INTC Options History — June 2012

In June 2012, INTC traded between $25.04 and $27.64. ATM implied volatility averaged 24.8%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.3% (HV 20d: 23.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2012-06-15: Highest Volume — 195,502 contracts
2012-06-29: Largest IV drop — 35.2% change
2012-06-05: Highest IV Rank — 32.4%
2012-06-04: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.40	$25.04	$27.64	$25.14	$26.65
Max Pain	$27.05	$27.00	$28.00	$28.00	$27.00
ATM IV	24.8%	17.2%	31.3%	30.3%	17.2%
Expected Move	7.4%	6.4%	8.5%	8.0%	6.8%
HV 20d	23.5%	18.2%	27.8%	19.3%	27.8%
HV 60d	20.6%	18.6%	23.4%	18.6%	23.4%
IV Rank	19.1%	3.7%	32.4%	30.3%	3.7%
IV Percentile	42.9%	3.6%	77.8%	72.6%	3.6%
Term Structure	-0.7%	-1.7%	1.6%	1.6%	-1.2%
VWIV	26.1%	23.3%	29.6%	27.3%	25.9%
Skew 25d	4.8%	2.8%	6.6%	4.2%	5.0%
Skew 10d	9.5%	5.9%	14.1%	7.2%	9.1%
Call IV 25d	24.1%	21.9%	26.7%	26.7%	23.0%
Put IV 25d	29.0%	26.0%	33.2%	30.9%	28.0%
Bid-Ask Spread %	6.50	2.95	12.42	6.55	2.95
Gamma HHI	0.13	0.10	0.16	0.10	0.12
Net GEX	9.5M	-12.8M	36.4M	-1.1M	13.9M
Net DEX	-99.2M	-656.6M	473.9M	391.7M	-197.2M
Net VEX	-7.2M	-7.7M	-6.5M	-7.2M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.31	3.75	0.97	1.35
Total Volume	92,685.524	39,577	195,502	108,211	103,690
Total OI	2,242,487.286	2,071,173	2,424,793	2,253,232	2,214,835

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
2012-06-01	$25.14	$28.00	30.3%	8.0%	19.3%	30.3%	27.3%	4.2%	1.6%	-1.1M	391.7M	-7.2M	0.97	6.55	54,853	53,358	1,209,839	1,043,393
2012-06-04	$25.04	$27.00	31.2%	8.5%	18.2%	32.1%	29.6%	6.6%	-0.5%	-8.6M	473.9M	-7.0M	0.31	12.42	88,382	27,428	1,213,834	1,057,502
2012-06-05	$25.43	$27.00	31.3%	8.2%	19.6%	32.4%	27.7%	6.4%	-0.4%	-6.0M	359.7M	-7.0M	0.64	9.09	44,153	28,126	1,189,544	1,064,029
2012-06-06	$26.07	$27.00	22.1%	7.4%	21.8%	13.8%	25.3%	6.0%	-0.1%	4.5M	83.5M	-7.3M	1.13	11.15	34,993	39,603	1,199,762	1,067,380
2012-06-07	$25.94	$27.00	22.0%	7.4%	21.8%	13.6%	25.9%	5.8%	-0.4%	782.7K	144.2M	-7.2M	1.20	5.75	35,855	43,027	1,207,325	1,076,015
2012-06-08	$26.41	$27.00	21.9%	7.4%	22.9%	13.4%	25.1%	5.2%	-0.2%	9.8M	-91.0M	-7.2M	1.85	5.90	34,734	64,090	1,216,910	1,091,629
2012-06-11	$25.99	$27.00	23.4%	7.6%	22.7%	16.3%	26.7%	5.2%	-0.6%	-9.9M	179.3M	-7.0M	0.96	5.40	43,633	42,066	1,217,287	1,116,578
2012-06-12	$26.52	$27.00	21.6%	7.0%	22.9%	12.7%	26.0%	5.6%	-0.1%	8.5M	-98.5M	-7.3M	0.97	4.65	39,265	37,936	1,238,358	1,109,257
2012-06-13	$26.54	$27.00	21.5%	7.5%	22.9%	12.6%	26.6%	5.4%	-0.7%	11.7M	-137.6M	-7.4M	1.42	7.24	39,574	56,272	1,253,133	1,115,634
2012-06-14	$26.98	$27.00	26.3%	7.5%	23.0%	22.1%	27.2%	5.9%	-0.7%	31.5M	-406.6M	-7.5M	0.53	5.54	77,915	41,089	1,262,604	1,130,124
2012-06-15	$27.34	$27.00	26.2%	7.5%	22.9%	22.0%	25.2%	5.3%	-0.9%	36.4M	-648.9M	-7.7M	1.07	7.15	94,472	101,030	1,278,663	1,146,130
2012-06-18	$27.42	$27.00	24.6%	7.0%	22.8%	18.7%	24.5%	4.2%	-0.9%	32.9M	-564.1M	-7.5M	3.03	7.08	32,404	98,173	1,097,493	973,680
2012-06-19	$27.51	$27.00	22.4%	6.4%	22.8%	14.3%	24.0%	4.2%	-0.8%	30.8M	-589.7M	-7.3M	0.97	4.42	22,628	22,003	1,107,442	1,034,964
2012-06-20	$27.64	$27.00	22.8%	6.5%	22.6%	15.2%	23.3%	4.1%	-1.1%	35.4M	-656.6M	-7.4M	0.51	8.95	50,097	25,726	1,115,255	1,041,537
2012-06-21	$26.71	$27.00	24.7%	7.1%	24.6%	19.0%	25.7%	4.2%	-1.2%	11.5M	-240.4M	-7.2M	1.58	5.45	28,992	45,726	1,136,428	1,041,624
2012-06-22	$26.94	$27.00	24.0%	6.9%	24.6%	17.7%	25.5%	5.0%	-1.0%	7.1M	-314.9M	-7.3M	1.80	4.02	14,145	25,432	1,140,928	1,006,550
2012-06-25	$26.05	$27.00	27.2%	7.8%	27.7%	24.1%	27.0%	4.0%	-1.7%	2.3M	32.0M	-6.8M	1.18	5.54	42,658	50,223	1,137,686	1,005,020
2012-06-26	$26.01	$27.00	26.3%	7.5%	27.3%	22.3%	26.5%	3.1%	-1.3%	-1.5M	52.3M	-6.8M	1.18	4.83	29,681	35,074	1,139,704	1,016,799
2012-06-27	$26.22	$27.00	26.4%	7.6%	27.5%	22.3%	25.4%	2.8%	-1.4%	3.1M	-50.8M	-6.8M	3.75	5.80	19,044	71,477	1,148,472	1,020,135
2012-06-28	$25.83	$27.00	26.5%	7.6%	27.7%	22.6%	27.1%	3.1%	-1.4%	-12.8M	197.0M	-6.5M	1.59	6.60	41,410	65,959	1,153,941	1,054,810
2012-06-29	$26.65	$27.00	17.2%	6.8%	27.8%	3.7%	25.9%	5.0%	-1.2%	13.9M	-197.2M	-6.8M	1.35	2.95	44,050	59,640	1,157,494	1,057,341