INTC Options History — December 2011

In December 2011, INTC traded between $23.09 and $25.66. ATM implied volatility averaged 27.0%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 9.4% (HV 20d: 36.4%). Max pain ranged from $22.50 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2011-12-12: Highest Volume — 220,711 contracts
2011-12-09: Largest IV drop — 17.5% change
2011-12-06: Highest IV Rank — 33.4%
2011-12-08: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.25	$23.09	$25.66	$24.92	$24.25
Max Pain	$22.64	$22.50	$24.00	$24.00	$22.50
ATM IV	27.0%	20.2%	31.8%	28.9%	20.2%
Expected Move	7.9%	6.9%	9.3%	8.1%	7.7%
HV 20d	36.4%	29.0%	39.1%	38.7%	29.3%
HV 60d	33.0%	31.4%	34.0%	32.4%	31.4%
IV Rank	23.6%	9.9%	33.4%	27.4%	9.9%
IV Percentile	56.1%	12.3%	80.6%	70.6%	12.3%
Term Structure	0.8%	-0.8%	2.3%	1.7%	1.0%
VWIV	28.2%	24.5%	32.6%	28.8%	26.8%
Skew 25d	3.8%	2.4%	5.1%	2.9%	2.6%
Skew 10d	7.8%	5.2%	10.6%	6.2%	6.3%
Call IV 25d	26.6%	23.3%	31.3%	27.6%	25.7%
Put IV 25d	30.5%	26.5%	36.1%	30.5%	28.3%
Bid-Ask Spread %	4.03	2.24	8.21	4.15	3.10
Gamma HHI	0.18	0.11	0.27	0.24	0.18
Net GEX	32.7M	6.0M	53.2M	45.8M	34.6M
Net DEX	-746.9M	-1.63B	-48.7M	-1.22B	-744.9M
Net VEX	-8.5M	-9.3M	-7.9M	-9.0M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.48	1.57	0.54	1.31
Total Volume	111,889.143	38,184	220,711	103,251	86,273
Total OI	2,920,735.238	2,640,454	3,169,589	2,869,813	2,853,348

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
2011-12-01	$24.92	$24.00	28.9%	8.1%	38.7%	27.4%	28.8%	2.9%	1.7%	45.8M	-1.22B	-9.0M	0.54	4.15	67,017	36,234	1,426,864	1,442,949
2011-12-02	$24.64	$24.00	27.8%	8.0%	38.7%	25.2%	29.5%	3.1%	1.3%	44.3M	-1.04B	-9.2M	1.12	3.67	40,058	44,759	1,455,734	1,454,297
2011-12-05	$25.01	$22.50	31.5%	8.6%	38.3%	32.8%	31.3%	4.6%	-0.3%	50.2M	-1.26B	-8.8M	1.07	4.71	47,303	50,473	1,451,369	1,459,694
2011-12-06	$25.35	$22.50	31.8%	8.9%	37.8%	33.4%	32.2%	4.9%	-0.8%	49.3M	-1.45B	-9.0M	0.90	3.90	91,867	82,943	1,456,906	1,481,676
2011-12-07	$25.66	$22.50	28.7%	8.5%	37.5%	27.0%	31.4%	5.1%	0.0%	49.4M	-1.63B	-9.3M	0.97	3.03	71,437	69,153	1,472,866	1,523,520
2011-12-08	$24.71	$22.50	31.8%	9.3%	37.5%	33.3%	32.6%	4.8%	-0.5%	43.8M	-1.01B	-9.2M	1.00	4.49	82,225	81,943	1,483,407	1,544,912
2011-12-09	$25.01	$22.50	26.2%	8.7%	37.6%	22.0%	30.6%	4.1%	-0.2%	53.2M	-1.23B	-9.0M	0.71	2.24	75,363	53,844	1,502,373	1,566,520
2011-12-12	$24.00	$22.50	28.7%	8.7%	38.7%	27.1%	31.5%	5.0%	-0.3%	29.9M	-483.6M	-8.5M	0.84	3.48	119,648	101,063	1,497,481	1,559,770
2011-12-13	$23.56	$22.50	27.2%	8.1%	39.1%	24.0%	29.7%	5.0%	0.3%	16.3M	-223.3M	-8.3M	0.79	3.19	99,009	78,299	1,520,456	1,577,438
2011-12-14	$23.31	$22.50	27.5%	8.0%	37.5%	24.5%	29.5%	4.9%	2.1%	10.9M	-84.1M	-8.3M	1.11	3.26	58,237	64,874	1,534,790	1,604,087
2011-12-15	$23.31	$22.50	27.4%	7.9%	37.3%	24.5%	28.2%	4.7%	2.3%	10.3M	-77.4M	-8.3M	0.54	2.98	40,383	21,679	1,546,352	1,610,963
2011-12-16	$23.23	$22.50	28.1%	8.0%	36.4%	25.8%	27.0%	4.1%	0.6%	6.0M	-48.7M	-8.1M	1.01	3.36	62,177	63,103	1,554,133	1,615,456
2011-12-19	$23.09	$22.50	27.1%	7.8%	36.5%	23.8%	25.9%	4.0%	0.8%	13.6M	-198.0M	-7.9M	0.56	3.87	49,863	28,064	1,302,139	1,338,315
2011-12-20	$23.84	$22.50	25.8%	7.4%	36.9%	21.2%	26.2%	2.5%	1.1%	24.5M	-531.4M	-8.2M	0.83	6.48	97,111	80,444	1,317,410	1,355,465
2011-12-21	$23.68	$22.50	25.1%	7.2%	36.6%	19.8%	25.4%	2.4%	0.9%	23.5M	-440.7M	-8.3M	0.91	2.81	38,436	35,129	1,351,657	1,409,249
2011-12-22	$24.02	$22.50	24.8%	7.1%	35.7%	19.3%	25.3%	2.8%	1.0%	32.0M	-620.5M	-8.2M	1.57	5.13	33,826	53,253	1,362,553	1,401,656
2011-12-23	$24.40	$22.50	24.6%	7.0%	36.0%	18.7%	24.6%	3.2%	1.4%	34.7M	-841.0M	-8.3M	0.48	2.91	39,269	18,827	1,378,632	1,426,122
2011-12-27	$24.56	$22.50	23.9%	6.9%	34.4%	17.4%	24.5%	3.0%	1.0%	41.1M	-957.6M	-8.2M	1.34	4.57	35,921	48,071	1,384,857	1,422,556
2011-12-28	$24.23	$22.50	25.5%	7.3%	34.9%	20.6%	25.7%	3.0%	1.5%	34.8M	-726.8M	-8.2M	1.40	5.17	26,623	37,287	1,395,259	1,449,420
2011-12-29	$24.55	$22.50	24.3%	7.0%	29.0%	18.2%	25.3%	3.6%	0.8%	37.3M	-857.5M	-8.2M	0.82	8.21	21,031	17,153	1,384,940	1,457,849
2011-12-30	$24.25	$22.50	20.2%	7.7%	29.3%	9.9%	26.8%	2.6%	1.0%	34.6M	-744.9M	-8.1M	1.31	3.10	37,290	48,983	1,392,924	1,460,424