INTC Options History — July 2013

In July 2013, INTC traded between $22.75 and $24.25. ATM implied volatility averaged 22.9%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.7% (HV 20d: 25.6%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2013-07-18: Highest Volume — 296,825 contracts
2013-07-08: Largest IV spike — 35.7% change
2013-07-10: Highest IV Rank — 100.0%
2013-07-17: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.47	$22.75	$24.25	$23.89	$23.34
Max Pain	$23.73	$23.00	$24.00	$24.00	$23.00
ATM IV	22.9%	17.1%	34.1%	21.0%	21.4%
Expected Move	6.7%	5.4%	8.0%	7.8%	5.4%
HV 20d	25.6%	22.5%	28.7%	24.2%	24.7%
HV 60d	22.1%	21.0%	22.7%	22.1%	22.5%
IV Rank	42.8%	12.6%	100.0%	33.8%	34.8%
IV Percentile	51.7%	6.0%	100.0%	40.1%	42.9%
Term Structure	-1.0%	-3.3%	1.4%	-3.3%	0.7%
VWIV	23.6%	19.3%	28.7%	27.2%	19.4%
Skew 25d	3.2%	1.4%	4.0%	3.5%	1.4%
Skew 10d	5.7%	2.0%	7.7%	7.0%	2.0%
Call IV 25d	22.0%	17.5%	26.8%	26.2%	18.5%
Put IV 25d	25.2%	19.9%	30.6%	29.7%	19.9%
Bid-Ask Spread %	3.99	1.87	8.66	4.58	2.72
Gamma HHI	0.19	0.14	0.30	0.24	0.14
Net GEX	9.5M	-36.9M	32.3M	26.4M	3.3M
Net DEX	-25.5M	-495.8M	381.1M	-250.7M	67.5M
Net VEX	-8.5M	-9.1M	-7.9M	-9.1M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.32	2.04	1.64	0.94
Total Volume	121,081.864	30,522	296,825	101,194	30,522
Total OI	2,450,631.682	2,130,872	2,826,217	2,398,767	2,248,885

Daily Data (22 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
2013-07-01	$23.89	$24.00	21.0%	7.8%	24.2%	33.8%	27.2%	3.5%	-3.3%	26.4M	-250.7M	-9.1M	1.64	4.58	38,380	62,814	1,274,277	1,124,490
2013-07-02	$23.72	$24.00	20.4%	7.7%	24.0%	30.8%	27.2%	3.5%	-2.8%	20.2M	-129.2M	-9.1M	0.62	4.66	39,996	24,949	1,285,797	1,160,543
2013-07-03	$23.76	$24.00	21.1%	7.9%	22.5%	34.6%	27.2%	3.4%	-3.2%	22.5M	-154.7M	-9.1M	0.97	4.50	19,828	19,222	1,300,641	1,174,888
2013-07-05	$24.06	$24.00	20.4%	7.0%	23.1%	30.8%	24.8%	4.0%	-1.2%	28.4M	-330.3M	-9.1M	0.81	3.94	42,284	34,332	1,305,345	1,172,677
2013-07-08	$23.19	$24.00	27.7%	7.6%	26.3%	70.1%	26.7%	4.0%	-2.0%	9.9M	176.9M	-8.5M	1.10	5.68	119,167	131,353	1,297,624	1,183,469
2013-07-09	$23.14	$24.00	27.0%	7.4%	25.2%	66.2%	26.7%	3.2%	-1.9%	8.9M	144.8M	-8.5M	0.32	1.87	96,073	30,900	1,295,518	1,197,242
2013-07-10	$23.25	$24.00	34.1%	7.4%	25.2%	100.0%	26.4%	3.1%	-2.4%	12.8M	79.0M	-8.6M	1.27	6.76	75,713	95,928	1,343,868	1,205,864
2013-07-11	$23.99	$24.00	24.7%	7.1%	27.8%	51.7%	24.9%	3.8%	-1.6%	31.8M	-384.2M	-8.8M	0.83	4.31	79,118	65,803	1,372,640	1,243,364
2013-07-12	$23.90	$24.00	24.8%	7.1%	26.6%	52.1%	25.4%	3.8%	-1.8%	29.6M	-321.4M	-8.7M	1.60	4.57	47,982	76,659	1,385,520	1,247,685
2013-07-15	$23.94	$24.00	25.2%	7.2%	26.6%	54.0%	26.1%	3.8%	-1.9%	26.9M	-307.8M	-8.6M	0.48	3.16	61,470	29,260	1,371,394	1,258,068
2013-07-16	$24.25	$24.00	26.8%	7.7%	26.9%	62.2%	27.1%	3.0%	-2.9%	32.3M	-495.8M	-9.1M	0.96	2.91	86,322	83,230	1,393,641	1,268,060
2013-07-17	$24.15	$24.00	28.0%	8.0%	26.2%	68.8%	28.7%	3.9%	-3.3%	31.7M	-463.2M	-9.0M	1.06	8.66	124,126	131,756	1,420,659	1,305,673
2013-07-18	$23.24	$24.00	23.1%	6.6%	28.7%	43.2%	23.1%	2.6%	-0.7%	-13.5M	278.1M	-8.3M	1.21	2.34	134,317	162,508	1,438,667	1,346,508
2013-07-19	$23.04	$24.00	20.9%	6.0%	26.6%	32.2%	21.7%	2.6%	0.8%	-36.9M	381.1M	-8.3M	1.76	4.02	81,008	142,490	1,452,882	1,373,335
2013-07-22	$22.77	$24.00	19.6%	5.6%	26.8%	25.4%	19.8%	3.2%	1.4%	-10.2M	315.8M	-7.9M	0.58	3.20	68,911	39,774	1,121,879	1,008,993
2013-07-23	$22.75	$24.00	19.1%	5.5%	25.4%	22.4%	19.9%	2.5%	1.0%	-11.4M	324.0M	-7.9M	0.88	3.43	40,659	35,840	1,153,704	1,030,535
2013-07-24	$22.93	$23.00	18.8%	5.4%	25.1%	21.3%	19.3%	3.0%	1.1%	-11.1M	238.1M	-8.1M	0.43	2.98	46,442	20,036	1,172,070	1,044,642
2013-07-25	$23.06	$23.00	19.2%	5.5%	25.1%	23.2%	20.0%	3.8%	1.3%	-11.1M	158.3M	-7.9M	2.04	2.96	36,918	75,447	1,178,936	1,050,453
2013-07-26	$23.26	$23.00	17.1%	5.4%	25.3%	12.6%	19.3%	2.6%	1.1%	5.8M	48.5M	-8.0M	0.68	2.77	31,073	20,979	1,190,405	1,054,407
2013-07-29	$23.24	$23.00	21.9%	5.5%	25.1%	37.2%	19.9%	2.9%	0.7%	5.7M	62.3M	-7.9M	0.90	3.35	17,525	15,857	1,182,848	1,040,742
2013-07-30	$23.38	$23.00	21.1%	5.6%	24.8%	33.0%	19.5%	2.6%	-0.3%	7.4M	1.3M	-8.0M	1.38	4.47	19,667	27,163	1,186,195	1,048,864
2013-07-31	$23.34	$23.00	21.4%	5.4%	24.7%	34.8%	19.4%	1.4%	0.7%	3.3M	67.5M	-8.3M	0.94	2.72	15,741	14,781	1,192,387	1,056,498