UNH Options History — March 2010

In March 2010, UNH traded between $32.53 and $34.39. ATM implied volatility averaged 35.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.0% (HV 20d: 29.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.81.

Notable Days

2010-03-16: Highest Volume — 121,480 contracts
2010-03-18: Largest IV drop — 14.3% change
2010-03-17: Highest IV Rank — 26.5%
2010-03-16: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.24	$32.53	$34.39	$34.04	$32.67
Max Pain	$32.48	$30.00	$33.00	$30.00	$33.00
ATM IV	35.2%	28.1%	41.4%	34.3%	28.1%
Expected Move	10.1%	8.1%	11.9%	9.8%	8.1%
HV 20d	29.1%	27.2%	31.1%	30.6%	28.0%
HV 60d	31.1%	30.0%	32.7%	32.7%	30.1%
IV Rank	11.2%	0.0%	26.5%	6.8%	0.0%
IV Percentile	16.5%	0.0%	44.0%	8.7%	0.0%
Term Structure	-1.1%	-5.2%	3.4%	-0.8%	3.4%
VWIV	35.9%	28.5%	41.4%	35.6%	28.5%
Skew 25d	5.9%	3.9%	7.3%	7.3%	3.9%
Skew 10d	12.3%	8.6%	15.6%	13.5%	8.6%
Call IV 25d	32.8%	27.4%	38.3%	32.1%	27.4%
Put IV 25d	38.7%	31.2%	45.0%	39.3%	31.2%
Bid-Ask Spread %	4.08	2.68	6.40	6.40	5.98
Gamma HHI	0.19	0.13	0.40	0.13	0.21
Net GEX	16.7M	12.2M	22.9M	18.5M	12.2M
Net DEX	-389.5M	-817.6M	-143.4M	-542.1M	-143.4M
Net VEX	-2.4M	-2.6M	-2.2M	-2.3M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.31	1.56	0.73	0.37
Total Volume	37,547.87	8,011	121,480	41,669	12,001
Total OI	550,175.565	447,463	721,468	492,732	492,263

Daily Data (23 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
2010-03-01	$34.04	$30.00	34.3%	9.8%	30.6%	6.8%	35.6%	7.3%	-0.8%	18.5M	-542.1M	-2.3M	0.73	6.40	24,123	17,546	331,222	161,510
2010-03-02	$33.95	$30.00	33.2%	9.5%	30.6%	5.3%	33.5%	6.7%	-0.3%	19.5M	-539.1M	-2.4M	0.36	5.03	10,164	3,677	345,121	171,431
2010-03-03	$34.10	$30.00	33.8%	9.7%	29.0%	6.1%	36.2%	6.7%	-0.8%	18.7M	-552.0M	-2.3M	0.59	6.20	11,348	6,666	340,446	172,146
2010-03-04	$32.95	$30.00	37.5%	10.8%	30.6%	11.0%	38.0%	5.0%	-1.8%	17.6M	-411.3M	-2.4M	1.56	5.37	38,087	59,560	347,924	175,807
2010-03-05	$33.74	$33.00	34.8%	10.0%	30.2%	7.4%	38.5%	6.0%	-1.2%	16.6M	-504.8M	-2.5M	0.31	3.28	32,449	10,214	365,275	216,462
2010-03-08	$33.10	$33.00	37.3%	10.3%	31.1%	10.7%	37.2%	5.5%	-1.5%	18.5M	-447.5M	-2.5M	1.16	3.35	3,706	4,305	381,294	208,106
2010-03-09	$33.08	$33.00	36.0%	10.3%	31.0%	9.0%	36.0%	5.9%	-1.8%	17.4M	-421.2M	-2.4M	0.65	3.05	8,302	5,399	370,333	208,636
2010-03-10	$33.24	$33.00	35.3%	10.6%	30.4%	9.3%	40.3%	6.6%	-2.3%	18.5M	-452.4M	-2.4M	1.26	3.53	7,285	9,168	374,389	209,523
2010-03-11	$33.50	$33.00	37.5%	10.8%	30.3%	13.8%	37.6%	6.9%	-2.4%	19.7M	-469.2M	-2.4M	0.57	3.84	13,122	7,512	377,532	214,690
2010-03-12	$32.91	$33.00	37.8%	10.8%	30.7%	16.8%	38.9%	6.7%	-2.5%	17.1M	-391.3M	-2.4M	1.05	3.08	7,374	7,728	375,596	218,112
2010-03-15	$32.53	$33.00	39.1%	11.2%	29.2%	20.9%	39.7%	6.8%	-3.4%	15.0M	-318.6M	-2.2M	1.29	3.84	19,142	24,774	374,142	219,653
2010-03-16	$33.05	$33.00	41.4%	11.9%	28.9%	25.7%	40.5%	7.0%	-4.7%	14.8M	-422.4M	-2.3M	0.43	3.08	85,203	36,277	378,385	232,041
2010-03-17	$32.75	$33.00	41.4%	11.9%	27.4%	26.5%	41.4%	6.7%	-5.2%	15.0M	-434.6M	-2.5M	0.86	2.68	24,775	21,250	447,478	245,694
2010-03-18	$33.59	$33.00	35.4%	10.2%	28.8%	13.7%	36.3%	6.2%	-1.3%	22.9M	-598.6M	-2.5M	0.90	3.95	44,105	39,861	451,040	244,070
2010-03-19	$34.39	$33.00	36.6%	10.5%	28.3%	16.2%	37.2%	6.9%	-2.7%	21.5M	-817.6M	-2.5M	0.38	4.07	52,271	19,759	466,787	254,681
2010-03-22	$33.30	$33.00	34.6%	9.9%	28.4%	12.0%	33.9%	5.9%	-0.8%	15.9M	-279.5M	-2.5M	0.90	3.88	40,273	36,098	298,942	148,521
2010-03-23	$33.16	$33.00	33.7%	9.7%	28.3%	10.6%	34.1%	6.1%	0.1%	16.4M	-254.3M	-2.6M	0.96	3.28	9,997	9,570	313,502	157,383
2010-03-24	$32.72	$33.00	34.2%	9.8%	27.2%	11.6%	34.1%	5.5%	-0.3%	13.5M	-187.3M	-2.4M	0.88	2.74	10,321	9,047	300,600	156,805
2010-03-25	$33.12	$33.00	34.1%	9.8%	27.6%	11.4%	33.6%	5.0%	0.0%	14.5M	-228.9M	-2.5M	0.56	6.09	7,357	4,107	302,867	162,467
2010-03-26	$32.63	$33.00	32.2%	9.2%	27.6%	7.1%	32.8%	4.3%	1.3%	12.6M	-162.4M	-2.4M	0.87	3.91	19,834	17,213	302,254	164,120
2010-03-29	$32.84	$33.00	30.6%	8.8%	27.7%	3.4%	30.7%	4.6%	2.3%	13.4M	-177.0M	-2.4M	1.13	3.77	8,502	9,596	311,099	175,767
2010-03-30	$33.06	$33.00	29.7%	8.5%	27.8%	1.4%	30.0%	4.5%	2.5%	14.9M	-202.0M	-2.4M	0.95	3.53	7,467	7,066	310,046	177,876
2010-03-31	$32.67	$33.00	28.1%	8.1%	28.0%	0.0%	28.5%	3.9%	3.4%	12.2M	-143.4M	-2.3M	0.37	5.98	8,736	3,265	312,387	179,876