INTC Options History — August 2012

In August 2012, INTC traded between $24.27 and $26.88. ATM implied volatility averaged 19.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.8% (HV 20d: 18.5%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2012-08-02: Highest Volume — 1,244,530 contracts
2012-08-02: Largest IV drop — 35.6% change
2012-08-01: Highest IV Rank — 30.5%
2012-08-30: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.87	$24.27	$26.88	$25.93	$24.83
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	19.4%	14.7%	30.3%	30.3%	23.1%
Expected Move	5.4%	4.7%	6.6%	5.6%	6.3%
HV 20d	18.5%	14.0%	24.8%	24.8%	18.0%
HV 60d	23.5%	22.7%	24.2%	24.2%	23.2%
IV Rank	12.1%	0.0%	30.5%	30.5%	25.9%
IV Percentile	18.4%	0.0%	72.6%	72.6%	41.7%
Term Structure	3.5%	1.2%	4.5%	1.2%	3.9%
VWIV	19.1%	15.9%	22.8%	21.8%	22.6%
Skew 25d	3.3%	1.4%	4.3%	3.5%	3.0%
Skew 10d	7.0%	3.3%	8.4%	6.4%	5.9%
Call IV 25d	17.8%	15.7%	21.9%	19.0%	21.2%
Put IV 25d	21.1%	19.4%	24.3%	22.6%	24.2%
Bid-Ask Spread %	4.74	2.57	11.24	4.55	11.24
Gamma HHI	0.16	0.13	0.19	0.14	0.14
Net GEX	12.4M	-22.7M	36.5M	15.5M	-7.3M
Net DEX	-114.7M	-569.7M	516.6M	-151.4M	304.3M
Net VEX	-6.5M	-7.0M	-6.2M	-6.6M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.02	2.28	0.77	0.96
Total Volume	147,752	40,126	1,244,530	67,508	163,411
Total OI	1,919,210	1,779,441	2,132,291	1,856,459	2,132,291

Daily Data (23 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
2012-08-01	$25.93	$26.00	30.3%	5.6%	24.8%	30.5%	21.8%	3.5%	1.2%	15.5M	-151.4M	-6.6M	0.77	4.55	38,131	29,377	903,524	952,935
2012-08-02	$25.91	$26.00	19.6%	5.2%	24.5%	8.6%	15.9%	1.4%	1.9%	11.8M	-148.4M	-6.8M	0.02	2.67	1,215,347	29,183	909,891	968,472
2012-08-03	$26.23	$26.00	19.5%	5.3%	24.4%	8.4%	18.6%	2.0%	2.1%	18.8M	-279.8M	-6.9M	0.76	2.57	72,624	55,240	881,252	969,346
2012-08-06	$26.31	$26.00	22.2%	5.7%	24.5%	13.9%	20.1%	3.5%	2.8%	21.4M	-310.0M	-6.7M	1.01	5.89	25,619	25,762	894,523	974,581
2012-08-07	$26.50	$26.00	22.8%	5.6%	22.9%	15.1%	19.5%	3.1%	3.0%	26.6M	-388.3M	-6.6M	0.91	2.76	21,026	19,100	901,297	972,075
2012-08-08	$26.60	$26.00	15.4%	5.0%	22.7%	0.1%	18.0%	3.3%	3.3%	29.3M	-415.9M	-6.6M	0.71	4.15	34,969	24,871	906,416	974,994
2012-08-09	$26.70	$26.00	15.1%	5.0%	20.0%	0.0%	18.1%	2.9%	3.0%	32.4M	-467.0M	-6.8M	1.41	3.36	40,963	57,593	910,275	981,628
2012-08-10	$26.88	$26.00	14.7%	4.9%	19.1%	0.0%	17.6%	3.8%	3.1%	36.5M	-569.7M	-6.5M	0.45	6.08	52,100	23,524	923,712	994,237
2012-08-13	$26.69	$26.00	16.2%	4.8%	19.2%	4.7%	17.7%	3.8%	3.3%	33.9M	-453.5M	-6.6M	0.72	3.57	29,187	20,995	916,391	989,290
2012-08-14	$26.48	$26.00	19.3%	5.3%	19.4%	14.1%	18.2%	3.7%	3.3%	27.8M	-360.2M	-6.4M	0.38	5.76	54,689	20,799	919,352	997,211
2012-08-15	$26.27	$26.00	18.8%	5.2%	16.1%	12.8%	18.5%	3.7%	3.5%	23.6M	-283.0M	-6.5M	1.30	4.95	18,325	23,813	947,786	1,000,097
2012-08-16	$26.59	$26.00	16.3%	4.7%	16.5%	5.1%	17.9%	3.8%	3.8%	32.5M	-411.5M	-6.6M	0.94	3.01	23,867	22,363	941,868	998,376
2012-08-17	$26.33	$26.00	17.5%	5.0%	15.0%	8.6%	17.1%	3.6%	4.1%	23.0M	-293.5M	-6.4M	0.72	3.58	69,642	50,446	949,112	1,008,095
2012-08-20	$26.23	$26.00	17.4%	5.0%	14.5%	8.4%	17.5%	3.8%	3.9%	15.5M	-223.3M	-6.5M	1.03	3.56	30,610	31,679	856,905	922,536
2012-08-21	$26.11	$26.00	17.2%	4.9%	14.0%	7.6%	17.3%	3.7%	3.9%	12.6M	-158.8M	-6.4M	0.95	3.89	35,146	33,346	870,648	934,574
2012-08-22	$25.73	$26.00	17.1%	4.9%	15.2%	7.4%	18.1%	3.8%	4.3%	6.1M	-18.6M	-6.3M	0.71	4.08	53,321	37,609	881,593	950,145
2012-08-23	$25.04	$26.00	19.2%	5.5%	17.4%	13.9%	19.0%	3.6%	4.3%	-2.8M	262.1M	-6.2M	1.47	4.23	105,709	155,440	894,681	961,675
2012-08-24	$24.91	$26.00	19.8%	5.7%	15.5%	15.7%	20.2%	4.3%	4.0%	-11.7M	335.9M	-6.4M	0.72	5.04	94,313	68,064	924,813	1,030,232
2012-08-27	$24.84	$26.00	19.8%	5.7%	15.2%	15.8%	20.4%	3.7%	4.2%	-13.3M	303.9M	-6.3M	0.89	4.21	36,546	32,544	944,739	1,041,336
2012-08-28	$25.00	$26.00	19.9%	5.7%	15.5%	16.1%	20.6%	3.7%	4.5%	-9.9M	219.9M	-6.5M	1.70	5.54	34,899	59,402	949,230	1,043,407
2012-08-29	$24.67	$26.00	21.1%	6.0%	15.5%	19.7%	21.6%	3.1%	4.2%	-15.1M	352.9M	-6.6M	1.58	4.89	66,974	105,689	959,795	1,065,234
2012-08-30	$24.27	$26.00	22.9%	6.6%	16.3%	25.3%	22.8%	2.3%	4.0%	-22.7M	516.6M	-6.5M	2.28	9.36	47,002	107,037	988,395	1,102,865
2012-08-31	$24.83	$26.00	23.1%	6.3%	18.0%	25.9%	22.6%	3.0%	3.9%	-7.3M	304.3M	-7.0M	0.96	11.24	83,510	79,901	1,004,189	1,128,102