INTC Options History — March 2012

In March 2012, INTC traded between $26.54 and $28.19. ATM implied volatility averaged 19.2%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.0% (HV 20d: 14.2%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2012-03-27: Highest Volume — 159,664 contracts
2012-03-30: Largest IV drop — 25.9% change
2012-03-29: Highest IV Rank — 16.3%
2012-03-29: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.48	$26.54	$28.19	$26.86	$28.11
Max Pain	$25.73	$25.00	$27.00	$27.00	$26.00
ATM IV	19.2%	15.3%	23.4%	18.1%	17.3%
Expected Move	6.0%	4.8%	6.7%	5.0%	6.6%
HV 20d	14.2%	12.3%	16.3%	14.0%	13.1%
HV 60d	17.5%	14.8%	21.5%	21.5%	14.8%
IV Rank	7.3%	0.0%	16.3%	2.4%	4.1%
IV Percentile	12.3%	0.0%	34.9%	2.4%	3.2%
Term Structure	0.3%	-2.1%	5.2%	4.7%	-2.0%
VWIV	21.3%	16.9%	23.5%	18.2%	23.1%
Skew 25d	2.6%	1.1%	3.5%	1.1%	1.8%
Skew 10d	5.9%	2.2%	8.7%	2.2%	3.5%
Call IV 25d	20.2%	16.7%	22.4%	18.1%	22.4%
Put IV 25d	22.9%	18.9%	25.2%	19.2%	24.2%
Bid-Ask Spread %	4.17	2.82	7.51	5.31	3.49
Gamma HHI	0.20	0.15	0.31	0.20	0.19
Net GEX	30.9M	18.9M	44.7M	26.4M	44.7M
Net DEX	-922.4M	-1.24B	-520.5M	-674.7M	-1.24B
Net VEX	-8.1M	-8.6M	-7.7M	-8.6M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.28	2.03	2.03	0.28
Total Volume	70,248.364	27,094	159,664	95,865	53,337
Total OI	1,988,755.227	1,821,169	2,083,691	1,978,763	2,083,691

Daily Data (22 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
2012-03-01	$26.86	$27.00	18.1%	5.0%	14.0%	2.4%	18.2%	1.1%	4.7%	26.4M	-674.7M	-8.6M	2.03	5.31	31,660	64,205	964,998	1,013,765
2012-03-02	$26.91	$27.00	16.1%	4.8%	13.9%	0.0%	16.9%	2.3%	5.2%	27.4M	-649.2M	-8.6M	0.70	2.89	35,029	24,654	970,414	1,042,140
2012-03-05	$26.54	$25.00	20.0%	6.3%	14.5%	8.1%	22.4%	3.3%	0.3%	18.9M	-520.5M	-8.5M	0.71	6.68	33,230	23,644	962,011	1,017,603
2012-03-06	$26.61	$25.00	21.1%	6.5%	14.5%	10.3%	23.3%	3.5%	0.2%	19.5M	-540.8M	-8.6M	1.00	7.51	33,987	34,096	967,064	1,025,278
2012-03-07	$26.91	$25.00	16.7%	6.3%	15.0%	1.3%	22.7%	3.4%	0.5%	27.3M	-721.3M	-8.3M	0.76	3.29	28,044	21,311	971,198	1,031,400
2012-03-08	$26.84	$25.00	16.5%	6.1%	14.8%	0.8%	21.2%	3.4%	0.3%	25.3M	-678.0M	-8.2M	0.62	4.31	47,941	29,948	976,154	1,032,513
2012-03-09	$27.07	$25.00	15.3%	6.0%	15.1%	0.0%	20.9%	2.7%	0.7%	38.2M	-839.6M	-8.3M	1.08	5.24	31,467	33,838	993,047	1,036,232
2012-03-12	$26.98	$25.00	16.4%	5.9%	15.0%	2.2%	21.6%	2.9%	0.7%	29.8M	-714.8M	-8.1M	0.64	2.99	16,495	10,599	992,105	1,038,685
2012-03-13	$27.49	$25.00	17.4%	6.1%	16.3%	4.3%	21.1%	3.3%	0.1%	37.9M	-1.01B	-8.0M	0.59	4.23	46,149	27,236	994,348	1,040,145
2012-03-14	$27.46	$25.00	16.5%	6.2%	16.3%	2.3%	21.2%	2.9%	0.2%	39.1M	-1.00B	-8.1M	1.63	3.57	46,669	76,096	999,237	1,041,592
2012-03-15	$27.75	$26.00	20.6%	5.9%	16.3%	10.7%	21.3%	2.9%	0.0%	44.5M	-1.14B	-7.8M	0.45	4.23	41,602	18,778	999,612	1,072,017
2012-03-16	$27.73	$26.00	19.4%	5.6%	16.1%	8.3%	20.1%	2.6%	0.7%	25.0M	-1.10B	-7.8M	0.38	4.20	48,318	18,507	999,887	1,076,710
2012-03-19	$27.74	$26.00	19.7%	5.7%	14.5%	8.9%	20.4%	2.9%	0.3%	24.0M	-948.3M	-7.7M	1.03	3.74	42,550	44,038	878,762	942,407
2012-03-20	$27.75	$26.00	20.6%	5.9%	14.2%	10.6%	21.1%	2.7%	-0.2%	25.1M	-945.1M	-7.9M	1.27	4.47	20,068	25,546	899,461	973,247
2012-03-21	$27.77	$26.00	19.7%	5.6%	12.7%	8.8%	20.1%	3.1%	0.1%	25.6M	-956.2M	-7.9M	0.53	3.85	21,163	11,248	909,088	986,440
2012-03-22	$27.90	$26.00	20.6%	5.9%	12.6%	10.8%	21.2%	3.0%	-0.1%	28.1M	-1.04B	-7.9M	0.49	2.82	34,431	16,702	918,604	990,537
2012-03-23	$27.88	$26.00	20.6%	5.9%	12.6%	10.7%	21.4%	2.4%	-0.2%	27.1M	-1.01B	-7.9M	1.10	3.08	30,410	33,507	928,603	995,306
2012-03-26	$28.19	$26.00	21.5%	6.2%	12.9%	12.5%	21.6%	2.0%	-0.8%	30.9M	-1.16B	-7.9M	0.51	4.09	49,429	25,315	934,646	1,003,232
2012-03-27	$28.19	$26.00	21.9%	6.3%	12.3%	13.3%	21.7%	2.0%	-1.4%	32.9M	-1.17B	-8.0M	0.59	3.79	100,388	59,276	950,196	1,005,310
2012-03-28	$27.80	$26.00	22.4%	6.4%	12.4%	14.4%	22.6%	1.9%	-1.6%	37.5M	-1.04B	-8.0M	0.64	4.11	46,403	29,672	1,016,752	1,013,892
2012-03-29	$28.16	$26.00	23.4%	6.7%	13.0%	16.3%	23.5%	2.1%	-2.1%	44.7M	-1.20B	-8.1M	0.41	3.77	55,515	22,963	1,035,542	1,028,744
2012-03-30	$28.11	$26.00	17.3%	6.6%	13.1%	4.1%	23.1%	1.8%	-2.0%	44.7M	-1.24B	-8.0M	0.28	3.49	41,587	11,750	1,050,978	1,032,713