UNH Options History — October 2011

In October 2011, UNH traded between $42.78 and $49.18. ATM implied volatility averaged 37.3%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 4.5% (HV 20d: 41.8%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2011-10-18: Highest Volume — 30,585 contracts
2011-10-31: Largest IV spike — 13.3% change
2011-10-03: Highest IV Rank — 88.6%
2011-10-03: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.62	$42.78	$49.18	$42.92	$47.99
Max Pain	$45.95	$43.00	$47.00	$44.00	$47.00
ATM IV	37.3%	27.0%	55.0%	55.0%	30.6%
Expected Move	10.6%	7.7%	15.8%	15.8%	8.8%
HV 20d	41.8%	27.2%	46.3%	45.3%	27.2%
HV 60d	45.0%	43.8%	45.9%	44.0%	44.3%
IV Rank	48.5%	25.2%	88.6%	88.6%	33.3%
IV Percentile	82.3%	53.2%	99.2%	99.2%	69.4%
Term Structure	-0.7%	-3.8%	1.8%	-3.8%	0.3%
VWIV	38.9%	30.4%	52.3%	52.3%	33.8%
Skew 25d	7.3%	5.0%	10.8%	10.8%	5.9%
Skew 10d	15.4%	11.1%	21.8%	21.8%	13.1%
Call IV 25d	33.9%	25.6%	50.2%	50.2%	28.3%
Put IV 25d	41.2%	30.6%	61.0%	61.0%	34.2%
Bid-Ask Spread %	6.73	5.18	8.80	5.18	7.51
Gamma HHI	0.13	0.08	0.26	0.08	0.18
Net GEX	1.8M	-109.2K	4.8M	32.8K	382.7K
Net DEX	-159.7M	-278.1M	29.5M	10.7M	-197.0M
Net VEX	-1.8M	-1.9M	-1.7M	-1.7M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.30	3.79	0.86	2.07
Total Volume	12,560.857	4,122	30,585	24,211	4,122
Total OI	296,039.095	258,978	332,557	258,978	305,487

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
2011-10-03	$42.92	$44.00	55.0%	15.8%	45.3%	88.6%	52.3%	10.8%	-3.8%	32.8K	10.7M	-1.7M	0.86	5.18	13,048	11,163	127,327	131,651
2011-10-04	$42.78	$45.00	50.0%	14.3%	45.3%	77.4%	48.5%	9.5%	-2.3%	-109.2K	29.5M	-1.7M	0.59	6.44	18,365	10,861	134,220	138,607
2011-10-05	$44.45	$45.00	46.6%	13.4%	46.0%	69.7%	45.7%	9.1%	-2.5%	1.1M	-51.4M	-1.9M	0.71	8.80	7,035	5,009	144,193	144,844
2011-10-06	$44.94	$45.00	43.8%	12.6%	46.3%	63.4%	44.6%	8.8%	-1.6%	1.2M	-77.3M	-1.9M	1.15	6.91	2,602	2,998	145,522	146,374
2011-10-07	$44.89	$47.00	43.1%	12.0%	44.5%	61.8%	48.4%	9.3%	-0.8%	1.3M	-74.7M	-1.9M	0.52	5.51	3,165	1,659	146,438	147,107
2011-10-10	$46.52	$47.00	41.3%	11.2%	46.0%	57.6%	43.7%	8.5%	-1.1%	2.3M	-160.6M	-1.9M	1.53	6.04	3,325	5,085	146,628	147,147
2011-10-11	$46.64	$47.00	39.8%	10.8%	44.0%	54.2%	39.1%	8.6%	-0.7%	2.4M	-170.5M	-1.9M	2.53	5.81	3,188	8,065	147,271	148,733
2011-10-12	$46.38	$47.00	40.3%	10.8%	43.6%	55.4%	40.8%	8.5%	-0.9%	1.9M	-151.5M	-1.9M	0.82	6.52	3,579	2,926	147,775	153,797
2011-10-13	$46.53	$47.00	36.0%	10.3%	41.0%	45.6%	37.9%	7.6%	-1.0%	1.9M	-158.6M	-1.8M	0.69	7.42	2,746	1,887	147,589	154,962
2011-10-14	$47.22	$47.00	34.2%	9.8%	41.5%	41.4%	40.9%	6.6%	-1.0%	2.4M	-201.1M	-1.8M	0.72	7.99	2,739	1,980	148,199	156,139
2011-10-17	$46.60	$47.00	35.8%	10.3%	41.4%	45.1%	38.2%	7.8%	-1.4%	2.2M	-163.2M	-1.8M	1.22	6.56	6,714	8,192	148,965	157,196
2011-10-18	$45.34	$47.00	32.9%	9.4%	42.2%	38.6%	35.1%	7.0%	0.2%	520.6K	-79.7M	-1.7M	0.35	7.57	22,600	7,985	149,928	160,841
2011-10-19	$46.45	$43.00	35.2%	10.1%	41.6%	43.8%	34.7%	6.2%	-0.8%	3.0M	-191.4M	-1.7M	1.23	5.72	9,425	11,605	158,392	162,917
2011-10-20	$46.88	$45.00	33.6%	9.6%	41.2%	40.3%	35.9%	6.3%	-0.1%	3.4M	-207.2M	-1.8M	3.25	5.85	2,456	7,980	158,197	168,487
2011-10-21	$47.92	$45.00	32.7%	9.4%	41.8%	38.2%	33.7%	5.7%	-0.7%	4.8M	-278.1M	-1.8M	0.30	5.71	10,633	3,164	158,602	173,955
2011-10-24	$49.03	$45.00	31.3%	9.0%	41.6%	35.0%	32.1%	5.8%	-0.3%	1.6M	-245.3M	-1.7M	0.50	5.76	5,170	2,596	129,473	140,450
2011-10-25	$48.76	$46.00	32.5%	9.3%	41.4%	37.8%	35.7%	5.8%	-0.0%	1.7M	-238.5M	-1.8M	0.75	7.34	4,564	3,433	132,560	141,410
2011-10-26	$48.76	$46.00	32.1%	9.2%	39.1%	36.8%	35.1%	6.3%	0.3%	2.0M	-236.0M	-1.8M	3.79	6.74	1,985	7,526	135,488	142,952
2011-10-27	$49.18	$46.00	28.5%	8.2%	38.1%	28.7%	30.7%	5.3%	1.0%	1.8M	-259.6M	-1.8M	1.09	8.03	13,153	14,331	136,034	148,424
2011-10-28	$48.85	$47.00	27.0%	7.7%	38.0%	25.2%	30.4%	5.0%	1.8%	2.0M	-252.5M	-1.9M	1.25	8.01	2,100	2,619	146,598	155,942
2011-10-31	$47.99	$47.00	30.6%	8.8%	27.2%	33.3%	33.8%	5.9%	0.3%	382.7K	-197.0M	-1.9M	2.07	7.51	1,341	2,781	146,679	158,808