INTC Options History — November 2012

In November 2012, INTC traded between $19.36 and $22.26. ATM implied volatility averaged 23.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.1% (HV 20d: 25.6%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2012-11-02: Highest Volume — 852,496 contracts
2012-11-05: Largest IV spike — 33.6% change
2012-11-06: Highest IV Rank — 73.9%
2012-11-14: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.45	$19.36	$22.26	$22.26	$19.57
Max Pain	$22.19	$21.00	$23.00	$22.00	$21.00
ATM IV	23.5%	20.1%	30.5%	20.1%	23.7%
Expected Move	6.4%	5.6%	7.0%	5.6%	6.6%
HV 20d	25.6%	23.4%	27.5%	24.6%	24.5%
HV 60d	23.9%	22.6%	24.9%	22.7%	24.6%
IV Rank	41.3%	25.2%	73.9%	25.2%	42.2%
IV Percentile	52.1%	27.8%	91.7%	27.8%	58.3%
Term Structure	2.7%	0.9%	4.0%	0.9%	2.5%
VWIV	23.1%	19.5%	28.8%	19.5%	23.9%
Skew 25d	2.5%	0.9%	4.4%	3.3%	0.9%
Skew 10d	4.9%	1.5%	8.0%	7.2%	1.5%
Call IV 25d	22.0%	18.8%	24.4%	18.8%	23.9%
Put IV 25d	24.5%	22.1%	26.2%	22.1%	24.8%
Bid-Ask Spread %	5.46	2.89	10.26	4.47	2.89
Gamma HHI	0.23	0.18	0.29	0.21	0.21
Net GEX	-18.9M	-26.2M	-11.6M	-11.6M	-17.9M
Net DEX	874.6M	393.0M	1.07B	393.0M	1.01B
Net VEX	-4.8M	-5.5M	-4.1M	-5.5M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.06	1.36	0.56	0.64
Total Volume	152,254.905	66,102	852,496	136,388	96,624
Total OI	2,175,978.143	2,031,211	2,314,884	2,110,185	2,314,884

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
2012-11-01	$22.26	$22.00	20.1%	5.6%	24.6%	25.2%	19.5%	3.3%	0.9%	-11.6M	393.0M	-5.5M	0.56	4.47	87,517	48,871	1,046,678	1,063,507
2012-11-02	$22.06	$23.00	21.8%	5.7%	24.4%	32.8%	28.8%	4.4%	1.8%	-13.9M	498.0M	-5.4M	0.06	5.19	801,688	50,808	1,060,966	1,075,856
2012-11-05	$21.84	$23.00	29.1%	6.2%	24.6%	67.2%	21.9%	3.3%	1.9%	-16.4M	589.0M	-5.5M	1.29	5.40	38,863	49,960	1,029,939	1,082,782
2012-11-06	$21.73	$23.00	30.5%	6.0%	24.3%	73.9%	21.8%	3.7%	4.0%	-18.5M	628.8M	-5.4M	1.09	6.51	35,746	38,803	1,040,719	1,077,701
2012-11-07	$20.91	$23.00	23.3%	6.5%	27.5%	40.4%	22.6%	3.1%	2.3%	-26.2M	929.3M	-4.8M	1.17	5.31	64,921	76,180	1,046,151	1,085,503
2012-11-08	$20.83	$23.00	23.5%	6.9%	26.0%	41.0%	23.7%	3.2%	2.9%	-26.1M	927.7M	-5.0M	0.41	5.04	102,022	41,447	1,064,217	1,095,138
2012-11-09	$20.80	$22.00	22.6%	6.7%	26.0%	37.1%	23.8%	3.9%	2.7%	-21.9M	893.1M	-5.0M	1.04	4.61	43,569	45,451	1,105,531	1,092,344
2012-11-12	$20.77	$22.00	23.5%	6.5%	26.0%	41.3%	23.1%	3.7%	3.0%	-24.6M	880.6M	-4.9M	0.64	4.71	47,608	30,479	1,101,836	1,080,635
2012-11-13	$20.28	$22.00	24.4%	6.8%	27.0%	45.4%	23.3%	2.1%	2.8%	-22.7M	1.01B	-4.5M	0.59	10.26	87,302	51,414	1,117,647	1,082,785
2012-11-14	$19.96	$22.00	25.8%	7.0%	26.8%	51.9%	24.8%	1.7%	2.4%	-19.9M	1.07B	-4.4M	0.92	7.05	66,336	61,326	1,144,484	1,086,758
2012-11-15	$20.03	$22.00	23.7%	6.8%	24.2%	41.9%	23.9%	1.9%	2.6%	-20.9M	1.05B	-4.5M	0.91	6.55	47,906	43,678	1,159,591	1,099,005
2012-11-16	$20.19	$22.00	23.0%	6.6%	23.4%	38.8%	22.9%	2.1%	3.0%	-20.6M	1.01B	-4.7M	0.89	4.49	65,688	58,370	1,166,840	1,107,428
2012-11-19	$20.25	$22.00	22.6%	6.5%	23.5%	36.8%	23.1%	2.5%	2.8%	-16.0M	812.1M	-4.8M	0.86	5.27	69,152	59,394	1,025,041	1,006,170
2012-11-20	$19.51	$22.00	22.3%	6.4%	25.9%	35.4%	22.7%	2.3%	3.0%	-16.8M	1.02B	-4.1M	0.74	4.39	108,376	80,520	1,052,820	1,029,792
2012-11-21	$19.36	$22.00	22.9%	6.6%	25.5%	38.4%	22.3%	2.4%	3.1%	-19.2M	1.06B	-4.2M	0.56	4.66	64,914	36,303	1,079,169	1,060,498
2012-11-23	$19.72	$22.00	22.3%	6.4%	26.6%	35.4%	22.4%	2.0%	2.6%	-15.8M	944.1M	-4.5M	0.88	3.46	59,761	52,677	1,100,341	1,063,297
2012-11-26	$19.89	$22.00	22.5%	6.5%	27.0%	36.5%	22.8%	1.9%	2.8%	-18.4M	909.8M	-4.6M	0.28	3.95	51,834	14,268	1,099,874	1,081,362
2012-11-27	$19.93	$22.00	22.0%	6.3%	26.5%	34.1%	22.3%	1.1%	3.4%	-16.7M	877.2M	-4.7M	0.24	7.38	64,139	15,125	1,118,193	1,084,958
2012-11-28	$20.09	$22.00	22.0%	6.3%	26.2%	34.1%	22.2%	2.6%	3.3%	-16.2M	840.0M	-4.8M	0.69	6.25	45,930	31,543	1,131,983	1,087,575
2012-11-29	$19.53	$22.00	22.7%	6.5%	27.4%	37.4%	23.4%	1.2%	2.8%	-16.7M	1.02B	-4.4M	1.36	6.83	110,424	150,416	1,144,365	1,101,178
2012-11-30	$19.57	$21.00	23.7%	6.6%	24.5%	42.2%	23.9%	0.9%	2.5%	-17.9M	1.01B	-4.7M	0.64	2.89	58,852	37,772	1,178,796	1,136,088