UNH Options History — July 2009

In July 2009, UNH traded between $23.91 and $29.08. ATM implied volatility averaged 44.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 6.6% (HV 20d: 37.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.77.

Notable Days

2009-07-16: Highest Volume — 60,438 contracts
2009-07-15: Largest IV drop — 14.7% change
2009-07-14: Highest IV Rank — 22.3%
2009-07-07: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.90	$23.91	$29.08	$25.16	$28.06
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	44.5%	37.0%	53.1%	43.9%	40.9%
Expected Move	12.9%	10.6%	15.3%	12.6%	11.7%
HV 20d	37.8%	30.9%	46.2%	40.5%	33.0%
HV 60d	44.6%	42.1%	46.7%	46.7%	42.1%
IV Rank	10.6%	0.4%	22.3%	10.1%	5.8%
IV Percentile	19.1%	0.4%	45.2%	16.3%	8.7%
Term Structure	0.2%	-2.6%	6.0%	5.9%	0.6%
VWIV	45.0%	38.4%	52.2%	43.8%	40.4%
Skew 25d	6.1%	3.8%	8.2%	7.0%	3.8%
Skew 10d	14.4%	7.4%	25.1%	15.6%	8.8%
Call IV 25d	42.2%	34.1%	49.0%	39.8%	39.2%
Put IV 25d	48.2%	39.4%	57.3%	46.9%	43.0%
Bid-Ask Spread %	13.15	9.19	18.29	15.39	14.80
Gamma HHI	0.18	0.13	0.57	0.16	0.16
Net GEX	7.4M	3.3M	21.3M	6.5M	7.2M
Net DEX	-112.6M	-306.2M	7.4M	-69.7M	-246.3M
Net VEX	-1.5M	-1.7M	-1.3M	-1.5M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.11	3.88	0.87	0.88
Total Volume	21,303.727	5,152	60,438	7,702	10,099
Total OI	422,138.773	342,179	511,100	408,281	419,542

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
2009-07-01	$25.16	$25.00	43.9%	12.6%	40.5%	10.1%	43.8%	7.0%	5.9%	6.5M	-69.7M	-1.5M	0.87	15.39	4,112	3,590	264,444	143,837
2009-07-02	$23.91	$25.00	45.5%	13.0%	43.8%	12.4%	44.5%	6.0%	6.0%	4.2M	7.4M	-1.4M	0.40	16.86	10,025	4,006	266,117	144,695
2009-07-06	$24.09	$25.00	49.5%	15.2%	44.1%	17.4%	49.8%	8.0%	-2.2%	4.5M	3.1M	-1.4M	0.34	10.69	4,365	1,500	272,495	145,700
2009-07-07	$25.17	$25.00	51.6%	15.3%	45.5%	20.3%	52.2%	8.2%	-2.6%	7.0M	-84.8M	-1.5M	0.31	10.60	38,740	12,026	274,808	144,816
2009-07-08	$24.67	$25.00	48.1%	14.2%	46.0%	15.6%	50.4%	7.0%	-0.7%	7.2M	-39.5M	-1.5M	0.60	11.21	19,747	11,923	298,915	151,922
2009-07-09	$24.94	$25.00	47.8%	14.2%	46.2%	15.1%	50.5%	6.5%	-0.9%	8.3M	-60.8M	-1.5M	0.89	13.32	4,107	3,648	308,374	158,743
2009-07-10	$24.67	$25.00	46.9%	14.1%	39.3%	13.9%	50.3%	7.4%	-0.7%	7.7M	-37.9M	-1.5M	0.68	13.43	3,068	2,084	308,214	158,245
2009-07-13	$25.01	$25.00	49.2%	14.0%	39.5%	17.1%	47.1%	7.3%	-1.0%	9.2M	-62.9M	-1.5M	0.11	9.19	30,768	3,474	308,249	159,169
2009-07-14	$24.77	$25.00	53.1%	14.3%	38.0%	22.3%	50.4%	6.0%	-1.4%	8.7M	-50.5M	-1.5M	3.88	10.00	6,562	25,452	326,603	159,950
2009-07-15	$24.91	$25.00	45.3%	14.2%	37.4%	11.7%	49.6%	7.6%	-1.8%	7.2M	-38.9M	-1.5M	1.60	14.94	6,926	11,104	328,258	175,332
2009-07-16	$25.25	$25.00	48.1%	13.8%	37.6%	15.5%	47.1%	7.5%	-2.1%	11.2M	-84.7M	-1.5M	0.49	10.93	40,692	19,746	330,239	173,561
2009-07-17	$25.09	$25.00	46.6%	13.4%	31.5%	13.5%	46.6%	6.4%	-1.0%	21.3M	-76.2M	-1.4M	0.76	11.77	11,417	8,677	336,446	174,654
2009-07-20	$24.84	$25.00	44.6%	12.8%	31.7%	10.8%	44.6%	4.7%	-0.7%	3.3M	-33.6M	-1.3M	0.61	18.29	12,896	7,907	216,248	125,931
2009-07-21	$25.59	$25.00	38.6%	11.1%	30.9%	2.6%	39.2%	5.0%	1.1%	4.6M	-75.8M	-1.4M	0.80	11.95	6,329	5,084	222,922	129,695
2009-07-22	$26.00	$25.00	38.9%	11.1%	31.2%	3.0%	40.4%	6.5%	0.1%	5.5M	-110.8M	-1.5M	0.69	16.62	9,719	6,690	229,925	132,147
2009-07-23	$27.05	$25.00	37.6%	10.8%	33.8%	1.2%	38.4%	4.3%	1.7%	6.1M	-175.0M	-1.5M	0.17	16.03	12,888	2,180	231,235	133,434
2009-07-24	$27.32	$25.00	37.0%	10.6%	33.8%	0.4%	38.4%	5.3%	1.9%	6.7M	-200.2M	-1.5M	0.26	15.29	14,362	3,756	237,769	134,819
2009-07-27	$27.62	$25.00	37.5%	10.8%	33.5%	1.1%	39.3%	5.7%	1.9%	6.7M	-217.0M	-1.5M	0.99	13.43	3,263	3,241	237,342	136,991
2009-07-28	$29.08	$25.00	41.2%	11.8%	37.2%	6.1%	41.4%	4.1%	0.2%	6.1M	-306.2M	-1.5M	0.42	9.82	29,610	12,571	236,065	138,564
2009-07-29	$28.41	$25.00	43.7%	12.5%	38.5%	9.6%	42.6%	4.8%	-0.5%	6.3M	-264.8M	-1.6M	0.42	11.09	18,690	7,801	248,003	147,770
2009-07-30	$28.10	$25.00	42.7%	12.2%	39.0%	8.1%	42.4%	4.2%	0.2%	7.0M	-251.7M	-1.7M	0.72	13.69	8,037	5,800	262,555	152,310
2009-07-31	$28.06	$25.00	40.9%	11.7%	33.0%	5.8%	40.4%	3.8%	0.6%	7.2M	-246.3M	-1.7M	0.88	14.80	5,370	4,729	265,065	154,477