UNH Options History — February 2010

In February 2010, UNH traded between $31.63 and $34.05. ATM implied volatility averaged 34.5%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.9% (HV 20d: 32.6%). 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 15 of 19 days. Put/call ratio averaged 0.76.

Notable Days

2010-02-19: Highest Volume — 65,515 contracts
2010-02-09: Largest IV drop — 11.6% change
2010-02-08: Highest IV Rank — 12.9%
2010-02-08: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.87	$31.63	$34.05	$33.13	$33.86
Max Pain	$30.63	$30.00	$33.00	$33.00	$30.00
ATM IV	34.5%	30.6%	39.0%	33.4%	30.8%
Expected Move	10.0%	8.8%	11.4%	9.6%	8.8%
HV 20d	32.6%	28.3%	36.3%	34.5%	31.0%
HV 60d	31.6%	30.3%	33.2%	30.6%	32.7%
IV Rank	7.0%	1.9%	12.9%	5.6%	2.3%
IV Percentile	9.2%	1.2%	24.6%	3.6%	2.0%
Term Structure	0.7%	-1.2%	3.7%	2.0%	0.8%
VWIV	35.1%	31.8%	40.0%	33.5%	32.6%
Skew 25d	6.4%	3.7%	8.2%	5.7%	4.5%
Skew 10d	12.9%	8.0%	17.4%	10.9%	9.1%
Call IV 25d	32.4%	28.4%	36.1%	30.9%	30.0%
Put IV 25d	38.8%	33.9%	43.9%	36.6%	34.5%
Bid-Ask Spread %	4.68	3.91	7.40	5.24	7.40
Gamma HHI	0.15	0.13	0.18	0.14	0.13
Net GEX	16.7M	7.8M	19.4M	17.2M	18.9M
Net DEX	-399.1M	-538.7M	-249.7M	-425.7M	-530.5M
Net VEX	-2.4M	-2.5M	-2.2M	-2.5M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.22	1.60	0.92	1.16
Total Volume	24,070.474	9,343	65,515	14,558	49,081
Total OI	496,230.842	439,818	543,011	481,132	473,019

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
2010-02-01	$33.13	$33.00	33.4%	9.6%	34.5%	5.6%	33.5%	5.7%	2.0%	17.2M	-425.7M	-2.5M	0.92	5.24	7,598	6,960	328,207	152,925
2010-02-02	$34.05	$33.00	30.6%	8.8%	33.8%	1.9%	32.0%	5.5%	3.2%	19.4M	-538.7M	-2.4M	0.87	5.08	6,583	5,707	329,252	152,010
2010-02-03	$33.32	$33.00	32.5%	9.3%	35.0%	4.5%	31.8%	5.8%	3.7%	17.9M	-447.7M	-2.4M	0.65	5.23	14,156	9,178	330,397	152,475
2010-02-04	$32.46	$33.00	35.5%	10.2%	36.3%	8.4%	34.5%	6.3%	3.1%	16.3M	-355.0M	-2.5M	1.60	4.02	3,725	5,945	337,025	156,672
2010-02-05	$32.54	$30.00	36.4%	11.1%	33.7%	9.6%	40.0%	7.4%	0.2%	16.1M	-360.0M	-2.5M	0.84	4.96	19,461	16,399	336,346	157,402
2010-02-08	$32.41	$30.00	39.0%	11.4%	33.6%	12.9%	38.8%	8.2%	-1.2%	15.7M	-342.1M	-2.5M	0.37	4.31	11,638	4,254	342,312	164,681
2010-02-09	$33.00	$30.00	34.4%	10.6%	34.1%	7.0%	36.5%	7.9%	0.6%	18.0M	-406.9M	-2.5M	0.63	4.29	12,277	7,694	345,964	164,602
2010-02-10	$32.71	$30.00	32.7%	10.4%	32.8%	4.7%	35.7%	7.9%	0.8%	17.6M	-381.3M	-2.5M	0.46	4.41	11,669	5,399	351,225	164,590
2010-02-11	$33.12	$30.00	35.6%	10.2%	32.7%	8.5%	36.3%	7.9%	1.0%	19.3M	-436.1M	-2.5M	0.53	4.56	8,763	4,661	352,171	164,943
2010-02-12	$32.18	$30.00	37.0%	10.6%	33.1%	10.4%	36.8%	8.1%	0.2%	15.7M	-316.6M	-2.4M	0.60	4.49	5,835	3,508	354,424	165,912
2010-02-16	$31.63	$30.00	37.3%	10.7%	33.1%	10.8%	38.1%	7.3%	-1.2%	13.8M	-249.7M	-2.3M	1.30	4.26	11,480	14,962	356,459	166,640
2010-02-17	$32.55	$30.00	34.3%	9.8%	31.3%	6.8%	34.4%	7.5%	0.4%	17.3M	-361.8M	-2.3M	1.11	4.59	9,237	10,242	357,699	171,265
2010-02-18	$32.69	$30.00	35.0%	10.0%	31.0%	7.7%	35.1%	7.0%	-0.5%	17.3M	-373.2M	-2.3M	0.70	3.91	21,061	14,848	358,867	172,018
2010-02-19	$31.94	$30.00	35.9%	10.3%	28.3%	8.9%	35.2%	6.0%	-0.6%	7.8M	-261.1M	-2.3M	1.00	4.06	32,692	32,823	365,053	177,958
2010-02-22	$33.08	$30.00	34.6%	9.9%	31.2%	7.1%	35.2%	5.1%	0.0%	15.4M	-415.8M	-2.2M	0.45	3.93	25,488	11,451	294,967	144,851
2010-02-23	$32.81	$30.00	34.0%	9.8%	31.3%	6.4%	33.8%	4.6%	0.1%	16.4M	-400.5M	-2.3M	0.22	5.27	21,246	4,762	305,193	146,314
2010-02-24	$33.62	$30.00	32.7%	9.4%	31.8%	4.6%	33.9%	3.7%	0.4%	17.9M	-498.8M	-2.3M	0.52	4.69	9,730	5,072	315,385	149,430
2010-02-25	$33.45	$30.00	33.1%	9.5%	30.7%	5.3%	32.5%	5.1%	0.9%	18.4M	-482.1M	-2.3M	0.53	4.20	7,688	4,066	318,793	150,940
2010-02-26	$33.86	$30.00	30.8%	8.8%	31.0%	2.3%	32.6%	4.5%	0.8%	18.9M	-530.5M	-2.3M	1.16	7.40	22,672	26,409	320,773	152,246