UNH Options History — December 2009

In December 2009, UNH traded between $27.33 and $32.32. ATM implied volatility averaged 37.0%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.6% (HV 20d: 30.4%). Max pain ranged from $24.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2009-12-16: Highest Volume — 172,987 contracts
2009-12-16: Largest IV spike — 13.4% change
2009-12-16: Highest IV Rank — 16.8%
2009-12-16: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.33	$27.33	$32.32	$28.70	$30.48
Max Pain	$27.59	$24.00	$29.00	$24.00	$29.00
ATM IV	37.0%	33.5%	43.7%	35.1%	36.6%
Expected Move	10.8%	9.6%	12.5%	10.1%	10.5%
HV 20d	30.4%	23.3%	34.6%	23.3%	33.9%
HV 60d	34.8%	33.1%	36.3%	36.3%	33.3%
IV Rank	7.6%	2.9%	16.8%	5.1%	7.2%
IV Percentile	7.7%	0.8%	29.0%	1.2%	7.5%
Term Structure	3.0%	0.1%	4.8%	4.3%	1.9%
VWIV	37.7%	34.6%	45.0%	35.1%	35.8%
Skew 25d	5.4%	3.4%	7.8%	4.0%	5.7%
Skew 10d	11.2%	8.2%	17.7%	9.3%	11.5%
Call IV 25d	35.6%	32.0%	41.7%	34.0%	33.8%
Put IV 25d	41.0%	37.6%	47.4%	38.0%	39.5%
Bid-Ask Spread %	3.94	3.02	5.31	4.20	3.47
Gamma HHI	0.28	0.20	0.44	0.39	0.26
Net GEX	19.5M	14.0M	29.3M	17.0M	20.3M
Net DEX	-537.5M	-973.1M	-244.1M	-395.0M	-360.5M
Net VEX	-2.0M	-2.5M	-1.7M	-1.8M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.17	1.34	0.46	0.52
Total Volume	35,221.409	12,044	172,987	15,708	20,235
Total OI	586,982.591	531,213	743,025	531,213	579,710

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
2009-12-01	$28.70	$24.00	35.1%	10.1%	23.3%	5.1%	35.1%	4.0%	4.3%	17.0M	-395.0M	-1.8M	0.46	4.20	10,781	4,927	383,240	147,973
2009-12-02	$28.29	$24.00	35.6%	10.2%	23.6%	5.8%	34.6%	3.4%	4.6%	16.5M	-351.4M	-1.8M	0.17	4.45	17,005	2,843	388,713	148,568
2009-12-03	$27.33	$24.00	36.0%	10.3%	23.8%	6.3%	35.3%	4.3%	4.8%	14.0M	-244.1M	-1.7M	0.53	4.04	20,290	10,780	395,013	149,522
2009-12-04	$27.46	$27.00	34.2%	11.2%	23.4%	3.8%	37.3%	5.0%	3.4%	14.7M	-251.1M	-1.7M	0.47	4.04	11,777	5,592	397,987	154,263
2009-12-07	$28.30	$27.00	35.2%	11.0%	25.2%	5.2%	37.2%	5.2%	3.1%	17.9M	-353.6M	-1.7M	0.34	3.18	19,238	6,589	397,424	155,238
2009-12-08	$28.46	$27.00	35.1%	10.9%	24.6%	5.1%	36.5%	5.2%	3.8%	19.8M	-379.5M	-1.7M	0.76	3.58	15,741	12,029	405,051	159,471
2009-12-09	$28.50	$27.00	37.2%	11.5%	24.5%	7.9%	38.7%	6.2%	2.8%	19.5M	-383.8M	-1.8M	0.72	3.85	19,801	14,350	409,981	166,292
2009-12-10	$30.31	$27.00	39.4%	11.3%	32.8%	10.8%	39.5%	5.3%	3.0%	22.0M	-637.5M	-1.9M	0.37	3.45	44,509	16,525	415,752	174,761
2009-12-11	$30.48	$27.00	38.2%	10.9%	31.7%	9.3%	38.3%	5.0%	3.4%	29.3M	-690.8M	-1.9M	0.66	3.13	15,458	10,256	442,272	179,260
2009-12-14	$30.95	$27.00	37.8%	10.8%	31.9%	8.8%	38.8%	4.8%	3.2%	21.1M	-694.8M	-1.8M	0.55	3.02	18,581	10,223	412,684	181,892
2009-12-15	$31.32	$28.00	38.6%	11.1%	32.0%	9.8%	38.8%	4.5%	2.6%	19.7M	-753.3M	-1.8M	0.56	3.65	57,021	31,981	417,176	182,665
2009-12-16	$32.20	$28.00	43.7%	12.5%	32.9%	16.8%	45.0%	5.7%	0.1%	17.3M	-875.2M	-2.1M	0.24	5.00	139,322	33,665	438,324	204,421
2009-12-17	$31.82	$29.00	43.1%	12.4%	33.3%	15.9%	44.8%	4.9%	1.2%	23.5M	-973.1M	-2.5M	0.50	3.94	15,569	7,755	522,017	221,008
2009-12-18	$31.54	$29.00	40.7%	11.7%	33.4%	12.6%	40.8%	5.0%	3.0%	17.9M	-913.5M	-2.4M	0.41	4.34	44,102	17,885	508,666	217,697
2009-12-21	$32.17	$29.00	37.9%	10.9%	33.7%	8.9%	38.0%	5.1%	2.5%	18.6M	-595.5M	-2.3M	0.73	3.77	14,075	10,341	378,652	168,358
2009-12-22	$32.32	$29.00	34.9%	10.0%	33.4%	4.9%	35.0%	5.4%	3.4%	20.1M	-621.5M	-2.3M	0.79	4.25	12,387	9,738	385,085	172,536
2009-12-23	$31.62	$29.00	33.5%	9.6%	34.4%	2.9%	34.7%	5.7%	4.3%	20.3M	-531.3M	-2.3M	0.64	5.31	10,192	6,546	388,605	178,462
2009-12-24	$31.68	$29.00	33.5%	9.6%	34.4%	2.9%	35.1%	6.6%	3.9%	20.0M	-522.7M	-2.3M	0.81	4.07	8,862	7,141	385,221	181,571
2009-12-28	$31.39	$29.00	36.3%	10.4%	34.6%	6.7%	36.8%	7.1%	2.5%	19.5M	-468.5M	-2.2M	1.03	3.91	5,941	6,103	385,960	184,934
2009-12-29	$30.85	$29.00	36.0%	10.3%	33.7%	6.4%	37.6%	7.6%	2.3%	19.5M	-403.8M	-2.2M	1.34	4.58	6,979	9,371	386,470	185,807
2009-12-30	$31.01	$29.00	34.7%	10.0%	33.7%	4.6%	35.5%	7.8%	2.6%	20.7M	-424.7M	-2.2M	0.35	3.54	9,178	3,187	385,907	189,008
2009-12-31	$30.48	$29.00	36.6%	10.5%	33.9%	7.2%	35.8%	5.7%	1.9%	20.3M	-360.5M	-2.1M	0.52	3.47	13,301	6,934	389,615	190,095