INTC Options History — January 2013

In January 2013, INTC traded between $20.95 and $22.68. ATM implied volatility averaged 21.9%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.6% (HV 20d: 25.6%). Max pain ranged from $21.00 to $22.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2013-01-17: Highest Volume — 654,992 contracts
2013-01-09: Largest IV spike — 29.3% change
2013-01-09: Highest IV Rank — 78.6%
2013-01-03: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.44	$20.95	$22.68	$21.38	$21.04
Max Pain	$21.76	$21.00	$22.50	$22.50	$21.00
ATM IV	21.9%	18.0%	31.5%	19.9%	20.0%
Expected Move	6.4%	5.1%	7.7%	7.7%	5.3%
HV 20d	25.6%	20.1%	32.4%	22.3%	28.8%
HV 60d	25.0%	22.9%	26.7%	24.4%	25.9%
IV Rank	33.8%	15.6%	78.6%	24.3%	24.8%
IV Percentile	41.6%	10.7%	97.6%	24.2%	27.4%
Term Structure	-1.0%	-2.9%	1.4%	-1.6%	0.2%
VWIV	23.1%	18.9%	27.3%	27.2%	19.6%
Skew 25d	3.1%	0.3%	4.8%	3.2%	0.3%
Skew 10d	5.9%	2.0%	9.1%	7.8%	2.0%
Call IV 25d	21.5%	17.0%	26.5%	25.9%	19.5%
Put IV 25d	24.5%	19.8%	29.1%	29.1%	19.8%
Bid-Ask Spread %	8.76	2.20	102.29	3.66	4.63
Gamma HHI	0.17	0.14	0.33	0.14	0.20
Net GEX	1.5M	-34.6M	26.0M	1.9K	990.8K
Net DEX	137.2M	-453.4M	403.4M	203.3M	238.7M
Net VEX	-5.4M	-5.9M	-5.0M	-5.1M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.40	1.23	0.81	1.14
Total Volume	167,824.238	63,540	654,992	164,107	66,833
Total OI	2,117,108.429	1,598,477	2,787,597	2,141,948	1,783,390

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
2013-01-02	$21.38	$22.50	19.9%	7.7%	22.3%	24.3%	27.2%	3.2%	-1.6%	1.9K	203.3M	-5.1M	0.81	3.66	90,438	73,669	1,092,284	1,049,664
2013-01-03	$21.32	$22.50	19.1%	7.7%	21.4%	20.3%	27.3%	2.6%	-2.7%	299.5K	208.0M	-5.2M	0.75	6.49	41,599	31,346	1,114,924	1,062,065
2013-01-04	$21.16	$21.00	19.0%	6.9%	21.5%	20.1%	24.5%	4.5%	-1.1%	-2.5M	286.0M	-5.1M	1.17	3.05	49,507	57,748	1,130,869	1,070,215
2013-01-07	$21.25	$21.00	22.8%	7.2%	21.0%	37.6%	26.1%	4.0%	-1.8%	-1.4M	255.7M	-5.1M	0.67	3.44	93,331	62,721	1,137,172	1,075,191
2013-01-08	$21.09	$21.00	24.4%	7.2%	21.3%	45.2%	25.7%	3.9%	-1.9%	-1.2M	346.0M	-5.0M	0.78	5.73	72,654	56,555	1,193,106	1,105,455
2013-01-09	$21.45	$21.00	31.5%	7.2%	21.8%	78.6%	24.8%	4.8%	-1.8%	9.9M	162.8M	-5.2M	0.97	3.34	37,217	35,975	1,207,693	1,129,406
2013-01-10	$21.80	$21.00	23.7%	6.8%	20.4%	42.0%	24.9%	4.4%	-1.6%	15.5M	-31.1M	-5.2M	1.22	5.57	94,113	114,746	1,214,795	1,137,972
2013-01-11	$22.00	$22.00	24.9%	7.1%	20.5%	47.6%	24.6%	3.2%	-2.2%	13.0M	-169.1M	-5.3M	0.99	3.66	142,567	141,629	1,218,335	1,116,313
2013-01-14	$22.00	$22.00	25.4%	7.3%	20.1%	50.1%	26.3%	3.1%	-2.7%	15.9M	-95.7M	-5.8M	0.75	4.48	87,151	65,259	1,255,257	1,196,091
2013-01-15	$21.88	$22.00	25.2%	7.2%	20.3%	48.9%	26.0%	1.9%	-2.2%	12.6M	-43.0M	-5.7M	0.76	4.20	91,131	68,835	1,261,371	1,208,331
2013-01-16	$22.11	$22.00	25.5%	7.3%	20.5%	50.6%	26.1%	2.0%	-2.9%	15.1M	-152.6M	-5.9M	0.51	5.35	143,052	73,232	1,281,136	1,226,464
2013-01-17	$22.68	$22.00	22.2%	6.4%	21.3%	35.0%	25.3%	4.2%	0.0%	26.0M	-453.4M	-5.5M	0.40	102.29	469,011	185,981	1,311,199	1,237,564
2013-01-18	$21.25	$22.00	20.8%	6.0%	32.4%	28.4%	21.2%	2.9%	-0.1%	-21.1M	403.4M	-5.2M	0.95	2.21	217,229	206,290	1,485,735	1,301,862
2013-01-22	$21.17	$22.00	19.9%	5.7%	32.4%	24.3%	20.0%	2.8%	-0.7%	-6.3M	251.1M	-5.2M	0.65	5.44	93,574	60,381	857,797	740,680
2013-01-23	$21.11	$22.00	18.8%	5.4%	32.1%	19.3%	18.9%	3.3%	0.9%	-4.4M	254.6M	-5.6M	0.63	3.15	38,883	24,657	908,732	766,668
2013-01-24	$20.95	$22.00	18.5%	5.3%	32.1%	17.6%	19.2%	2.4%	0.9%	-9.2M	327.8M	-5.3M	1.07	2.63	47,291	50,738	919,221	775,943
2013-01-25	$20.96	$22.00	18.0%	5.1%	32.1%	15.6%	19.3%	2.9%	1.4%	-34.6M	324.5M	-5.3M	1.23	5.04	43,853	54,060	939,306	783,318
2013-01-28	$21.05	$22.00	20.9%	5.4%	32.0%	29.0%	19.8%	3.4%	0.9%	-3.3M	254.7M	-5.3M	1.20	3.31	34,177	40,867	922,922	756,908
2013-01-29	$21.28	$22.00	20.6%	5.4%	31.7%	27.6%	19.1%	2.6%	-0.8%	577.1K	184.4M	-5.5M	0.76	2.20	57,120	43,273	941,123	780,566
2013-01-30	$21.37	$22.00	19.8%	5.6%	31.1%	23.6%	19.8%	2.5%	-1.6%	4.5M	125.8M	-5.6M	0.78	4.02	36,921	28,695	966,613	795,621
2013-01-31	$21.04	$21.00	20.0%	5.3%	28.8%	24.8%	19.6%	0.3%	0.2%	990.8K	238.7M	-5.6M	1.14	4.63	31,253	35,580	980,292	803,098