UNH Options History — June 2012

In June 2012, UNH traded between $54.91 and $60.26. ATM implied volatility averaged 30.8%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 10.6% (HV 20d: 20.2%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2012-06-12: Highest Volume — 87,708 contracts
2012-06-14: Largest IV spike — 64.7% change
2012-06-27: Highest IV Rank — 57.5%
2012-06-27: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.15	$54.91	$60.26	$55.04	$58.50
Max Pain	$55.36	$55.00	$57.50	$55.00	$57.50
ATM IV	30.8%	21.1%	41.3%	29.7%	21.1%
Expected Move	10.2%	7.5%	11.8%	8.2%	7.5%
HV 20d	20.2%	16.0%	23.6%	17.3%	23.6%
HV 60d	21.5%	20.3%	22.1%	21.4%	20.9%
IV Rank	33.8%	11.8%	57.5%	31.3%	11.8%
IV Percentile	60.0%	15.5%	90.9%	66.7%	15.5%
Term Structure	-4.8%	-7.5%	10.2%	10.2%	-0.7%
VWIV	35.9%	27.0%	42.2%	29.1%	27.3%
Skew 25d	5.3%	3.2%	6.4%	4.1%	3.3%
Skew 10d	12.2%	6.6%	15.3%	10.9%	6.6%
Call IV 25d	33.4%	24.6%	39.0%	28.3%	24.6%
Put IV 25d	38.7%	27.8%	43.9%	32.4%	27.8%
Bid-Ask Spread %	9.97	4.17	13.27	12.61	8.66
Gamma HHI	0.26	0.19	0.43	0.20	0.25
Net GEX	17.4M	10.3M	29.1M	10.6M	19.9M
Net DEX	-325.0M	-433.3M	-138.8M	-145.7M	-310.7M
Net VEX	-2.0M	-2.2M	-1.9M	-2.1M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.03	2.56	0.51	0.41
Total Volume	23,620.81	4,438	87,708	23,720	18,365
Total OI	280,295.048	208,814	322,326	297,597	306,192

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
2012-06-01	$55.04	$55.00	29.7%	8.2%	17.3%	31.3%	29.1%	4.1%	10.2%	10.6M	-145.7M	-2.1M	0.51	12.61	15,684	8,036	163,418	134,179
2012-06-04	$54.91	$55.00	31.1%	11.2%	16.0%	34.6%	39.2%	4.7%	-4.9%	10.3M	-138.8M	-2.0M	2.56	10.30	4,688	12,019	171,432	138,786
2012-06-05	$56.04	$55.00	28.8%	10.6%	17.3%	29.2%	36.7%	4.7%	-3.9%	14.7M	-219.3M	-2.1M	0.78	4.43	2,496	1,942	172,584	145,553
2012-06-06	$57.70	$55.00	24.5%	10.0%	19.8%	19.5%	34.9%	4.8%	-4.7%	22.9M	-369.4M	-2.0M	0.50	4.45	8,240	4,142	172,494	141,073
2012-06-07	$57.45	$55.00	23.3%	9.7%	19.4%	16.9%	33.1%	4.9%	-4.3%	23.4M	-355.3M	-2.1M	0.26	4.17	11,916	3,057	175,180	142,020
2012-06-08	$58.00	$55.00	23.6%	10.1%	19.6%	17.5%	34.6%	5.4%	-5.4%	25.7M	-426.9M	-2.0M	0.75	11.15	5,398	4,052	179,507	142,819
2012-06-11	$57.46	$55.00	24.5%	11.0%	20.0%	19.7%	38.0%	5.4%	-7.1%	24.2M	-364.4M	-2.0M	0.74	11.54	6,246	4,639	176,995	137,816
2012-06-12	$57.84	$55.00	21.6%	10.8%	20.0%	13.1%	37.8%	6.2%	-7.2%	27.1M	-408.8M	-2.0M	0.03	11.69	84,835	2,873	179,741	137,502
2012-06-13	$58.01	$55.00	22.2%	11.1%	19.8%	14.3%	38.0%	6.1%	-7.4%	26.6M	-328.6M	-2.0M	0.82	13.25	7,414	6,102	157,305	138,434
2012-06-14	$59.25	$55.00	36.5%	10.5%	20.8%	46.8%	36.7%	6.3%	-7.0%	29.1M	-433.3M	-2.0M	0.37	11.09	6,896	2,557	159,856	142,343
2012-06-15	$58.90	$55.00	34.9%	10.0%	21.1%	43.1%	36.2%	6.4%	-7.0%	14.9M	-413.9M	-2.0M	0.72	13.27	11,138	7,982	161,270	143,240
2012-06-18	$59.42	$55.00	33.3%	9.5%	19.8%	39.4%	33.9%	5.4%	-4.3%	11.9M	-333.0M	-1.9M	0.57	9.77	13,586	7,747	124,938	83,876
2012-06-19	$60.26	$55.00	33.4%	9.6%	18.1%	39.7%	34.5%	5.7%	-4.8%	13.0M	-383.2M	-1.9M	0.50	7.28	15,786	7,847	130,425	88,266
2012-06-20	$59.60	$55.00	34.7%	10.0%	18.9%	42.8%	36.3%	5.6%	-5.7%	13.6M	-359.6M	-2.0M	1.14	10.04	4,364	4,988	138,821	91,873
2012-06-21	$58.34	$55.00	39.2%	11.2%	20.6%	52.9%	38.7%	6.0%	-7.2%	10.3M	-283.3M	-2.1M	1.01	9.12	16,718	16,936	140,075	94,275
2012-06-22	$59.07	$55.00	37.1%	10.6%	20.3%	48.0%	38.7%	6.4%	-7.0%	12.3M	-302.7M	-2.2M	1.12	10.46	5,654	6,327	143,261	98,824
2012-06-25	$57.69	$55.00	40.5%	11.6%	22.3%	55.9%	39.6%	5.3%	-7.3%	11.4M	-246.3M	-2.0M	0.49	10.95	13,967	6,844	141,644	96,862
2012-06-26	$58.80	$55.00	39.3%	11.3%	23.2%	53.1%	41.2%	5.9%	-7.5%	13.4M	-306.3M	-2.1M	1.30	10.39	7,584	9,890	148,949	100,630
2012-06-27	$59.29	$57.50	41.3%	11.8%	23.3%	57.5%	42.2%	4.9%	-7.5%	13.2M	-342.4M	-2.1M	1.35	12.56	23,648	31,812	151,137	105,744
2012-06-28	$59.60	$57.50	26.2%	7.5%	23.0%	23.4%	27.0%	3.2%	-1.0%	17.6M	-352.4M	-2.1M	0.36	12.11	45,305	16,317	162,648	124,209
2012-06-29	$58.50	$57.50	21.1%	7.5%	23.6%	11.8%	27.3%	3.3%	-0.7%	19.9M	-310.7M	-2.2M	0.41	8.66	13,011	5,354	175,819	130,373