UNH Options History — January 2010

In January 2010, UNH traded between $31.48 and $35.13. ATM implied volatility averaged 34.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 2.0% (HV 20d: 32.4%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.63.

Notable Days

2010-01-19: Highest Volume — 77,792 contracts
2010-01-14: Largest IV spike — 26.6% change
2010-01-19: Highest IV Rank — 13.4%
2010-01-19: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.95	$31.48	$35.13	$31.53	$33.00
Max Pain	$31.95	$30.00	$33.00	$32.00	$33.00
ATM IV	34.3%	29.1%	39.3%	34.8%	31.6%
Expected Move	10.4%	9.0%	11.3%	10.6%	9.0%
HV 20d	32.4%	26.9%	35.6%	32.3%	35.3%
HV 60d	31.8%	30.7%	33.5%	33.5%	30.7%
IV Rank	6.3%	0.0%	13.4%	4.7%	3.2%
IV Percentile	6.4%	0.0%	20.2%	2.8%	2.0%
Term Structure	-0.7%	-3.6%	3.8%	-1.3%	3.8%
VWIV	36.3%	31.0%	39.8%	37.9%	31.0%
Skew 25d	4.6%	3.4%	5.5%	5.1%	4.8%
Skew 10d	9.8%	7.3%	11.5%	10.9%	9.7%
Call IV 25d	34.5%	29.7%	37.7%	35.3%	29.7%
Put IV 25d	39.1%	34.4%	41.7%	40.4%	34.4%
Bid-Ask Spread %	3.99	2.82	4.98	4.01	4.74
Gamma HHI	0.19	0.14	0.37	0.23	0.15
Net GEX	20.1M	14.0M	28.7M	22.7M	16.5M
Net DEX	-576.7M	-907.7M	-341.3M	-515.5M	-405.1M
Net VEX	-2.1M	-2.4M	-1.8M	-2.1M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.24	1.55	0.62	0.31
Total Volume	33,193.842	8,724	77,792	12,396	20,126
Total OI	534,495.474	378,513	665,681	587,903	471,016

Daily Data (19 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
2010-01-04	$31.53	$32.00	34.8%	10.6%	32.3%	4.7%	37.9%	5.1%	-1.3%	22.7M	-515.5M	-2.1M	0.62	4.01	7,656	4,740	395,121	192,782
2010-01-05	$31.48	$31.00	36.9%	11.2%	32.5%	7.5%	38.2%	5.4%	-1.9%	21.8M	-491.3M	-2.1M	0.76	3.63	10,595	8,079	398,641	193,690
2010-01-06	$31.79	$32.00	33.2%	11.0%	31.3%	2.6%	39.8%	5.0%	-1.7%	24.1M	-570.8M	-2.1M	0.60	2.88	7,775	4,680	401,807	196,464
2010-01-07	$33.01	$32.00	30.8%	10.7%	33.3%	0.0%	37.6%	5.5%	-1.9%	23.9M	-759.1M	-1.9M	0.36	4.15	21,357	7,671	402,740	197,586
2010-01-08	$32.70	$31.00	29.1%	10.5%	33.8%	0.0%	37.9%	4.8%	-1.9%	24.7M	-731.3M	-1.9M	1.14	3.73	5,961	6,803	410,354	199,757
2010-01-11	$32.92	$31.00	29.9%	10.3%	26.9%	1.0%	35.4%	4.2%	-1.6%	24.1M	-768.0M	-1.8M	0.24	3.01	37,421	8,883	411,803	202,672
2010-01-12	$32.05	$31.00	35.3%	10.9%	29.0%	8.1%	37.0%	4.6%	-2.8%	23.4M	-613.3M	-2.0M	0.50	3.88	16,279	8,197	419,405	205,248
2010-01-13	$32.54	$32.00	30.1%	10.8%	29.0%	1.3%	37.8%	3.8%	-2.7%	21.6M	-725.2M	-1.9M	0.31	3.46	33,426	10,303	426,511	207,071
2010-01-14	$33.32	$30.00	38.1%	10.9%	29.8%	11.8%	38.1%	3.9%	-2.7%	25.2M	-867.2M	-2.0M	0.74	2.82	15,054	11,168	450,131	207,953
2010-01-15	$33.75	$30.00	38.5%	11.0%	28.6%	12.3%	38.5%	3.4%	-3.4%	28.7M	-907.7M	-2.0M	0.25	3.71	43,533	10,682	452,571	213,110
2010-01-19	$35.13	$31.00	39.3%	11.3%	31.1%	13.4%	39.3%	4.0%	-3.6%	14.0M	-585.4M	-2.0M	0.53	4.10	50,887	26,905	266,077	112,436
2010-01-20	$34.55	$33.00	36.1%	10.3%	31.6%	9.1%	36.4%	4.1%	-2.0%	15.3M	-541.5M	-2.1M	0.39	4.94	38,471	15,014	280,699	124,706
2010-01-21	$33.10	$33.00	34.0%	9.8%	35.2%	6.4%	33.2%	4.0%	1.0%	16.5M	-421.5M	-2.4M	0.55	4.85	35,893	19,568	302,860	129,399
2010-01-22	$33.16	$33.00	36.8%	10.6%	35.2%	10.1%	36.4%	5.4%	0.9%	15.2M	-421.4M	-2.4M	0.93	4.98	22,623	21,061	302,902	135,898
2010-01-25	$33.00	$33.00	34.9%	10.0%	34.2%	7.6%	34.7%	4.6%	1.9%	15.6M	-404.3M	-2.4M	1.20	3.72	17,504	21,044	310,375	142,504
2010-01-26	$32.44	$33.00	35.7%	10.2%	34.9%	8.7%	35.2%	4.8%	1.6%	14.3M	-341.3M	-2.4M	1.55	4.01	3,424	5,300	316,702	150,213
2010-01-27	$33.24	$33.00	33.7%	9.7%	35.6%	6.1%	32.7%	5.5%	2.1%	16.4M	-429.3M	-2.4M	0.36	4.80	23,347	8,503	311,740	144,167
2010-01-28	$33.43	$33.00	32.9%	9.4%	34.8%	5.0%	32.0%	5.0%	3.0%	17.4M	-457.8M	-2.4M	0.70	4.40	12,227	8,523	319,171	149,132
2010-01-29	$33.00	$33.00	31.6%	9.0%	35.3%	3.2%	31.0%	4.8%	3.8%	16.5M	-405.1M	-2.4M	0.31	4.74	15,323	4,803	319,321	151,695