UNH Options History — March 2012

In March 2012, UNH traded between $53.66 and $58.94. ATM implied volatility averaged 20.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.7% (HV 20d: 16.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.26.

Notable Days

2012-03-29: Highest Volume — 36,503 contracts
2012-03-22: Largest IV spike — 25.2% change
2012-03-23: Highest IV Rank — 23.3%
2012-03-23: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.45	$53.66	$58.94	$55.99	$58.94
Max Pain	$54.77	$52.50	$55.00	$52.50	$55.00
ATM IV	20.9%	16.6%	26.1%	19.1%	24.3%
Expected Move	6.4%	5.4%	7.5%	5.5%	7.0%
HV 20d	16.2%	12.1%	25.9%	15.3%	25.9%
HV 60d	18.9%	18.1%	21.1%	19.0%	21.1%
IV Rank	11.3%	1.6%	23.3%	7.3%	19.1%
IV Percentile	17.2%	0.8%	51.6%	2.4%	38.5%
Term Structure	0.5%	-2.5%	3.7%	3.2%	-2.2%
VWIV	22.6%	19.0%	26.9%	19.5%	24.9%
Skew 25d	4.7%	2.3%	6.9%	3.3%	2.3%
Skew 10d	11.7%	4.9%	17.2%	4.9%	6.6%
Call IV 25d	20.6%	17.1%	24.7%	17.2%	24.1%
Put IV 25d	25.3%	20.5%	30.2%	20.5%	26.4%
Bid-Ask Spread %	6.31	2.75	9.37	2.75	7.66
Gamma HHI	0.23	0.18	0.30	0.26	0.20
Net GEX	8.7M	4.8M	11.5M	9.4M	11.5M
Net DEX	-184.8M	-362.5M	-75.6M	-222.1M	-362.5M
Net VEX	-1.9M	-2.0M	-1.7M	-1.7M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.20	4.93	0.79	1.25
Total Volume	10,226.091	4,098	36,503	5,136	23,160
Total OI	217,253.045	187,456	239,763	207,763	232,869

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
2012-03-01	$55.99	$52.50	19.1%	5.5%	15.3%	7.3%	19.5%	3.3%	3.2%	9.4M	-222.1M	-1.7M	0.79	2.75	2,867	2,269	97,254	110,509
2012-03-02	$55.84	$52.50	19.0%	5.4%	14.2%	7.1%	19.0%	3.5%	3.7%	9.4M	-214.8M	-1.8M	4.93	4.15	1,426	7,035	98,114	110,886
2012-03-05	$55.04	$55.00	18.9%	6.5%	12.1%	6.8%	22.5%	5.5%	1.5%	8.9M	-177.3M	-1.8M	1.19	8.76	1,952	2,332	98,118	116,351
2012-03-06	$54.46	$55.00	20.6%	6.7%	13.1%	10.8%	24.3%	6.3%	1.2%	8.0M	-145.9M	-1.8M	2.65	7.27	2,354	6,242	98,979	118,036
2012-03-07	$54.39	$55.00	18.4%	6.4%	12.4%	5.8%	24.5%	6.9%	1.4%	8.2M	-139.4M	-1.8M	1.16	6.37	3,152	3,654	98,830	119,082
2012-03-08	$55.61	$55.00	18.7%	6.5%	14.3%	6.4%	22.0%	5.1%	1.5%	10.0M	-197.7M	-1.9M	0.34	6.34	7,110	2,402	101,006	120,694
2012-03-09	$55.78	$55.00	17.1%	6.3%	13.3%	2.9%	21.6%	5.0%	1.7%	9.8M	-209.3M	-1.9M	0.67	6.48	3,438	2,320	103,409	121,459
2012-03-12	$55.02	$55.00	18.0%	6.2%	14.4%	4.8%	22.3%	5.0%	1.6%	10.9M	-176.2M	-1.8M	0.42	6.39	5,827	2,425	104,871	122,654
2012-03-13	$55.33	$55.00	16.6%	5.8%	14.2%	1.6%	19.9%	4.3%	1.9%	10.9M	-196.2M	-1.8M	1.36	9.37	6,430	8,735	107,223	123,417
2012-03-14	$55.78	$55.00	17.1%	6.0%	13.9%	2.7%	20.9%	4.3%	1.6%	9.2M	-213.6M	-1.9M	0.84	5.46	2,567	2,154	108,224	127,034
2012-03-15	$55.71	$55.00	20.6%	5.9%	13.9%	10.8%	20.8%	4.1%	1.6%	9.9M	-213.9M	-1.9M	1.43	5.40	2,115	3,027	109,681	127,649
2012-03-16	$55.59	$55.00	20.0%	5.7%	14.0%	9.4%	19.6%	4.2%	1.6%	10.4M	-214.3M	-1.8M	0.73	5.73	5,845	4,274	110,550	129,213
2012-03-19	$56.13	$55.00	20.2%	5.8%	14.3%	9.8%	20.5%	4.2%	1.0%	8.4M	-192.7M	-1.8M	1.66	7.50	3,081	5,112	98,005	89,451
2012-03-20	$54.78	$55.00	19.8%	5.7%	16.4%	9.0%	20.6%	4.3%	1.3%	6.8M	-131.9M	-1.8M	2.21	5.33	2,441	5,393	99,647	93,037
2012-03-21	$53.97	$55.00	20.5%	5.9%	17.1%	10.6%	21.7%	4.8%	0.6%	5.5M	-96.4M	-1.8M	0.88	6.46	6,257	5,479	100,990	96,809
2012-03-22	$53.88	$55.00	25.7%	7.4%	17.1%	22.3%	26.9%	5.5%	-2.5%	5.2M	-90.9M	-2.0M	1.41	4.25	7,555	10,620	103,908	100,034
2012-03-23	$53.66	$55.00	26.1%	7.5%	16.3%	23.3%	24.9%	5.3%	-1.9%	4.8M	-75.6M	-2.0M	0.64	6.52	4,295	2,767	106,777	104,851
2012-03-26	$55.10	$55.00	24.7%	7.1%	19.2%	19.9%	24.8%	5.6%	-2.4%	7.3M	-146.2M	-2.0M	0.76	7.60	2,322	1,776	107,988	105,589
2012-03-27	$55.43	$55.00	24.7%	7.1%	19.3%	20.1%	24.9%	5.1%	-2.2%	7.9M	-165.2M	-2.0M	0.20	6.82	8,174	1,664	108,749	106,290
2012-03-28	$55.44	$55.00	24.7%	7.1%	19.3%	20.0%	25.6%	5.5%	-1.8%	8.5M	-170.8M	-2.0M	1.07	6.42	3,101	3,322	112,566	106,722
2012-03-29	$58.11	$55.00	24.3%	7.0%	25.6%	19.0%	25.6%	2.8%	-1.2%	10.2M	-312.7M	-2.0M	1.07	5.71	17,636	18,867	113,627	108,415
2012-03-30	$58.94	$55.00	24.3%	7.0%	25.9%	19.1%	24.9%	2.3%	-2.2%	11.5M	-362.5M	-2.0M	1.25	7.66	10,292	12,868	118,939	113,930