UNH Options History — September 2011

In September 2011, UNH traded between $45.52 and $50.76. ATM implied volatility averaged 40.2%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 1.9% (HV 20d: 38.3%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2011-09-15: Highest Volume — 20,517 contracts
2011-09-09: Largest IV spike — 14.2% change
2011-09-30: Highest IV Rank — 72.1%
2011-09-30: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.80	$45.52	$50.76	$47.18	$46.12
Max Pain	$44.57	$43.00	$47.00	$47.00	$44.00
ATM IV	40.2%	34.1%	47.7%	34.1%	47.7%
Expected Move	11.7%	9.8%	13.7%	9.8%	13.7%
HV 20d	38.3%	33.1%	56.5%	55.3%	39.0%
HV 60d	39.9%	37.7%	41.6%	38.9%	41.6%
IV Rank	55.0%	41.3%	72.1%	41.3%	72.1%
IV Percentile	95.2%	90.1%	98.8%	92.5%	98.8%
Term Structure	-1.2%	-3.7%	3.5%	3.5%	-2.7%
VWIV	42.4%	35.2%	48.7%	37.0%	47.7%
Skew 25d	9.3%	7.5%	11.0%	7.5%	11.0%
Skew 10d	20.0%	16.3%	23.8%	16.3%	20.7%
Call IV 25d	37.1%	31.3%	42.7%	31.3%	42.7%
Put IV 25d	46.3%	38.8%	53.7%	38.8%	53.7%
Bid-Ask Spread %	5.69	3.87	7.44	6.54	6.49
Gamma HHI	0.11	0.08	0.23	0.10	0.08
Net GEX	434.5K	-3.3M	4.8M	-1.7M	1.4M
Net DEX	-163.2M	-381.2M	-30.1M	-125.9M	-104.6M
Net VEX	-1.8M	-1.9M	-1.7M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.20	2.31	0.71	0.79
Total Volume	10,751.143	5,116	20,517	10,432	5,822
Total OI	271,547.095	215,984	312,067	288,681	259,213

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
2011-09-01	$47.18	$47.00	34.1%	9.8%	55.3%	41.3%	37.0%	7.5%	3.5%	-1.7M	-125.9M	-1.9M	0.71	6.54	6,095	4,337	134,888	153,793
2011-09-02	$45.73	$47.00	36.2%	10.4%	56.5%	46.0%	35.2%	8.6%	3.3%	-2.7M	-43.3M	-1.9M	0.45	7.44	9,642	4,362	133,995	154,779
2011-09-06	$45.71	$43.00	41.0%	12.0%	47.2%	56.9%	43.8%	9.8%	-3.1%	-2.4M	-48.6M	-1.9M	0.57	5.33	3,999	2,272	138,521	156,660
2011-09-07	$47.21	$43.00	36.4%	11.4%	42.9%	46.6%	43.1%	8.7%	-2.8%	-1.6M	-131.9M	-1.9M	1.92	4.67	3,037	5,834	138,287	156,960
2011-09-08	$47.20	$44.00	37.1%	11.4%	34.3%	48.2%	40.6%	9.1%	-2.8%	-2.0M	-129.1M	-1.9M	1.56	3.87	4,155	6,481	137,025	158,721
2011-09-09	$45.52	$44.00	42.4%	12.5%	33.6%	60.2%	43.7%	10.9%	-3.5%	-3.3M	-30.1M	-1.9M	1.04	4.91	5,374	5,601	138,209	162,263
2011-09-12	$46.26	$44.00	44.5%	12.7%	33.3%	64.8%	46.3%	10.3%	-3.7%	-3.3M	-71.4M	-1.8M	1.18	5.17	2,342	2,774	138,200	163,785
2011-09-13	$47.99	$44.00	39.0%	11.7%	34.7%	52.3%	42.3%	9.3%	-2.3%	-1.1M	-163.8M	-1.8M	0.92	4.88	4,369	4,038	138,494	164,375
2011-09-14	$48.68	$44.00	34.8%	11.1%	34.6%	42.8%	43.9%	8.8%	-1.3%	1.1M	-231.7M	-1.8M	1.22	5.29	5,781	7,075	139,751	164,551
2011-09-15	$50.54	$44.00	37.6%	10.8%	36.6%	49.3%	40.7%	8.5%	-1.0%	4.8M	-356.3M	-1.7M	1.12	6.12	9,665	10,852	141,092	165,760
2011-09-16	$50.76	$44.00	36.8%	10.5%	33.1%	47.3%	38.3%	8.2%	-0.7%	2.9M	-381.2M	-1.7M	0.79	5.76	5,263	4,133	143,391	168,676
2011-09-19	$49.95	$44.00	37.1%	10.6%	33.4%	48.1%	38.7%	8.4%	0.2%	2.2M	-222.9M	-1.7M	1.47	4.92	6,977	10,272	106,877	109,107
2011-09-20	$49.83	$46.00	37.4%	10.7%	33.6%	48.9%	38.1%	8.3%	-0.2%	2.1M	-221.2M	-1.8M	0.95	5.08	6,239	5,926	110,459	114,920
2011-09-21	$48.01	$46.00	40.0%	11.5%	35.9%	54.7%	41.9%	8.7%	-0.1%	1.6M	-158.6M	-1.8M	0.95	6.35	7,089	6,715	112,784	117,669
2011-09-22	$47.09	$46.00	45.4%	13.0%	36.0%	66.9%	47.6%	10.2%	-2.1%	1.2M	-129.3M	-1.8M	0.74	6.87	5,591	4,158	115,567	120,901
2011-09-23	$47.60	$46.00	44.2%	12.7%	35.4%	64.2%	48.7%	10.2%	-1.6%	1.2M	-141.2M	-1.8M	0.20	6.10	14,713	3,010	115,179	121,875
2011-09-26	$48.81	$44.00	42.3%	12.1%	36.1%	59.8%	42.6%	9.4%	-0.8%	2.5M	-212.4M	-1.8M	0.42	4.98	4,395	1,846	123,927	122,969
2011-09-27	$49.45	$44.00	41.9%	12.0%	35.6%	59.0%	42.4%	8.9%	-0.9%	2.9M	-239.9M	-1.8M	1.17	6.53	4,055	4,756	125,417	123,863
2011-09-28	$47.64	$44.00	43.5%	12.5%	38.1%	62.6%	43.7%	9.9%	-1.6%	2.0M	-166.8M	-1.9M	2.31	5.89	3,058	7,060	125,764	126,209
2011-09-29	$46.58	$44.00	43.9%	12.6%	38.9%	63.5%	43.4%	10.2%	-1.1%	1.4M	-117.3M	-1.9M	0.64	6.32	4,040	2,571	126,613	131,000
2011-09-30	$46.12	$44.00	47.7%	13.7%	39.0%	72.1%	47.7%	11.0%	-2.7%	1.4M	-104.6M	-1.9M	0.79	6.49	3,259	2,563	128,168	131,045