INTC Options History — September 2013

In September 2013, INTC traded between $22.07 and $23.92. ATM implied volatility averaged 22.7%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.4% (HV 20d: 18.3%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2013-09-13: Highest Volume — 287,932 contracts
2013-09-12: Largest IV spike — 30.6% change
2013-09-26: Highest IV Rank — 58.3%
2013-09-16: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.19	$22.07	$23.92	$22.07	$22.92
Max Pain	$22.63	$22.00	$25.00	$23.00	$22.00
ATM IV	22.7%	16.5%	26.4%	24.8%	23.2%
Expected Move	6.7%	5.8%	7.3%	6.4%	7.1%
HV 20d	18.3%	15.1%	19.8%	15.1%	19.8%
HV 60d	20.6%	19.8%	21.6%	21.0%	20.1%
IV Rank	38.3%	4.7%	58.3%	49.9%	41.1%
IV Percentile	55.6%	2.8%	85.3%	73.4%	63.5%
Term Structure	-0.5%	-4.0%	3.6%	2.5%	-4.0%
VWIV	23.9%	21.2%	26.8%	22.4%	24.4%
Skew 25d	2.9%	1.6%	3.9%	2.5%	2.7%
Skew 10d	6.5%	3.9%	9.1%	5.6%	5.8%
Call IV 25d	22.6%	20.4%	27.8%	22.0%	27.8%
Put IV 25d	25.5%	22.7%	30.5%	24.5%	30.5%
Bid-Ask Spread %	5.45	3.19	17.50	3.19	3.76
Gamma HHI	0.17	0.13	0.26	0.16	0.16
Net GEX	19.0M	-15.3M	54.3M	-15.3M	2.8M
Net DEX	-202.8M	-744.2M	452.0M	452.0M	1.2M
Net VEX	-8.0M	-8.2M	-7.6M	-7.7M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.19	2.25	0.49	0.79
Total Volume	111,070.35	29,469	287,932	62,417	51,159
Total OI	2,609,344.5	2,394,804	2,808,539	2,455,720	2,569,209

Daily Data (20 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
2013-09-03	$22.07	$23.00	24.8%	6.4%	15.1%	49.9%	22.4%	2.5%	2.5%	-15.3M	452.0M	-7.7M	0.49	3.19	41,908	20,509	1,266,015	1,189,705
2013-09-04	$22.64	$23.00	23.4%	5.8%	17.9%	42.0%	21.3%	2.4%	3.6%	2.1M	135.9M	-8.0M	1.00	3.59	63,712	63,754	1,283,004	1,202,078
2013-09-05	$22.60	$23.00	22.7%	5.9%	17.8%	38.1%	21.2%	1.8%	2.8%	3.0M	141.9M	-8.0M	0.60	3.34	37,830	22,716	1,304,128	1,229,502
2013-09-06	$22.67	$23.00	24.4%	6.8%	17.4%	47.4%	24.5%	3.4%	-0.5%	-13.7K	100.8M	-8.2M	0.43	7.93	115,554	49,671	1,321,047	1,243,336
2013-09-09	$22.91	$23.00	26.0%	6.6%	17.7%	56.4%	23.6%	3.4%	-0.1%	15.6M	-74.3M	-8.1M	0.39	4.01	85,697	33,359	1,370,308	1,254,815
2013-09-10	$22.99	$23.00	22.2%	6.4%	17.7%	35.6%	22.6%	3.6%	-0.0%	23.2M	-128.4M	-8.1M	0.48	6.15	52,402	25,259	1,412,319	1,258,582
2013-09-11	$22.81	$23.00	16.5%	6.1%	17.8%	4.7%	22.5%	3.9%	0.1%	14.9M	-10.9M	-7.8M	0.19	6.17	61,967	12,006	1,405,293	1,265,527
2013-09-12	$22.63	$23.00	21.5%	6.2%	18.0%	32.0%	21.8%	3.5%	-0.3%	-118.1K	136.0M	-7.6M	0.91	6.84	15,438	14,031	1,391,569	1,264,347
2013-09-13	$23.44	$23.00	23.1%	6.6%	19.7%	40.4%	23.6%	2.9%	-0.3%	34.4M	-421.2M	-8.0M	1.30	6.56	125,349	162,583	1,386,227	1,266,958
2013-09-16	$23.39	$0.00	23.4%	7.3%	19.5%	42.4%	24.8%	2.0%	-0.5%	28.9M	-356.2M	-8.0M	0.61	17.50	62,075	37,658	1,401,404	1,343,388
2013-09-17	$23.74	$22.00	22.8%	7.0%	19.4%	38.6%	25.1%	2.5%	-1.0%	46.3M	-621.3M	-8.1M	0.62	5.75	83,278	52,004	1,421,775	1,349,848
2013-09-18	$23.90	$22.00	22.2%	6.9%	19.2%	35.6%	24.6%	2.9%	-0.7%	43.7M	-683.6M	-8.2M	0.50	6.93	52,564	26,494	1,432,169	1,376,370
2013-09-19	$23.92	$22.00	21.9%	7.0%	18.0%	34.2%	24.9%	1.6%	-0.8%	54.3M	-744.2M	-7.9M	0.83	3.97	62,332	51,647	1,429,551	1,344,444
2013-09-20	$23.77	$22.00	21.5%	6.9%	18.3%	31.7%	24.8%	3.6%	-0.1%	30.0M	-521.7M	-8.1M	0.70	3.94	102,013	71,613	1,436,619	1,361,401
2013-09-23	$23.62	$22.00	21.8%	6.9%	18.5%	33.3%	23.9%	3.4%	-0.9%	20.6M	-364.3M	-7.9M	0.88	3.93	38,621	34,156	1,229,064	1,165,740
2013-09-24	$23.71	$22.00	23.0%	6.9%	18.2%	40.0%	24.6%	2.6%	-1.7%	21.5M	-393.7M	-8.0M	0.24	3.61	97,358	23,276	1,246,372	1,185,697
2013-09-25	$23.70	$22.00	23.6%	6.9%	18.0%	43.1%	26.8%	3.2%	-2.0%	27.5M	-421.5M	-8.2M	0.81	3.42	38,020	30,808	1,292,659	1,189,138
2013-09-26	$23.41	$25.00	26.4%	7.1%	18.9%	58.3%	24.8%	3.1%	-2.6%	19.0M	-277.2M	-8.1M	1.07	4.39	89,685	96,352	1,305,017	1,199,054
2013-09-27	$22.98	$22.00	19.4%	7.1%	19.8%	20.7%	25.5%	2.8%	-3.0%	7.3M	-5.0M	-8.2M	2.25	3.94	35,852	80,697	1,343,305	1,249,906
2013-09-30	$22.92	$22.00	23.2%	7.1%	19.8%	41.1%	24.4%	2.7%	-4.0%	2.8M	1.2M	-7.9M	0.79	3.76	28,627	22,532	1,330,515	1,238,694