UNH Options History — July 2010

In July 2010, UNH traded between $27.85 and $31.47. ATM implied volatility averaged 27.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.9% (HV 20d: 21.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2010-07-15: Highest Volume — 27,123 contracts
2010-07-12: Largest IV spike — 13.6% change
2010-07-01: Highest IV Rank — 19.9%
2010-07-06: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.16	$27.85	$31.47	$27.85	$30.45
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	27.7%	24.2%	32.5%	32.5%	28.2%
Expected Move	8.3%	7.2%	9.6%	9.3%	8.1%
HV 20d	21.7%	18.5%	23.6%	18.5%	19.5%
HV 60d	24.5%	22.0%	26.3%	25.3%	22.0%
IV Rank	8.5%	0.0%	19.9%	19.9%	10.1%
IV Percentile	7.0%	0.0%	20.2%	20.2%	10.3%
Term Structure	0.7%	-1.0%	4.2%	3.7%	0.8%
VWIV	29.0%	25.0%	33.9%	33.9%	26.9%
Skew 25d	4.6%	3.6%	5.9%	5.8%	3.9%
Skew 10d	9.6%	7.3%	12.1%	11.0%	8.3%
Call IV 25d	26.8%	23.5%	30.9%	30.5%	25.7%
Put IV 25d	31.4%	27.5%	36.8%	36.3%	29.6%
Bid-Ask Spread %	4.56	3.51	6.12	6.12	4.17
Gamma HHI	0.12	0.08	0.22	0.08	0.10
Net GEX	1.7M	-1.3M	7.0M	-789.8K	2.7M
Net DEX	-21.5M	-108.1M	102.6M	102.6M	-35.0M
Net VEX	-1.9M	-2.0M	-1.7M	-1.7M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.20	2.97	1.32	0.43
Total Volume	10,966.619	2,672	27,123	23,716	9,570
Total OI	354,505.571	332,240	381,868	332,240	359,329

Daily Data (21 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
2010-07-01	$27.85	$30.00	32.5%	9.3%	18.5%	19.9%	33.9%	5.8%	3.7%	-789.8K	102.6M	-1.7M	1.32	6.12	10,203	13,513	190,886	141,354
2010-07-02	$28.30	$30.00	30.4%	8.7%	19.9%	14.6%	29.5%	5.5%	4.2%	-1.3M	94.6M	-1.8M	0.48	5.10	1,802	870	197,366	151,952
2010-07-06	$28.89	$30.00	29.9%	9.6%	21.5%	13.4%	33.4%	5.9%	-0.9%	-1.0M	64.6M	-1.9M	0.76	4.66	2,627	2,004	197,763	150,892
2010-07-07	$29.20	$30.00	28.5%	9.2%	21.2%	9.7%	31.3%	5.2%	-1.0%	-1.3M	50.4M	-1.9M	0.43	4.21	2,848	1,216	198,607	151,370
2010-07-08	$29.68	$30.00	24.9%	8.9%	22.0%	0.4%	31.8%	5.1%	-0.8%	-889.8K	17.8M	-1.9M	0.88	4.90	5,190	4,552	199,661	151,675
2010-07-09	$29.97	$30.00	24.2%	8.7%	22.2%	0.0%	30.3%	4.8%	-0.5%	-438.2K	-2.7M	-2.0M	0.20	4.44	5,999	1,170	201,316	152,897
2010-07-12	$30.04	$30.00	27.5%	8.7%	22.2%	8.4%	29.1%	5.0%	-0.5%	-998.4K	-3.6M	-1.9M	0.83	4.80	5,695	4,714	200,323	152,415
2010-07-13	$30.14	$30.00	29.5%	8.5%	22.3%	13.5%	30.6%	5.0%	-0.5%	1.7M	-19.2M	-1.9M	1.11	4.76	6,135	6,804	204,411	154,255
2010-07-14	$30.32	$30.00	26.6%	8.3%	21.1%	6.0%	29.7%	4.8%	-0.2%	1.8M	-35.4M	-1.9M	1.28	4.71	7,574	9,720	204,365	154,935
2010-07-15	$30.88	$30.00	27.6%	7.9%	22.1%	8.7%	28.4%	4.2%	-0.1%	7.0M	-85.8M	-2.0M	0.38	4.99	19,654	7,469	208,395	162,162
2010-07-16	$30.34	$30.00	30.4%	8.7%	22.8%	15.7%	29.8%	4.1%	0.2%	-999.6K	-46.8M	-2.0M	0.46	3.70	7,743	3,542	215,914	165,954
2010-07-19	$30.82	$30.00	27.4%	7.8%	23.6%	8.0%	27.4%	4.1%	0.4%	3.4M	-68.0M	-2.0M	0.98	5.52	8,177	8,036	196,152	143,025
2010-07-20	$30.83	$30.00	26.3%	7.5%	23.5%	5.2%	26.6%	3.9%	0.6%	3.3M	-65.4M	-2.0M	0.33	4.83	12,494	4,145	199,414	147,484
2010-07-21	$30.70	$30.00	26.3%	7.5%	22.8%	5.4%	26.6%	4.3%	1.4%	3.3M	-54.2M	-2.0M	0.89	3.67	3,871	3,440	201,315	147,613
2010-07-22	$31.00	$30.00	25.2%	7.2%	22.4%	2.4%	25.0%	3.9%	1.5%	4.0M	-75.8M	-2.0M	0.82	3.51	2,413	1,978	202,496	149,646
2010-07-23	$30.92	$30.00	25.1%	7.2%	21.6%	2.2%	25.9%	4.1%	2.0%	3.7M	-68.5M	-2.0M	2.52	4.31	950	2,398	203,068	150,627
2010-07-26	$31.47	$30.00	26.0%	7.4%	22.3%	4.4%	25.4%	3.9%	1.5%	5.0M	-108.1M	-2.0M	2.08	5.04	2,301	4,775	203,446	151,451
2010-07-27	$30.78	$30.00	27.3%	7.8%	22.2%	7.9%	30.4%	5.1%	0.9%	3.2M	-56.5M	-2.0M	2.97	4.24	4,260	12,638	204,545	153,618
2010-07-28	$30.33	$30.00	28.5%	8.2%	21.6%	10.9%	28.4%	4.0%	1.0%	1.9M	-24.5M	-1.9M	0.78	3.59	5,183	4,062	205,098	154,950
2010-07-29	$30.44	$30.00	28.8%	8.3%	21.2%	11.8%	28.8%	3.6%	0.7%	2.4M	-32.9M	-1.9M	0.83	4.50	4,691	3,873	207,160	155,312
2010-07-30	$30.45	$30.00	28.2%	8.1%	19.5%	10.1%	26.9%	3.9%	0.8%	2.7M	-35.0M	-1.9M	0.43	4.17	6,709	2,861	206,180	153,149