UNH Options History — November 2009

In November 2009, UNH traded between $26.42 and $29.56. ATM implied volatility averaged 38.9%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 5.4% (HV 20d: 33.5%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2009-11-04: Highest Volume — 162,430 contracts
2009-11-27: Largest IV spike — 12.5% change
2009-11-04: Highest IV Rank — 15.4%
2009-11-04: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.69	$26.42	$29.56	$26.42	$28.67
Max Pain	$23.65	$23.00	$26.00	$25.00	$24.00
ATM IV	38.9%	31.3%	46.0%	43.1%	37.4%
Expected Move	11.3%	9.0%	13.2%	12.4%	10.7%
HV 20d	33.5%	22.7%	42.2%	41.4%	23.8%
HV 60d	38.0%	35.9%	38.8%	38.3%	36.3%
IV Rank	6.7%	0.0%	15.4%	11.7%	8.2%
IV Percentile	7.3%	0.0%	26.6%	15.5%	4.4%
Term Structure	3.0%	-0.3%	6.2%	3.0%	3.9%
VWIV	40.4%	32.8%	46.8%	43.1%	37.7%
Skew 25d	4.1%	1.4%	5.7%	4.2%	3.5%
Skew 10d	9.2%	4.1%	12.8%	10.0%	8.5%
Call IV 25d	38.2%	30.7%	46.4%	41.4%	36.5%
Put IV 25d	42.3%	34.5%	47.8%	45.6%	40.0%
Bid-Ask Spread %	4.44	3.36	6.08	6.08	4.15
Gamma HHI	0.27	0.17	0.38	0.17	0.36
Net GEX	16.4M	10.0M	19.7M	10.0M	16.4M
Net DEX	-483.4M	-595.1M	-213.1M	-213.1M	-392.6M
Net VEX	-2.0M	-2.3M	-1.8M	-1.8M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.19	1.31	0.93	0.74
Total Volume	25,807.05	6,496	162,430	16,152	21,588
Total OI	589,484.5	501,080	649,146	545,467	520,674

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
2009-11-02	$26.42	$25.00	43.1%	12.4%	41.4%	11.7%	43.1%	4.2%	3.0%	10.0M	-213.1M	-1.8M	0.93	6.08	8,361	7,791	367,285	178,182
2009-11-03	$26.91	$25.00	41.3%	11.8%	41.6%	9.2%	42.1%	3.7%	3.5%	11.1M	-269.1M	-1.8M	0.64	5.59	3,959	2,537	367,603	179,452
2009-11-04	$27.87	$25.00	46.0%	13.2%	42.2%	15.4%	46.8%	1.4%	-0.3%	12.2M	-372.2M	-1.9M	0.19	5.14	136,982	25,448	367,535	178,791
2009-11-05	$28.21	$26.00	41.9%	12.0%	39.3%	10.1%	43.0%	2.3%	1.9%	19.7M	-511.1M	-2.3M	0.64	4.06	6,573	4,238	467,243	180,473
2009-11-06	$28.67	$23.00	40.4%	12.3%	39.2%	8.0%	43.3%	5.7%	1.3%	17.6M	-524.3M	-2.1M	0.57	5.16	22,631	12,937	424,000	179,509
2009-11-09	$29.13	$23.00	41.5%	12.4%	38.9%	9.5%	43.9%	4.7%	1.1%	18.2M	-576.8M	-2.2M	0.91	4.75	13,477	12,317	436,578	186,859
2009-11-10	$28.97	$23.00	37.1%	12.0%	35.4%	3.7%	44.4%	4.6%	1.6%	18.4M	-549.6M	-2.1M	0.47	3.86	15,811	7,420	433,675	187,696
2009-11-11	$29.37	$23.00	36.7%	11.8%	35.1%	3.2%	40.5%	4.7%	2.1%	17.8M	-595.1M	-2.1M	0.90	3.97	9,794	8,857	431,026	191,327
2009-11-12	$28.76	$23.00	40.4%	11.6%	35.8%	8.0%	41.5%	4.3%	2.2%	17.3M	-514.7M	-2.1M	1.31	4.07	8,574	11,199	432,541	194,418
2009-11-13	$29.08	$23.00	39.6%	11.4%	35.6%	7.0%	42.4%	4.3%	2.6%	17.6M	-558.9M	-2.1M	0.46	4.44	5,944	2,721	433,592	201,088
2009-11-16	$29.15	$23.00	40.6%	11.6%	35.4%	8.3%	41.4%	4.5%	2.6%	17.2M	-566.5M	-2.0M	0.35	4.16	10,709	3,772	431,948	201,482
2009-11-17	$28.97	$23.00	39.8%	11.4%	33.5%	7.3%	39.9%	4.4%	2.8%	17.4M	-564.9M	-2.0M	0.46	4.84	9,847	4,532	435,367	201,677
2009-11-18	$28.87	$23.00	39.2%	11.2%	30.5%	6.4%	39.5%	4.3%	3.5%	16.6M	-548.8M	-1.9M	1.05	4.42	5,281	5,538	436,950	202,875
2009-11-19	$28.63	$23.00	39.5%	11.3%	30.3%	6.9%	41.3%	4.3%	3.2%	16.1M	-518.7M	-1.9M	0.49	4.10	13,956	6,861	438,341	204,784
2009-11-20	$28.56	$23.00	38.0%	10.9%	30.4%	5.0%	38.2%	4.0%	4.5%	15.0M	-505.6M	-1.9M	0.65	3.71	17,434	11,254	441,106	208,040
2009-11-23	$29.08	$23.00	35.5%	10.2%	29.1%	1.7%	35.3%	4.4%	4.5%	16.4M	-433.2M	-1.8M	0.58	4.00	19,917	11,596	367,566	133,514
2009-11-24	$29.56	$24.00	33.0%	9.5%	25.6%	0.0%	34.3%	3.9%	5.1%	17.1M	-477.4M	-1.9M	0.41	4.32	16,474	6,723	367,354	140,559
2009-11-25	$29.54	$24.00	31.3%	9.0%	23.3%	0.0%	32.8%	3.8%	6.2%	18.5M	-488.8M	-1.9M	0.65	3.36	6,759	4,422	377,431	140,441
2009-11-27	$29.44	$24.00	35.2%	10.1%	22.7%	5.3%	35.7%	4.2%	5.1%	18.0M	-487.4M	-1.9M	1.20	4.73	5,410	6,497	379,657	141,051
2009-11-30	$28.67	$24.00	37.4%	10.7%	23.8%	8.2%	37.7%	3.5%	3.9%	16.4M	-392.6M	-1.8M	0.74	4.15	12,420	9,168	377,525	143,149