8.4%	-4.0%	-427.6K	-28.3M	-9.7M	1.37	5.70	37,892	52,036	1,517,297	1,468,189