UNH Options History — August 2010

In August 2010, UNH traded between $31.04 and $33.49. ATM implied volatility averaged 28.4%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.5% (HV 20d: 25.8%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2010-08-25: Highest Volume — 31,084 contracts
2010-08-11: Largest IV spike — 24.1% change
2010-08-11: Highest IV Rank — 18.2%
2010-08-11: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.23	$31.04	$33.49	$31.44	$31.72
Max Pain	$30.18	$30.00	$31.00	$30.00	$31.00
ATM IV	28.4%	25.0%	31.3%	26.3%	28.1%
Expected Move	8.2%	7.5%	8.9%	7.5%	8.1%
HV 20d	25.8%	21.4%	28.6%	21.4%	24.7%
HV 60d	23.1%	22.2%	24.0%	22.2%	23.3%
IV Rank	10.6%	1.9%	18.2%	5.3%	9.9%
IV Percentile	14.7%	1.2%	29.0%	3.2%	13.1%
Term Structure	1.1%	0.0%	2.8%	0.4%	2.2%
VWIV	29.5%	26.1%	32.8%	26.7%	29.0%
Skew 25d	5.1%	3.0%	6.5%	3.6%	4.3%
Skew 10d	11.0%	6.7%	13.2%	6.7%	8.9%
Call IV 25d	26.6%	24.4%	28.6%	24.4%	27.2%
Put IV 25d	31.7%	27.4%	35.0%	28.0%	31.5%
Bid-Ask Spread %	4.82	3.32	6.62	3.89	6.36
Gamma HHI	0.14	0.11	0.24	0.11	0.15
Net GEX	7.6M	3.5M	11.5M	6.0M	5.4M
Net DEX	-164.5M	-272.5M	-55.2M	-112.4M	-114.6M
Net VEX	-1.9M	-2.0M	-1.8M	-1.9M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.23	1.70	0.35	0.40
Total Volume	9,944.045	2,686	31,084	12,368	3,733
Total OI	369,847.955	325,896	396,411	363,468	363,087

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
2010-08-02	$31.44	$30.00	26.3%	7.5%	21.4%	5.3%	26.7%	3.6%	0.4%	6.0M	-112.4M	-1.9M	0.35	3.89	9,154	3,214	209,027	154,441
2010-08-03	$32.42	$30.00	27.2%	7.8%	22.7%	7.5%	27.1%	3.2%	0.2%	7.3M	-182.5M	-2.0M	0.23	3.32	14,775	3,391	210,174	155,016
2010-08-04	$32.91	$30.00	26.6%	7.6%	22.8%	6.2%	31.2%	3.6%	0.2%	8.9M	-225.1M	-2.0M	0.59	4.17	8,614	5,063	215,211	155,967
2010-08-05	$33.42	$30.00	26.1%	7.5%	22.8%	4.7%	26.1%	3.0%	0.5%	10.1M	-268.7M	-2.0M	0.31	3.53	12,485	3,905	214,286	156,311
2010-08-06	$33.45	$30.00	25.0%	7.7%	22.8%	1.9%	27.5%	4.5%	1.3%	10.2M	-272.5M	-2.0M	1.13	3.80	4,841	5,447	216,655	158,018
2010-08-09	$33.49	$30.00	26.3%	7.8%	22.8%	5.3%	29.6%	5.0%	0.9%	9.6M	-264.9M	-2.0M	1.70	4.66	1,747	2,965	216,282	159,150
2010-08-10	$33.33	$30.00	25.3%	7.7%	23.1%	2.6%	30.8%	5.3%	1.5%	10.3M	-262.7M	-1.9M	0.74	4.16	4,601	3,387	216,901	160,662
2010-08-11	$31.99	$30.00	31.3%	8.9%	28.3%	18.2%	32.8%	6.5%	0.1%	7.1M	-146.4M	-2.0M	1.06	5.48	11,948	12,636	218,019	159,799
2010-08-12	$32.13	$30.00	30.5%	8.7%	27.7%	16.0%	30.8%	6.4%	0.0%	8.4M	-162.7M	-2.0M	0.52	3.94	3,854	2,004	221,998	163,206
2010-08-13	$32.03	$30.00	30.4%	8.7%	26.8%	15.8%	31.1%	6.5%	1.0%	8.2M	-150.8M	-2.0M	1.26	3.57	3,781	4,746	223,045	164,243
2010-08-16	$31.90	$30.00	30.8%	8.8%	26.4%	16.8%	31.9%	6.4%	0.5%	8.3M	-145.6M	-1.9M	0.72	5.17	1,994	1,441	224,222	165,499
2010-08-17	$32.35	$30.00	30.1%	8.6%	26.8%	14.9%	29.4%	6.1%	0.7%	10.4M	-191.1M	-1.9M	0.50	5.65	2,720	1,370	225,126	165,657
2010-08-18	$32.54	$30.00	28.1%	8.0%	26.7%	9.8%	29.0%	5.9%	1.8%	11.5M	-198.4M	-1.9M	0.59	4.72	3,365	1,986	224,162	165,685
2010-08-19	$31.79	$30.00	30.7%	8.8%	28.1%	16.5%	31.2%	6.4%	1.2%	7.1M	-134.5M	-1.9M	0.94	4.57	6,288	5,901	224,826	166,786
2010-08-20	$31.61	$30.00	28.8%	8.3%	28.2%	11.6%	29.5%	6.0%	2.8%	7.3M	-114.1M	-1.8M	0.67	4.49	4,635	3,127	226,823	169,588
2010-08-23	$31.50	$30.00	30.1%	8.6%	27.5%	14.9%	28.6%	5.9%	0.9%	4.3M	-84.0M	-1.8M	0.73	5.71	3,152	2,299	192,363	133,533
2010-08-24	$31.04	$30.00	30.3%	8.7%	26.9%	15.6%	30.7%	5.8%	1.0%	3.5M	-55.2M	-1.8M	0.77	5.62	3,595	2,772	193,846	134,731
2010-08-25	$31.96	$30.00	28.5%	8.2%	28.1%	10.9%	30.1%	4.8%	1.3%	5.3M	-117.2M	-1.8M	0.73	6.62	17,924	13,160	195,090	136,155
2010-08-26	$31.85	$31.00	28.6%	8.2%	28.2%	11.1%	29.6%	4.3%	1.9%	5.4M	-124.8M	-1.9M	0.24	5.01	7,426	1,814	209,537	147,884
2010-08-27	$32.37	$31.00	26.8%	7.7%	28.6%	6.7%	28.3%	4.0%	2.4%	6.9M	-166.1M	-1.9M	1.17	5.34	2,221	2,602	212,714	148,426
2010-08-30	$31.91	$31.00	28.1%	8.1%	27.0%	9.9%	29.0%	5.0%	2.3%	5.4M	-123.9M	-1.9M	1.29	6.30	1,172	1,514	213,057	149,447
2010-08-31	$31.72	$31.00	28.1%	8.1%	24.7%	9.9%	29.0%	4.3%	2.2%	5.4M	-114.6M	-1.8M	0.40	6.36	2,674	1,059	213,037	150,050