UNH Options History — September 2008

In September 2008, UNH traded between $21.00 and $29.96. ATM implied volatility averaged 52.2%, placing in the 84.1% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 0.5% (HV 20d: 52.8%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2008-09-11: Highest Volume — 55,080 contracts
2008-09-29: Largest IV spike — 84.9% change
2008-09-17: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 28.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.15	$21.00	$29.96	$29.28	$25.39
Max Pain	$28.76	$27.00	$31.00	$29.00	$27.00
ATM IV	52.2%	39.0%	100.6%	41.4%	56.8%
Expected Move	15.0%	11.2%	28.8%	11.9%	16.3%
HV 20d	52.8%	41.6%	113.4%	45.2%	113.4%
HV 60d	52.7%	48.6%	75.4%	48.6%	75.4%
IV Rank	84.1%	49.4%	100.0%	69.2%	49.4%
IV Percentile	95.7%	73.4%	100.0%	84.5%	98.8%
Term Structure	-3.4%	-37.7%	7.3%	2.8%	-0.1%
VWIV	52.6%	40.2%	90.9%	42.0%	56.3%
Skew 25d	2.1%	-7.6%	12.7%	2.5%	-7.6%
Skew 10d	4.4%	-2.7%	13.2%	3.0%	4.1%
Call IV 25d	50.3%	41.1%	60.2%	42.2%	60.2%
Put IV 25d	52.5%	43.2%	63.5%	44.7%	52.5%
Bid-Ask Spread %	17.02	7.28	43.72	8.49	40.91
Gamma HHI	0.17	0.13	0.22	0.20	0.13
Net GEX	3.5M	909.4K	6.2M	5.7M	956.3K
Net DEX	-52.3M	-233.8M	99.2M	-170.3M	59.7M
Net VEX	-1.8M	-2.2M	-1.3M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.16	2.32	0.98	1.10
Total Volume	16,776.286	3,278	55,080	17,407	14,822
Total OI	536,810.238	429,023	615,653	537,456	475,710

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
2008-09-02	$29.28	$29.00	41.4%	11.9%	45.2%	69.2%	42.0%	2.5%	2.8%	5.7M	-170.3M	-2.0M	0.98	8.49	8,813	8,594	370,735	166,721
2008-09-03	$29.68	$29.00	39.0%	11.2%	41.6%	63.1%	40.2%	2.2%	3.5%	5.7M	-189.0M	-2.0M	0.30	11.03	4,288	1,274	371,544	169,746
2008-09-04	$28.06	$29.00	45.1%	12.9%	45.6%	78.6%	46.0%	5.0%	0.6%	4.8M	-78.6M	-1.9M	0.73	11.76	11,201	8,157	372,635	169,229
2008-09-05	$27.71	$31.00	44.6%	13.4%	45.1%	77.3%	48.4%	3.3%	-1.2%	4.3M	-62.3M	-1.8M	0.28	9.42	11,894	3,301	376,159	170,567
2008-09-08	$29.16	$30.00	45.5%	13.2%	43.3%	79.6%	48.6%	2.2%	-1.3%	5.9M	-173.2M	-1.9M	1.68	7.57	4,776	8,011	385,808	169,896
2008-09-09	$28.48	$30.00	49.9%	14.4%	43.7%	90.8%	49.7%	2.6%	-3.8%	5.0M	-127.8M	-2.0M	0.44	8.73	7,032	3,082	386,159	176,480
2008-09-10	$29.31	$30.00	47.6%	13.7%	45.1%	85.0%	48.9%	2.3%	-1.9%	5.9M	-183.8M	-2.0M	1.20	7.28	3,657	4,385	388,404	177,256
2008-09-11	$29.96	$30.00	46.9%	13.5%	45.9%	83.2%	47.2%	2.5%	-4.5%	6.2M	-233.8M	-2.0M	1.20	8.90	25,030	30,050	388,200	178,972
2008-09-12	$29.61	$30.00	46.1%	13.2%	45.8%	81.0%	46.1%	2.1%	-3.5%	5.7M	-214.9M	-2.2M	0.50	10.14	12,843	6,411	404,280	197,751
2008-09-15	$28.01	$30.00	49.1%	14.1%	47.0%	88.7%	50.1%	2.5%	-3.5%	4.6M	-79.8M	-2.0M	0.28	13.77	11,833	3,357	412,518	199,827
2008-09-16	$26.78	$30.00	49.5%	14.2%	48.4%	89.7%	50.4%	3.1%	-3.6%	2.7M	25.7M	-1.8M	0.27	11.63	35,549	9,443	409,644	200,711
2008-09-17	$25.51	$30.00	54.8%	15.7%	49.4%	100.0%	55.2%	-0.4%	-4.1%	1.6M	99.2M	-1.7M	0.83	12.70	8,594	7,150	408,204	202,497
2008-09-18	$26.57	$30.00	58.6%	16.8%	52.2%	100.0%	58.5%	2.9%	-8.3%	2.0M	29.7M	-1.8M	0.72	20.77	12,150	8,719	404,983	203,611
2008-09-19	$26.79	$27.00	54.9%	15.7%	52.4%	91.7%	55.6%	6.1%	-12.6%	3.0M	5.2M	-1.8M	0.87	26.52	5,552	4,849	412,007	203,646
2008-09-22	$26.52	$27.00	57.0%	16.4%	52.0%	96.5%	58.0%	5.6%	-5.3%	2.4M	-2.0M	-1.7M	2.32	16.13	5,513	12,798	294,105	134,918
2008-09-23	$26.00	$27.00	51.0%	14.6%	50.5%	82.9%	50.9%	-3.4%	3.3%	1.8M	33.2M	-1.7M	1.46	33.37	5,988	8,744	299,208	146,001
2008-09-24	$25.10	$27.00	50.4%	14.5%	51.4%	81.6%	50.9%	2.0%	7.3%	1.5M	33.0M	-1.7M	2.10	20.21	1,691	3,546	303,425	153,428
2008-09-25	$25.50	$27.00	53.0%	15.2%	52.0%	87.5%	54.2%	-2.6%	1.3%	1.1M	50.7M	-1.7M	0.16	19.51	9,501	1,499	303,851	156,714
2008-09-26	$25.81	$27.00	54.4%	15.6%	51.4%	90.5%	55.4%	-0.5%	1.0%	1.5M	33.0M	-1.7M	0.90	14.94	1,728	1,550	305,881	157,923
2008-09-29	$21.00	$27.00	100.6%	28.8%	86.6%	100.0%	90.9%	12.7%	-37.7%	909.4K	46.9M	-1.3M	1.04	43.72	7,317	7,610	305,597	158,064
2008-09-30	$25.39	$27.00	56.8%	16.3%	113.4%	49.4%	56.3%	-7.6%	-0.1%	956.3K	59.7M	-1.7M	1.10	40.91	7,067	7,755	312,007	163,703