UNH Options History — February 2011

In February 2011, UNH traded between $41.81 and $43.04. ATM implied volatility averaged 25.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.2% (HV 20d: 27.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.96.

Notable Days

2011-02-03: Highest Volume — 39,095 contracts
2011-02-22: Largest IV spike — 12.7% change
2011-02-07: Highest IV Rank — 28.0%
2011-02-23: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.44	$41.81	$43.04	$42.07	$42.58
Max Pain	$35.79	$35.00	$40.00	$40.00	$35.00
ATM IV	25.8%	23.7%	27.8%	24.7%	24.4%
Expected Move	7.3%	6.8%	7.8%	7.1%	7.0%
HV 20d	27.9%	16.5%	30.9%	28.7%	16.5%
HV 60d	23.5%	21.9%	25.0%	24.0%	21.9%
IV Rank	17.0%	6.1%	28.0%	11.4%	9.7%
IV Percentile	21.4%	2.4%	42.9%	9.5%	8.3%
Term Structure	0.4%	-0.6%	1.7%	-0.1%	1.4%
VWIV	26.5%	24.2%	28.6%	25.3%	25.5%
Skew 25d	4.0%	3.3%	4.7%	3.8%	4.0%
Skew 10d	9.3%	6.6%	13.6%	7.7%	9.2%
Call IV 25d	24.3%	22.6%	26.2%	23.2%	23.9%
Put IV 25d	28.4%	26.6%	30.7%	26.9%	27.9%
Bid-Ask Spread %	6.88	4.77	8.97	4.77	7.43
Gamma HHI	0.11	0.09	0.14	0.12	0.14
Net GEX	4.9M	2.6M	6.6M	5.2M	6.6M
Net DEX	-403.4M	-459.2M	-369.1M	-383.7M	-398.7M
Net VEX	-1.6M	-1.6M	-1.5M	-1.5M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.35	1.46	1.07	0.96
Total Volume	9,989.211	2,796	39,095	7,038	2,796
Total OI	263,944.842	239,589	284,099	239,589	268,669

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
2011-02-01	$42.07	$40.00	24.7%	7.1%	28.7%	11.4%	25.3%	3.8%	-0.1%	5.2M	-383.7M	-1.5M	1.07	4.77	3,404	3,634	145,696	93,893
2011-02-02	$41.95	$40.00	24.6%	7.1%	28.8%	10.7%	25.1%	4.0%	-0.1%	5.3M	-379.2M	-1.5M	1.38	6.17	1,708	2,362	146,379	95,661
2011-02-03	$43.04	$40.00	26.3%	7.6%	29.6%	20.0%	26.8%	3.3%	-0.4%	5.1M	-431.9M	-1.5M	0.53	6.24	25,543	13,552	146,833	96,891
2011-02-04	$42.49	$35.00	27.4%	7.7%	30.0%	25.8%	27.5%	3.7%	-0.6%	4.4M	-398.9M	-1.6M	1.31	5.95	4,712	6,174	155,380	105,252
2011-02-07	$41.81	$35.00	27.8%	7.7%	30.9%	28.0%	27.8%	4.2%	-0.6%	3.8M	-369.1M	-1.6M	0.99	6.34	2,661	2,636	156,162	108,165
2011-02-08	$41.97	$35.00	27.1%	7.6%	30.8%	23.8%	26.2%	3.7%	-0.0%	3.8M	-381.1M	-1.5M	1.23	8.03	1,659	2,037	155,758	107,801
2011-02-09	$42.07	$35.00	26.4%	7.4%	30.5%	20.4%	25.9%	4.1%	0.2%	3.9M	-376.6M	-1.6M	0.97	8.97	4,398	4,246	156,121	107,933
2011-02-10	$42.43	$35.00	26.1%	7.5%	30.4%	18.6%	26.2%	3.8%	0.1%	4.0M	-404.2M	-1.6M	0.78	6.09	3,533	2,745	158,861	109,161
2011-02-11	$42.38	$35.00	25.6%	7.3%	29.9%	16.2%	25.2%	4.2%	0.5%	4.1M	-396.9M	-1.6M	0.52	8.30	3,495	1,808	161,096	111,221
2011-02-14	$42.46	$35.00	26.1%	7.5%	28.3%	18.9%	28.6%	4.0%	0.2%	5.0M	-402.2M	-1.6M	0.98	7.31	2,318	2,279	162,750	112,087
2011-02-15	$42.03	$35.00	25.4%	7.3%	28.7%	15.3%	27.4%	4.0%	0.4%	3.9M	-389.6M	-1.5M	0.35	6.99	7,541	2,644	163,075	112,478
2011-02-16	$42.50	$35.00	25.2%	7.2%	28.7%	14.1%	27.2%	4.5%	0.4%	4.4M	-413.7M	-1.6M	0.45	6.16	7,642	3,418	169,347	114,176
2011-02-17	$42.59	$35.00	23.9%	6.8%	28.5%	6.9%	24.2%	4.1%	1.1%	4.6M	-441.2M	-1.5M	1.46	6.01	4,539	6,611	169,380	114,719
2011-02-18	$42.84	$35.00	23.7%	6.8%	28.5%	6.1%	24.4%	4.0%	1.7%	2.6M	-459.2M	-1.5M	1.05	6.41	9,018	9,493	168,180	115,156
2011-02-22	$42.96	$35.00	26.7%	7.7%	27.7%	22.1%	27.2%	4.0%	0.4%	6.4M	-421.3M	-1.5M	0.89	7.54	8,971	8,021	154,283	91,511
2011-02-23	$42.91	$35.00	27.3%	7.8%	27.1%	25.3%	28.2%	4.5%	0.5%	6.6M	-416.6M	-1.6M	1.12	6.95	5,419	6,095	159,581	97,070
2011-02-24	$42.75	$35.00	26.7%	7.7%	26.8%	21.9%	28.4%	4.7%	0.7%	6.5M	-404.8M	-1.6M	1.17	7.23	1,497	1,757	161,051	100,635
2011-02-25	$42.52	$35.00	23.9%	6.9%	20.6%	7.2%	25.6%	4.2%	1.7%	6.5M	-396.0M	-1.6M	1.06	7.83	4,571	4,858	161,397	101,143
2011-02-28	$42.58	$35.00	24.4%	7.0%	16.5%	9.7%	25.5%	4.0%	1.4%	6.6M	-398.7M	-1.6M	0.96	7.43	1,427	1,369	163,939	104,730