INTC Options History — January 2012

In January 2012, INTC traded between $24.54 and $26.90. ATM implied volatility averaged 24.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.3% (HV 20d: 22.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2012-01-19: Highest Volume — 375,547 contracts
2012-01-11: Largest IV spike — 22.3% change
2012-01-11: Highest IV Rank — 34.5%
2012-01-05: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.88	$24.54	$26.90	$24.54	$26.42
Max Pain	$24.13	$22.50	$25.00	$22.50	$25.00
ATM IV	24.1%	18.8%	32.4%	25.9%	24.9%
Expected Move	6.7%	5.4%	7.8%	7.5%	5.9%
HV 20d	22.8%	19.0%	30.1%	29.4%	19.0%
HV 60d	30.9%	29.7%	31.7%	31.5%	29.8%
IV Rank	17.8%	7.1%	34.5%	21.5%	19.3%
IV Percentile	37.6%	7.9%	83.7%	49.6%	41.7%
Term Structure	-0.3%	-1.4%	1.4%	-0.3%	1.4%
VWIV	24.8%	20.9%	28.0%	27.1%	21.9%
Skew 25d	4.4%	2.8%	6.1%	2.8%	3.6%
Skew 10d	9.1%	5.4%	13.0%	6.0%	7.3%
Call IV 25d	22.0%	17.7%	25.8%	25.7%	18.8%
Put IV 25d	26.4%	21.7%	30.1%	28.5%	22.4%
Bid-Ask Spread %	5.23	1.92	8.07	5.36	4.12
Gamma HHI	0.18	0.16	0.28	0.20	0.17
Net GEX	42.6M	27.5M	56.9M	41.2M	27.5M
Net DEX	-1.23B	-2.10B	-777.4M	-868.5M	-777.4M
Net VEX	-7.6M	-8.1M	-7.0M	-8.1M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.35	1.38	0.72	0.72
Total Volume	136,741.75	62,895	375,547	76,712	85,206
Total OI	2,610,426.8	1,681,305	3,295,162	2,888,825	1,848,853

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
2012-01-03	$24.54	$22.50	25.9%	7.5%	29.4%	21.5%	27.1%	2.8%	-0.3%	41.2M	-868.5M	-8.1M	0.72	5.36	44,592	32,120	1,404,702	1,484,123
2012-01-04	$25.11	$22.50	24.6%	7.6%	30.1%	18.8%	26.8%	3.3%	-0.5%	49.0M	-1.21B	-8.0M	0.67	6.37	65,964	44,215	1,418,103	1,496,874
2012-01-05	$25.40	$22.50	23.5%	7.8%	30.0%	16.5%	27.2%	3.3%	-1.1%	52.5M	-1.42B	-8.1M	1.25	8.07	65,640	82,138	1,435,932	1,503,212
2012-01-06	$25.25	$24.00	25.3%	7.4%	29.7%	20.2%	26.8%	5.8%	-0.8%	50.0M	-1.34B	-8.1M	1.14	4.76	39,571	45,068	1,447,768	1,519,848
2012-01-09	$25.47	$24.00	29.4%	7.7%	26.5%	28.4%	26.5%	5.8%	-1.4%	50.5M	-1.42B	-8.0M	1.05	4.72	56,508	59,296	1,453,627	1,531,349
2012-01-10	$25.59	$24.00	26.5%	7.3%	26.2%	22.5%	26.6%	6.1%	-1.3%	52.2M	-1.48B	-8.0M	0.95	5.68	60,594	57,431	1,464,155	1,558,296
2012-01-11	$25.80	$24.00	32.4%	7.6%	20.9%	34.5%	28.0%	5.6%	-1.3%	51.9M	-1.60B	-7.8M	1.08	3.97	62,320	67,605	1,472,854	1,582,998
2012-01-12	$25.75	$24.00	25.5%	7.3%	19.4%	20.6%	26.9%	5.9%	-1.0%	53.3M	-1.55B	-8.0M	0.35	5.41	62,945	21,901	1,487,281	1,595,235
2012-01-13	$25.14	$24.00	26.5%	7.6%	21.3%	22.6%	27.4%	6.1%	-1.2%	46.5M	-1.20B	-7.8M	0.78	5.81	57,698	45,036	1,497,515	1,595,649
2012-01-17	$25.04	$24.00	26.1%	7.5%	21.4%	21.8%	27.8%	5.6%	-1.3%	45.6M	-1.12B	-7.5M	1.29	5.86	55,903	72,345	1,489,637	1,591,812
2012-01-18	$25.39	$24.00	25.7%	7.4%	21.5%	21.0%	25.4%	5.1%	-1.4%	46.6M	-1.33B	-7.5M	1.38	7.98	97,367	134,106	1,490,821	1,619,322
2012-01-19	$25.63	$24.00	24.7%	7.1%	21.2%	18.9%	26.0%	4.5%	-1.3%	41.6M	-1.50B	-7.4M	0.96	6.13	192,059	183,488	1,503,575	1,686,499
2012-01-20	$26.38	$24.00	19.6%	5.6%	20.7%	8.6%	20.9%	4.2%	1.0%	56.9M	-2.10B	-7.0M	0.35	4.36	247,133	87,681	1,552,917	1,742,245
2012-01-23	$26.71	$25.00	18.8%	5.4%	20.4%	7.1%	21.6%	3.6%	0.8%	29.0M	-940.9M	-7.0M	0.45	3.17	126,315	57,287	851,698	829,607
2012-01-24	$26.90	$25.00	19.6%	5.6%	20.2%	8.5%	21.1%	3.5%	0.3%	33.7M	-998.7M	-7.2M	1.04	4.51	45,031	46,815	891,909	853,040
2012-01-25	$26.90	$25.00	19.5%	5.6%	19.9%	8.4%	21.2%	3.2%	0.7%	30.8M	-975.7M	-7.3M	0.67	6.70	80,978	54,550	900,323	882,407
2012-01-26	$26.75	$25.00	19.4%	5.6%	20.2%	8.3%	21.9%	3.2%	1.0%	32.2M	-930.3M	-7.6M	0.82	5.88	34,793	28,392	936,930	900,726
2012-01-27	$26.73	$25.00	20.6%	5.4%	19.2%	10.7%	22.6%	3.1%	1.4%	30.2M	-925.3M	-7.6M	0.80	3.74	34,972	27,923	945,181	912,451
2012-01-30	$26.74	$25.00	24.4%	5.7%	19.0%	18.4%	22.4%	2.8%	0.9%	31.2M	-913.2M	-7.5M	0.78	1.92	40,410	31,439	932,012	897,050
2012-01-31	$26.42	$25.00	24.9%	5.9%	19.0%	19.3%	21.9%	3.6%	1.4%	27.5M	-777.4M	-7.6M	0.72	4.12	49,453	35,753	940,146	908,707