UNH Options History — August 2012

In August 2012, UNH traded between $51.00 and $54.69. ATM implied volatility averaged 22.3%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.8% (HV 20d: 26.1%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.02.

Notable Days

2012-08-21: Highest Volume — 17,796 contracts
2012-08-08: Largest IV drop — 20.6% change
2012-08-01: Highest IV Rank — 44.2%
2012-08-01: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.98	$51.00	$54.69	$51.21	$54.30
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	22.3%	16.5%	35.8%	35.8%	16.5%
Expected Move	6.3%	5.4%	8.3%	8.3%	5.4%
HV 20d	26.1%	15.3%	31.6%	29.8%	15.6%
HV 60d	25.7%	24.6%	26.4%	25.5%	24.6%
IV Rank	13.8%	0.0%	44.2%	44.2%	0.0%
IV Percentile	21.4%	0.0%	79.8%	79.8%	0.0%
Term Structure	4.2%	-1.4%	6.7%	-1.4%	6.1%
VWIV	22.7%	19.6%	27.2%	27.2%	21.0%
Skew 25d	4.4%	3.3%	6.2%	6.2%	4.0%
Skew 10d	11.2%	9.5%	13.9%	11.3%	13.9%
Call IV 25d	21.0%	18.6%	26.4%	26.4%	18.6%
Put IV 25d	25.3%	22.3%	32.6%	32.6%	22.6%
Bid-Ask Spread %	9.21	6.87	11.40	11.29	11.40
Gamma HHI	0.18	0.16	0.20	0.17	0.16
Net GEX	1.5M	-3.1M	6.2M	-2.2M	3.6M
Net DEX	775.0K	-88.2M	108.6M	94.0M	-62.3M
Net VEX	-1.5M	-1.6M	-1.4M	-1.5M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.39	2.52	0.72	1.46
Total Volume	7,092.957	2,254	17,796	10,030	3,905
Total OI	234,124.217	206,325	252,110	235,247	241,123

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
2012-08-01	$51.21	$55.00	35.8%	8.3%	29.8%	44.2%	27.2%	6.2%	-1.4%	-2.2M	94.0M	-1.5M	0.72	11.29	5,829	4,201	128,973	106,274
2012-08-02	$51.10	$55.00	29.6%	8.3%	28.8%	30.1%	27.0%	5.6%	-1.0%	-2.5M	93.3M	-1.5M	0.76	10.71	2,155	1,641	130,000	107,088
2012-08-03	$51.61	$55.00	26.0%	7.0%	29.2%	21.8%	25.9%	5.5%	0.4%	-2.0M	80.0M	-1.5M	0.41	9.96	2,170	881	130,007	107,232
2012-08-06	$51.00	$55.00	31.0%	7.3%	29.2%	33.3%	24.0%	5.5%	3.5%	-3.1M	108.6M	-1.4M	1.33	10.10	3,518	4,689	128,444	105,395
2012-08-07	$52.54	$55.00	27.8%	6.7%	31.6%	25.9%	24.3%	4.5%	4.5%	-2.0M	48.2M	-1.5M	0.46	9.28	5,789	2,688	129,109	105,085
2012-08-08	$52.73	$55.00	22.1%	6.6%	31.5%	13.1%	23.1%	4.2%	4.5%	-312.7K	30.7M	-1.5M	0.88	7.18	2,648	2,337	131,656	104,262
2012-08-09	$52.02	$55.00	21.2%	6.6%	30.6%	11.0%	23.8%	5.1%	4.5%	-1.4M	64.2M	-1.5M	0.58	7.14	6,043	3,526	133,254	106,015
2012-08-10	$51.90	$55.00	19.6%	6.4%	30.1%	7.9%	22.6%	5.2%	4.9%	-3.0M	78.9M	-1.4M	0.71	6.87	4,662	3,308	137,518	108,806
2012-08-13	$51.90	$55.00	21.4%	6.4%	30.1%	12.6%	23.8%	5.2%	4.9%	-2.6M	73.9M	-1.4M	1.18	8.39	1,304	1,537	138,960	110,209
2012-08-14	$51.97	$55.00	19.9%	6.4%	29.6%	8.8%	22.3%	5.1%	5.2%	-1.8M	69.7M	-1.4M	2.52	7.77	1,065	2,689	140,811	109,541
2012-08-15	$52.82	$55.00	19.2%	6.4%	30.1%	6.8%	22.8%	3.5%	5.0%	482.7K	7.4M	-1.4M	0.64	7.92	3,782	2,421	141,050	110,600
2012-08-16	$53.39	$55.00	22.0%	6.3%	29.4%	14.0%	21.5%	3.4%	5.5%	2.8M	-46.2M	-1.4M	1.33	8.55	3,328	4,415	140,128	109,022
2012-08-17	$53.13	$55.00	20.6%	5.9%	29.3%	10.6%	20.4%	3.4%	6.7%	3.4M	-43.2M	-1.4M	0.83	8.67	1,231	1,023	141,177	110,933
2012-08-20	$53.20	$55.00	20.4%	5.8%	28.8%	9.9%	20.7%	3.4%	3.8%	3.9M	-28.3M	-1.4M	1.29	8.83	3,620	4,665	119,468	86,857
2012-08-21	$53.42	$55.00	20.9%	6.0%	28.7%	11.3%	21.9%	4.0%	3.8%	4.1M	-39.5M	-1.4M	0.99	9.41	8,932	8,864	120,930	88,986
2012-08-22	$53.97	$55.00	19.4%	5.6%	23.8%	7.4%	19.6%	3.7%	4.7%	4.5M	-62.9M	-1.5M	0.62	9.97	8,327	5,184	123,153	94,807
2012-08-23	$53.92	$55.00	20.1%	5.8%	23.5%	9.1%	20.6%	3.8%	5.0%	4.8M	-61.5M	-1.5M	0.39	8.79	2,071	801	121,966	97,676
2012-08-24	$54.16	$55.00	19.4%	5.6%	21.9%	7.4%	22.0%	4.0%	5.3%	4.7M	-63.6M	-1.6M	1.17	10.88	3,742	4,394	121,493	98,111
2012-08-27	$54.61	$55.00	20.2%	5.8%	22.0%	9.4%	22.9%	3.3%	4.7%	6.2M	-88.2M	-1.6M	1.73	8.23	2,373	4,101	123,817	100,108
2012-08-28	$54.33	$55.00	19.6%	5.6%	15.4%	7.9%	21.2%	3.9%	5.2%	5.3M	-70.3M	-1.6M	0.96	10.40	3,402	3,262	124,517	103,349
2012-08-29	$54.64	$55.00	19.6%	5.6%	15.4%	7.8%	21.3%	3.7%	5.4%	5.7M	-85.1M	-1.6M	1.77	9.74	1,971	3,495	126,107	106,137
2012-08-30	$54.69	$55.00	19.5%	5.6%	15.3%	7.5%	21.7%	3.9%	5.9%	5.7M	-79.9M	-1.6M	0.68	10.42	6,627	4,522	126,299	108,404
2012-08-31	$54.30	$55.00	16.5%	5.4%	15.6%	0.0%	21.0%	4.0%	6.1%	3.6M	-62.3M	-1.6M	1.46	11.40	1,588	2,317	130,512	110,611