INTC Options History — April 2012

In April 2012, INTC traded between $27.31 and $28.48. ATM implied volatility averaged 21.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.5% (HV 20d: 16.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2012-04-18: Highest Volume — 660,530 contracts
2012-04-09: Largest IV spike — 32.6% change
2012-04-11: Highest IV Rank — 30.4%
2012-04-10: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.99	$27.31	$28.48	$28.38	$28.40
Max Pain	$26.90	$26.00	$28.00	$26.00	$28.00
ATM IV	21.5%	16.4%	30.3%	21.1%	22.8%
Expected Move	6.4%	5.1%	7.4%	6.9%	5.8%
HV 20d	16.0%	11.9%	19.2%	11.9%	18.6%
HV 60d	14.9%	14.2%	15.3%	14.7%	15.2%
IV Rank	12.4%	2.1%	30.4%	11.8%	15.2%
IV Percentile	25.2%	0.8%	73.4%	24.2%	32.5%
Term Structure	-0.8%	-3.1%	1.7%	-2.7%	0.3%
VWIV	22.5%	18.7%	26.1%	23.9%	20.4%
Skew 25d	2.9%	1.6%	3.9%	1.7%	2.8%
Skew 10d	5.3%	2.0%	7.8%	3.0%	5.6%
Call IV 25d	21.4%	17.4%	25.1%	23.4%	18.8%
Put IV 25d	24.3%	20.8%	28.2%	25.0%	21.6%
Bid-Ask Spread %	3.71	2.01	9.02	3.07	4.48
Gamma HHI	0.18	0.15	0.21	0.20	0.21
Net GEX	51.2M	32.3M	70.5M	46.3M	59.1M
Net DEX	-1.12B	-1.62B	-555.5M	-1.33B	-1.07B
Net VEX	-8.3M	-9.3M	-7.5M	-7.8M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.10	0.87	0.40	0.36
Total Volume	153,309.8	38,846	660,530	93,884	47,108
Total OI	2,321,714.65	2,073,806	2,735,223	2,073,806	2,208,355

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
2012-04-02	$28.38	$26.00	21.1%	6.9%	11.9%	11.8%	23.9%	1.7%	-2.7%	46.3M	-1.33B	-7.8M	0.40	3.07	67,026	26,858	1,043,761	1,030,045
2012-04-03	$28.11	$26.00	18.9%	6.9%	12.7%	7.2%	23.7%	2.2%	-2.5%	49.2M	-1.25B	-7.5M	0.48	3.73	60,397	28,828	1,080,557	1,037,916
2012-04-04	$27.93	$26.00	18.7%	7.3%	12.7%	6.8%	26.1%	1.6%	-3.1%	47.4M	-1.18B	-7.7M	0.47	4.15	93,882	44,375	1,108,750	1,052,460
2012-04-05	$28.07	$26.00	16.4%	7.3%	12.6%	2.1%	25.8%	1.8%	-2.9%	57.2M	-1.28B	-7.8M	0.53	3.28	25,370	13,476	1,161,774	1,074,339
2012-04-09	$27.76	$26.00	21.7%	6.9%	13.2%	12.9%	24.6%	2.5%	-1.4%	43.3M	-1.04B	-8.1M	0.50	2.99	86,186	42,845	1,154,680	1,073,585
2012-04-10	$27.45	$27.00	25.4%	7.4%	13.9%	20.4%	24.9%	3.6%	-1.2%	39.4M	-896.5M	-8.6M	0.10	3.25	355,368	34,673	1,211,098	1,090,233
2012-04-11	$27.85	$27.00	30.3%	7.0%	13.2%	30.4%	23.9%	3.3%	-1.0%	53.8M	-1.19B	-9.3M	0.15	3.87	54,537	8,389	1,347,914	1,103,956
2012-04-12	$28.48	$27.00	24.0%	6.9%	15.3%	17.6%	23.2%	3.8%	-1.0%	70.5M	-1.62B	-8.6M	0.29	3.86	96,204	28,157	1,363,951	1,100,686
2012-04-13	$28.09	$27.00	25.0%	7.2%	15.9%	19.6%	24.9%	3.5%	-1.3%	56.7M	-1.34B	-9.1M	0.34	3.84	38,869	13,299	1,343,586	1,111,882
2012-04-16	$28.41	$27.00	25.7%	7.4%	16.3%	21.1%	25.4%	3.6%	-1.9%	62.6M	-1.50B	-8.8M	0.50	4.09	84,848	42,719	1,323,637	1,106,423
2012-04-17	$28.47	$27.00	25.5%	7.3%	16.3%	20.5%	24.6%	3.2%	-2.1%	67.9M	-1.58B	-8.2M	0.80	9.02	200,624	159,861	1,353,105	1,126,330
2012-04-18	$27.95	$27.00	20.1%	5.8%	17.8%	9.8%	20.1%	3.5%	0.6%	49.1M	-1.19B	-8.0M	0.43	3.21	460,349	200,181	1,411,578	1,163,716
2012-04-19	$27.69	$27.00	19.2%	5.5%	18.1%	7.8%	20.2%	3.9%	1.4%	53.1M	-1.01B	-8.8M	0.85	2.54	81,341	68,882	1,557,713	1,177,510
2012-04-20	$27.60	$27.00	17.7%	5.1%	18.0%	4.9%	18.7%	3.4%	1.7%	38.5M	-908.9M	-8.0M	0.52	4.35	65,784	34,181	1,482,011	1,191,272
2012-04-23	$27.45	$27.00	19.1%	5.5%	18.1%	7.7%	18.8%	2.8%	0.7%	36.7M	-645.2M	-7.7M	0.54	2.99	52,770	28,374	1,188,031	922,921
2012-04-24	$27.31	$27.00	19.3%	5.5%	17.6%	8.0%	20.4%	2.9%	0.5%	32.3M	-555.5M	-8.2M	0.65	2.01	58,643	37,877	1,200,998	936,106
2012-04-25	$27.86	$27.00	19.0%	5.4%	19.2%	7.4%	19.6%	2.5%	-0.1%	46.9M	-804.5M	-8.5M	0.87	2.51	45,309	39,587	1,210,034	949,594
2012-04-26	$28.22	$28.00	19.4%	5.6%	19.1%	8.3%	20.3%	2.2%	0.3%	54.8M	-989.1M	-8.6M	0.76	3.31	70,800	53,572	1,220,787	976,472
2012-04-27	$28.38	$28.00	20.0%	5.6%	18.6%	9.5%	19.5%	2.9%	0.6%	59.3M	-1.09B	-8.8M	0.73	3.64	66,331	48,316	1,242,857	993,670
2012-04-30	$28.40	$28.00	22.8%	5.8%	18.6%	15.2%	20.4%	2.8%	0.3%	59.1M	-1.07B	-8.3M	0.36	4.48	34,620	12,488	1,224,946	983,409