UNH Options History — September 2012

In September 2012, UNH traded between $52.80 and $56.24. ATM implied volatility averaged 20.8%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.9% (HV 20d: 15.0%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2012-09-04: Highest Volume — 26,808 contracts
2012-09-10: Largest IV spike — 48.3% change
2012-09-10: Highest IV Rank — 21.9%
2012-09-10: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.81	$52.80	$56.24	$54.56	$55.41
Max Pain	$54.61	$52.50	$55.00	$55.00	$55.00
ATM IV	20.8%	16.8%	24.9%	20.8%	17.4%
Expected Move	6.1%	5.1%	6.5%	5.8%	6.1%
HV 20d	15.0%	10.1%	18.0%	14.6%	18.0%
HV 60d	24.0%	21.8%	24.8%	24.5%	21.8%
IV Rank	11.3%	0.8%	21.9%	11.2%	2.4%
IV Percentile	19.5%	0.8%	49.2%	18.3%	2.0%
Term Structure	3.8%	2.9%	5.2%	5.1%	3.1%
VWIV	21.7%	19.9%	23.3%	22.2%	21.7%
Skew 25d	2.6%	1.8%	4.0%	3.0%	2.5%
Skew 10d	7.9%	5.5%	11.8%	9.1%	5.8%
Call IV 25d	20.4%	17.6%	22.3%	20.1%	20.6%
Put IV 25d	23.0%	20.1%	25.4%	23.1%	23.1%
Bid-Ask Spread %	8.84	4.16	13.58	12.05	7.78
Gamma HHI	0.25	0.17	0.39	0.17	0.29
Net GEX	12.0M	-1.6M	25.5M	4.6M	12.3M
Net DEX	-143.7M	-289.9M	23.4M	-78.1M	-186.7M
Net VEX	-1.7M	-1.8M	-1.6M	-1.6M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.06	2.29	0.06	0.34
Total Volume	10,709.158	3,417	26,808	26,808	4,960
Total OI	270,938.053	217,920	303,577	242,221	235,850

Daily Data (19 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
2012-09-04	$54.56	$55.00	20.8%	5.8%	14.6%	11.2%	22.2%	3.0%	5.1%	4.6M	-78.1M	-1.6M	0.06	12.05	25,197	1,611	130,341	111,880
2012-09-05	$54.28	$55.00	22.1%	5.5%	11.1%	14.5%	23.3%	2.8%	4.7%	6.8M	-89.4M	-1.7M	1.92	10.06	3,327	6,386	152,658	112,021
2012-09-06	$54.89	$55.00	18.5%	5.1%	11.6%	5.3%	19.9%	2.4%	5.2%	9.4M	-125.4M	-1.7M	0.13	11.90	12,601	1,644	154,012	113,152
2012-09-07	$54.88	$55.00	16.8%	6.1%	10.1%	0.8%	22.9%	3.9%	4.4%	13.5M	-148.9M	-1.7M	0.80	7.82	1,897	1,520	163,387	113,446
2012-09-10	$53.74	$55.00	24.9%	6.5%	13.0%	21.9%	22.2%	3.5%	4.4%	5.8M	-59.5M	-1.6M	1.34	9.45	9,408	12,578	163,145	113,280
2012-09-11	$52.80	$55.00	22.1%	6.4%	14.7%	14.5%	22.2%	4.0%	3.8%	-1.6M	23.4M	-1.6M	0.59	9.40	8,951	5,272	169,347	121,935
2012-09-12	$52.82	$55.00	18.7%	6.4%	14.7%	5.6%	21.3%	3.4%	3.9%	-600.1K	9.0M	-1.6M	0.73	8.72	3,470	2,527	170,865	125,041
2012-09-13	$53.89	$55.00	20.3%	5.8%	15.3%	9.8%	20.7%	2.9%	4.1%	7.9M	-77.5M	-1.7M	0.69	11.49	2,968	2,056	172,166	123,593
2012-09-14	$54.25	$55.00	22.5%	6.5%	15.0%	15.6%	22.7%	2.3%	3.2%	10.4M	-112.7M	-1.8M	0.25	13.58	16,840	4,131	172,128	123,691
2012-09-17	$54.48	$52.50	22.5%	6.5%	14.9%	15.7%	23.0%	2.0%	3.3%	15.4M	-141.9M	-1.7M	0.52	6.48	2,262	1,172	176,158	122,967
2012-09-18	$55.13	$52.50	21.7%	6.2%	15.4%	13.5%	21.7%	2.0%	3.4%	21.7M	-201.6M	-1.7M	0.43	7.58	6,568	2,836	176,393	122,914
2012-09-19	$54.95	$52.50	21.2%	6.1%	15.5%	12.3%	21.1%	1.8%	3.3%	24.1M	-179.9M	-1.7M	0.32	6.06	5,790	1,848	177,871	124,314
2012-09-20	$54.94	$55.00	20.3%	5.8%	15.1%	10.0%	20.6%	1.8%	3.5%	25.5M	-173.0M	-1.6M	0.74	7.32	5,153	3,806	178,306	125,271
2012-09-21	$56.18	$55.00	20.1%	5.8%	16.9%	9.3%	19.9%	1.8%	3.6%	15.2M	-289.9M	-1.6M	0.36	12.02	10,913	3,959	177,667	124,754
2012-09-24	$55.98	$55.00	21.3%	6.1%	17.0%	12.3%	22.4%	1.9%	3.0%	14.1M	-224.3M	-1.6M	0.98	4.16	5,640	5,535	134,085	83,835
2012-09-25	$56.20	$55.00	21.6%	6.2%	16.8%	13.3%	20.8%	2.1%	2.9%	14.4M	-228.7M	-1.7M	0.33	8.17	4,945	1,627	136,328	88,247
2012-09-26	$55.78	$55.00	21.4%	6.2%	17.0%	12.9%	22.1%	2.3%	3.2%	13.6M	-209.2M	-1.7M	2.29	6.54	1,211	2,778	138,507	88,715
2012-09-27	$56.24	$55.00	21.4%	6.1%	17.1%	12.9%	22.4%	2.1%	3.0%	15.0M	-235.2M	-1.7M	0.91	7.35	5,291	4,796	139,008	90,545
2012-09-28	$55.41	$55.00	17.4%	6.1%	18.0%	2.4%	21.7%	2.5%	3.1%	12.3M	-186.7M	-1.7M	0.34	7.78	3,710	1,250	143,179	92,671