UNH Options History — August 2008

In August 2008, UNH traded between $28.13 and $33.01. ATM implied volatility averaged 40.8%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 7.2% (HV 20d: 48.0%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2008-08-08: Highest Volume — 43,811 contracts
2008-08-11: Largest IV spike — 14.0% change
2008-08-11: Highest IV Rank — 80.5%
2008-08-26: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.46	$28.13	$33.01	$28.13	$30.45
Max Pain	$27.95	$25.00	$29.00	$25.00	$29.00
ATM IV	40.8%	36.7%	45.9%	42.0%	38.7%
Expected Move	11.5%	10.5%	12.1%	12.0%	11.1%
HV 20d	48.0%	43.0%	53.2%	47.5%	43.7%
HV 60d	46.7%	43.4%	48.3%	43.4%	48.3%
IV Rank	67.7%	57.2%	80.5%	70.6%	62.2%
IV Percentile	83.1%	73.8%	95.2%	89.7%	73.8%
Term Structure	1.9%	-1.0%	4.4%	-1.0%	4.0%
VWIV	40.7%	38.1%	41.9%	39.9%	40.1%
Skew 25d	2.2%	0.7%	4.9%	0.8%	4.9%
Skew 10d	5.2%	1.0%	13.3%	4.1%	9.5%
Call IV 25d	39.8%	37.0%	42.0%	41.2%	37.0%
Put IV 25d	42.0%	40.0%	43.6%	41.9%	41.8%
Bid-Ask Spread %	10.34	6.00	14.88	10.46	6.64
Gamma HHI	0.22	0.18	0.26	0.20	0.22
Net GEX	7.7M	4.3M	10.9M	4.3M	6.5M
Net DEX	-342.5M	-635.1M	-178.9M	-216.6M	-260.4M
Net VEX	-2.2M	-2.3M	-2.1M	-2.2M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.11	2.17	0.47	2.17
Total Volume	13,248.952	1,815	43,811	15,814	6,356
Total OI	602,007.143	513,768	685,037	652,560	538,995

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
2008-08-01	$28.13	$25.00	42.0%	12.0%	47.5%	70.6%	39.9%	0.8%	-1.0%	4.3M	-216.6M	-2.2M	0.47	10.46	10,725	5,089	401,889	250,671
2008-08-04	$28.96	$27.50	42.9%	11.7%	48.0%	72.8%	41.0%	0.7%	0.1%	6.4M	-292.8M	-2.3M	0.43	11.89	11,502	4,969	405,364	254,541
2008-08-05	$30.45	$27.50	39.1%	11.7%	49.7%	63.3%	41.2%	2.1%	-0.8%	8.6M	-404.7M	-2.3M	0.23	11.30	22,888	5,157	402,151	255,869
2008-08-06	$29.86	$27.50	38.4%	11.4%	50.0%	61.6%	41.8%	0.9%	0.5%	9.6M	-368.0M	-2.2M	0.96	13.59	4,131	3,978	408,210	259,370
2008-08-07	$29.16	$27.50	39.6%	11.5%	50.8%	64.5%	41.0%	1.0%	0.3%	8.2M	-305.1M	-2.2M	0.34	10.97	1,356	459	404,391	259,461
2008-08-08	$31.00	$27.50	40.2%	11.4%	52.1%	66.2%	40.2%	1.3%	0.2%	9.8M	-452.2M	-2.2M	0.23	13.24	35,553	8,258	403,111	259,453
2008-08-11	$31.25	$27.50	45.9%	11.6%	51.8%	80.5%	41.2%	1.7%	0.4%	10.9M	-487.1M	-2.3M	0.48	12.19	3,883	1,864	412,737	263,923
2008-08-12	$31.48	$27.50	44.8%	11.8%	51.8%	77.7%	41.1%	2.4%	-0.1%	10.2M	-498.1M	-2.2M	0.25	13.53	5,394	1,327	407,654	264,917
2008-08-13	$31.61	$27.50	45.0%	11.4%	52.0%	78.2%	40.3%	1.7%	0.9%	10.6M	-512.4M	-2.2M	0.88	14.88	4,615	4,063	409,031	264,895
2008-08-14	$31.89	$27.50	40.1%	11.5%	50.9%	65.7%	41.9%	3.1%	1.2%	9.8M	-534.6M	-2.3M	0.57	14.78	10,653	6,087	410,655	266,581
2008-08-15	$33.01	$27.50	36.7%	10.5%	51.4%	57.2%	38.8%	2.6%	1.8%	8.8M	-635.1M	-2.3M	0.67	10.23	8,811	5,892	415,669	269,368
2008-08-18	$32.13	$27.50	40.6%	11.6%	53.2%	67.0%	41.1%	2.5%	3.6%	7.9M	-384.0M	-2.3M	1.29	7.26	8,436	10,914	359,277	154,491
2008-08-19	$30.97	$27.50	41.0%	11.8%	47.1%	68.1%	41.3%	2.9%	3.4%	7.1M	-294.1M	-2.3M	0.69	11.31	12,454	8,635	361,465	157,328
2008-08-20	$30.24	$29.00	40.5%	11.6%	44.6%	66.8%	40.4%	1.7%	3.2%	6.6M	-252.2M	-2.2M	0.60	11.43	6,784	4,081	365,189	160,698
2008-08-21	$30.30	$29.00	40.4%	11.6%	43.1%	66.5%	40.7%	1.2%	4.3%	6.5M	-252.0M	-2.2M	0.11	7.16	4,207	466	365,079	162,674
2008-08-22	$30.61	$29.00	38.0%	10.9%	43.0%	60.5%	38.1%	2.4%	4.4%	6.7M	-268.5M	-2.2M	0.84	7.41	5,650	4,757	365,264	162,862
2008-08-25	$29.31	$29.00	41.6%	11.9%	45.2%	69.5%	41.1%	1.6%	3.4%	5.5M	-178.9M	-2.1M	2.06	9.85	2,975	6,128	365,510	166,526
2008-08-26	$29.46	$29.00	42.0%	12.1%	44.3%	70.8%	41.3%	2.6%	2.6%	5.4M	-184.5M	-2.1M	1.19	6.00	6,400	7,633	367,410	168,626
2008-08-27	$29.43	$29.00	40.9%	11.7%	44.1%	67.8%	41.0%	3.0%	3.6%	5.8M	-186.5M	-2.1M	0.44	6.47	4,317	1,890	368,576	166,558
2008-08-28	$30.06	$29.00	39.5%	11.3%	43.6%	64.3%	40.6%	4.8%	3.1%	6.1M	-224.9M	-2.1M	0.75	6.49	5,425	4,066	368,758	166,953
2008-08-29	$30.45	$29.00	38.7%	11.1%	43.7%	62.2%	40.1%	4.9%	4.0%	6.5M	-260.4M	-2.1M	2.17	6.64	2,004	4,352	370,890	168,105