UNH Options History — August 2011

In August 2011, UNH traded between $41.85 and $48.02. ATM implied volatility averaged 40.1%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 7.8% (HV 20d: 47.8%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.07.

Notable Days

2011-08-01: Highest Volume — 27,011 contracts
2011-08-08: Largest IV spike — 49.3% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.26	$41.85	$48.02	$48.02	$47.52
Max Pain	$47.65	$47.00	$50.00	$50.00	$47.00
ATM IV	40.1%	30.5%	60.0%	30.5%	33.4%
Expected Move	11.0%	8.7%	13.9%	8.7%	9.6%
HV 20d	47.8%	20.7%	58.5%	20.7%	57.9%
HV 60d	34.4%	23.0%	38.9%	23.0%	38.8%
IV Rank	64.6%	39.4%	100.0%	75.5%	39.8%
IV Percentile	97.0%	92.1%	100.0%	92.1%	92.5%
Term Structure	-1.1%	-6.7%	3.7%	-1.2%	3.7%
VWIV	39.6%	31.6%	48.6%	31.7%	36.7%
Skew 25d	8.2%	3.7%	11.0%	3.7%	7.3%
Skew 10d	17.9%	6.2%	24.5%	13.3%	23.6%
Call IV 25d	35.7%	29.9%	44.7%	29.9%	31.8%
Put IV 25d	43.9%	33.6%	54.7%	33.6%	39.1%
Bid-Ask Spread %	6.47	4.83	9.02	5.59	6.01
Gamma HHI	0.10	0.08	0.13	0.10	0.10
Net GEX	-3.0M	-4.6M	-876.8K	-2.7M	-1.2M
Net DEX	10.6M	-142.5M	158.6M	-70.4M	-142.5M
Net VEX	-1.7M	-1.9M	-1.5M	-1.7M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.34	1.75	1.72	1.37
Total Volume	13,629.087	5,520	27,011	27,011	11,927
Total OI	264,579.391	237,070	293,443	237,070	283,967

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
2011-08-01	$48.02	$50.00	30.5%	8.7%	20.7%	75.5%	31.7%	3.7%	-1.2%	-2.7M	-70.4M	-1.7M	1.72	5.59	9,919	17,092	109,180	127,890
2011-08-02	$46.98	$50.00	31.5%	9.0%	21.6%	80.9%	32.1%	4.5%	-1.3%	-4.3M	-20.2M	-1.7M	0.54	6.30	5,308	2,846	111,952	135,332
2011-08-03	$47.18	$50.00	31.8%	9.1%	21.5%	82.6%	31.6%	4.1%	-1.7%	-4.2M	-30.0M	-1.7M	1.51	4.83	5,075	7,678	112,073	135,197
2011-08-04	$45.07	$49.00	40.0%	11.5%	25.7%	100.0%	39.2%	5.5%	-4.1%	-4.4M	53.8M	-1.6M	1.62	8.22	3,181	5,165	111,979	136,008
2011-08-05	$45.56	$48.00	40.2%	10.5%	26.5%	100.0%	39.3%	6.8%	-0.7%	-4.4M	37.1M	-1.7M	1.12	9.02	4,109	4,592	112,612	136,870
2011-08-08	$41.93	$48.00	60.0%	13.9%	37.7%	100.0%	48.6%	10.0%	-6.3%	-3.4M	144.6M	-1.6M	1.16	6.65	6,336	7,359	113,381	137,965
2011-08-09	$44.73	$48.00	52.4%	11.8%	45.7%	82.8%	41.2%	8.6%	-3.7%	-4.2M	68.8M	-1.7M	1.30	9.00	9,690	12,590	114,820	138,918
2011-08-10	$41.85	$48.00	58.9%	13.6%	50.0%	97.4%	45.0%	11.0%	-6.7%	-3.5M	158.6M	-1.5M	0.43	7.06	13,081	5,590	117,489	141,250
2011-08-11	$43.93	$47.00	44.2%	12.7%	53.8%	64.1%	44.1%	10.1%	-5.6%	-3.3M	86.4M	-1.7M	0.48	5.57	9,730	4,647	123,221	141,256
2011-08-12	$44.81	$47.00	40.6%	11.6%	54.8%	55.9%	40.4%	8.8%	-3.5%	-3.5M	50.1M	-1.7M	1.75	7.40	6,845	12,003	125,382	142,977
2011-08-15	$45.94	$47.00	35.8%	10.3%	55.9%	45.3%	37.4%	7.7%	-0.5%	-4.6M	6.6M	-1.7M	1.04	6.06	4,033	4,181	128,662	149,455
2011-08-16	$45.50	$47.00	36.4%	10.4%	55.9%	46.4%	35.6%	7.6%	-0.6%	-4.1M	24.7M	-1.7M	0.48	5.53	8,082	3,878	129,778	147,769
2011-08-17	$45.53	$47.00	33.3%	9.5%	55.9%	39.4%	38.1%	7.8%	1.0%	-3.9M	17.4M	-1.7M	1.47	5.10	3,991	5,872	133,852	148,373
2011-08-18	$43.89	$47.00	42.9%	12.3%	56.5%	61.1%	45.3%	10.0%	-4.0%	-3.1M	103.2M	-1.7M	0.34	7.53	11,490	3,956	134,350	152,147
2011-08-19	$43.32	$47.00	44.6%	12.8%	56.0%	65.0%	43.9%	11.0%	-4.0%	-2.9M	124.5M	-1.7M	1.03	4.89	4,380	4,503	140,312	153,131
2011-08-22	$43.61	$47.00	41.6%	11.9%	56.1%	58.2%	42.7%	11.0%	1.2%	-2.6M	39.7M	-1.7M	0.58	6.50	12,505	7,297	113,717	130,199
2011-08-23	$44.87	$47.00	38.3%	11.0%	57.6%	50.9%	41.5%	9.7%	2.6%	-1.7M	-16.4M	-1.8M	1.03	5.26	9,139	9,375	121,893	133,297
2011-08-24	$45.91	$47.00	37.0%	10.6%	58.0%	47.9%	38.9%	8.6%	2.5%	-876.8K	-72.9M	-1.9M	1.16	6.24	4,570	5,292	129,114	137,679
2011-08-25	$45.09	$47.00	41.6%	11.9%	58.2%	58.2%	41.8%	9.8%	0.5%	-1.5M	-33.7M	-1.9M	0.96	6.17	6,967	6,681	128,466	139,373
2011-08-26	$45.72	$47.00	37.6%	10.8%	58.5%	49.3%	40.0%	9.6%	2.4%	-1.5M	-55.1M	-1.9M	0.98	7.08	5,939	5,798	129,826	143,428
2011-08-29	$46.76	$47.00	34.9%	10.0%	58.2%	43.1%	37.7%	8.2%	2.4%	-1.3M	-100.9M	-1.9M	1.18	6.05	2,530	2,990	129,373	145,468
2011-08-30	$47.28	$47.00	34.1%	9.8%	57.8%	41.3%	37.2%	7.0%	2.9%	-1.1M	-129.6M	-1.8M	1.28	6.69	6,693	8,564	129,728	146,217
2011-08-31	$47.52	$47.00	33.4%	9.6%	57.9%	39.8%	36.7%	7.3%	3.7%	-1.2M	-142.5M	-1.9M	1.37	6.01	5,043	6,884	133,624	150,343