INTC Options History — October 2011

In October 2011, INTC traded between $20.62 and $25.13. ATM implied volatility averaged 32.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 0.9% (HV 20d: 31.4%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2011-10-19: Highest Volume — 412,399 contracts
2011-10-12: Largest IV spike — 30.0% change
2011-10-03: Highest IV Rank — 64.3%
2011-10-03: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.38	$20.62	$25.13	$20.62	$24.54
Max Pain	$22.43	$22.00	$23.00	$22.00	$23.00
ATM IV	32.3%	24.2%	47.1%	47.1%	31.0%
Expected Move	9.2%	6.8%	13.0%	13.0%	7.4%
HV 20d	31.4%	25.3%	33.1%	31.6%	25.3%
HV 60d	32.0%	30.8%	33.0%	30.8%	31.5%
IV Rank	34.4%	17.9%	64.3%	64.3%	31.7%
IV Percentile	79.9%	49.2%	99.6%	99.6%	81.0%
Term Structure	-1.1%	-4.9%	1.1%	-4.1%	-0.2%
VWIV	33.8%	26.1%	46.8%	46.8%	28.0%
Skew 25d	7.1%	5.1%	8.7%	7.9%	5.1%
Skew 10d	15.1%	11.2%	17.9%	16.2%	12.0%
Call IV 25d	29.6%	22.6%	43.2%	43.2%	25.2%
Put IV 25d	36.6%	28.5%	51.1%	51.1%	30.3%
Bid-Ask Spread %	4.03	2.78	7.37	4.54	4.72
Gamma HHI	0.20	0.11	0.64	0.11	0.23
Net GEX	36.3M	-10.1M	182.5M	-10.1M	39.6M
Net DEX	-979.2M	-1.72B	320.3M	320.3M	-1.18B
Net VEX	-9.4M	-9.7M	-9.0M	-9.2M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.39	2.56	1.34	0.63
Total Volume	164,196.19	57,887	412,399	133,205	95,157
Total OI	3,010,353.952	2,568,269	3,437,629	2,987,592	2,723,319

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
2011-10-03	$20.62	$22.00	47.1%	13.0%	31.6%	64.3%	46.8%	7.9%	-4.1%	-10.1M	320.3M	-9.2M	1.34	4.54	56,932	76,273	1,507,560	1,480,032
2011-10-04	$21.22	$22.00	41.8%	12.4%	32.8%	53.7%	44.6%	7.1%	-3.3%	-4.6M	45.9M	-9.4M	1.57	4.27	37,839	59,454	1,504,590	1,482,003
2011-10-05	$21.85	$22.00	38.5%	11.8%	33.0%	46.9%	41.3%	5.5%	-4.3%	5.3M	-288.4M	-9.5M	0.66	5.66	61,612	40,433	1,508,105	1,475,987
2011-10-06	$22.03	$22.00	35.7%	11.5%	32.7%	41.3%	41.0%	5.9%	-4.9%	11.0M	-399.7M	-9.6M	0.47	4.08	39,497	18,390	1,527,704	1,474,017
2011-10-07	$22.29	$22.00	33.0%	10.3%	32.2%	35.7%	35.0%	8.6%	-1.4%	14.9M	-563.0M	-9.5M	0.48	3.09	54,463	26,217	1,538,387	1,475,024
2011-10-10	$22.88	$22.00	32.6%	9.4%	32.0%	35.1%	35.6%	8.6%	-0.9%	27.3M	-854.1M	-9.3M	1.37	3.88	43,377	59,589	1,534,477	1,471,993
2011-10-11	$22.99	$22.00	30.6%	9.3%	31.3%	30.9%	33.9%	8.7%	-1.2%	29.1M	-927.0M	-9.3M	2.56	2.89	37,245	95,169	1,537,894	1,484,517
2011-10-12	$23.12	$22.00	39.7%	9.2%	31.0%	49.5%	33.8%	8.3%	-0.9%	31.2M	-969.5M	-9.4M	1.72	3.82	69,291	119,170	1,551,575	1,541,709
2011-10-13	$23.39	$22.00	32.2%	9.2%	30.6%	34.3%	33.0%	8.0%	-1.1%	36.3M	-1.15B	-9.3M	0.64	3.00	106,204	68,100	1,585,863	1,571,743
2011-10-14	$23.50	$22.00	31.8%	9.1%	30.0%	33.4%	32.0%	8.2%	-1.1%	40.8M	-1.26B	-9.1M	1.50	2.78	69,360	103,743	1,605,199	1,587,309
2011-10-17	$23.28	$22.00	34.3%	9.8%	30.3%	38.5%	34.9%	6.9%	-1.9%	26.2M	-1.01B	-9.3M	1.04	4.08	86,548	90,074	1,590,998	1,634,985
2011-10-18	$23.40	$22.00	34.6%	9.9%	30.1%	39.1%	35.0%	5.7%	-3.2%	33.1M	-1.13B	-9.2M	1.17	7.37	148,823	174,065	1,609,486	1,656,824
2011-10-19	$24.24	$23.00	30.6%	8.8%	31.7%	31.0%	31.9%	6.0%	-0.6%	58.0M	-1.72B	-9.3M	0.84	3.55	223,820	188,579	1,644,358	1,708,852
2011-10-20	$23.61	$23.00	29.5%	8.5%	32.9%	28.7%	31.7%	7.1%	0.3%	33.6M	-1.10B	-9.7M	0.91	3.02	111,234	100,888	1,661,316	1,774,032
2011-10-21	$24.03	$23.00	27.9%	8.0%	32.4%	25.4%	29.9%	7.7%	0.8%	182.5M	-1.56B	-9.3M	0.39	4.27	173,979	67,066	1,676,703	1,760,926
2011-10-24	$24.59	$23.00	24.7%	7.1%	33.1%	18.9%	28.0%	6.2%	1.0%	43.2M	-1.30B	-9.1M	0.73	4.47	112,859	82,098	1,336,486	1,231,783
2011-10-25	$24.63	$23.00	26.7%	7.7%	32.9%	23.1%	29.4%	6.9%	0.9%	40.6M	-1.26B	-9.7M	0.98	3.50	69,281	68,148	1,362,125	1,263,506
2011-10-26	$24.70	$23.00	26.8%	7.7%	32.5%	23.2%	29.1%	7.4%	1.1%	38.9M	-1.25B	-9.7M	0.95	3.39	56,694	54,114	1,378,515	1,294,561
2011-10-27	$25.13	$23.00	25.3%	7.2%	32.6%	20.1%	28.5%	6.3%	0.6%	46.1M	-1.55B	-9.2M	0.96	3.78	95,067	90,870	1,396,751	1,314,629
2011-10-28	$24.98	$23.00	24.2%	6.8%	28.1%	17.9%	26.1%	5.9%	0.9%	40.1M	-1.45B	-9.0M	1.38	4.46	48,863	67,535	1,407,440	1,344,150
2011-10-31	$24.54	$23.00	31.0%	7.4%	25.3%	31.7%	28.0%	5.1%	-0.2%	39.6M	-1.18B	-9.1M	0.63	4.72	58,308	36,849	1,386,292	1,337,027