UNH Options History — March 2016

In March 2016, UNH traded between $120.80 and $129.82. ATM implied volatility averaged 22.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.1% (HV 20d: 20.9%). Max pain ranged from $115.00 to $129.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.13.

Notable Days

2016-03-18: Highest Volume — 37,373 contracts
2016-03-07: Largest IV spike — 10.5% change
2016-03-28: Highest IV Rank — 32.7%
2016-03-09: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.09	$120.80	$129.82	$121.54	$128.93
Max Pain	$122.27	$115.00	$129.00	$115.00	$129.00
ATM IV	22.0%	20.2%	24.2%	21.0%	23.5%
Expected Move	6.1%	5.3%	7.1%	6.1%	5.7%
HV 20d	20.9%	17.0%	26.1%	26.1%	17.1%
HV 60d	23.9%	23.3%	24.8%	24.8%	23.8%
IV Rank	22.7%	14.6%	32.7%	18.1%	29.3%
IV Percentile	31.3%	17.1%	49.6%	25.8%	42.9%
Term Structure	0.9%	-0.5%	2.9%	1.5%	-0.4%
VWIV	22.7%	18.7%	30.4%	22.3%	19.2%
Skew 25d	4.8%	3.8%	6.1%	5.0%	4.2%
Skew 10d	11.3%	8.2%	15.2%	15.2%	8.8%
Call IV 25d	20.3%	18.2%	23.9%	19.6%	22.1%
Put IV 25d	25.2%	22.1%	28.7%	24.6%	26.4%
Bid-Ask Spread %	26.31	17.02	38.90	19.31	22.08
Gamma HHI	0.17	0.07	0.35	0.15	0.17
Net GEX	21.5M	13.9M	42.2M	17.5M	19.8M
Net DEX	-244.7M	-486.0M	-88.8M	-199.6M	-261.8M
Net VEX	-2.4M	-2.8M	-2.2M	-2.2M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.13	0.71	5.67	1.80	4.91
Total Volume	17,657.045	10,933	37,373	10,933	15,325
Total OI	154,898.682	128,099	180,383	135,556	158,370

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
2016-03-01	$121.54	$115.00	21.0%	6.1%	26.1%	18.1%	22.3%	5.0%	1.5%	17.5M	-199.6M	-2.2M	1.80	19.31	3,902	7,031	67,370	68,186
2016-03-02	$121.11	$115.00	22.1%	6.1%	25.1%	23.4%	30.4%	4.9%	0.5%	16.7M	-175.6M	-2.3M	5.67	18.30	3,322	18,845	68,380	71,381
2016-03-03	$121.77	$120.00	20.8%	7.0%	24.6%	17.3%	23.5%	5.4%	1.7%	16.7M	-188.6M	-2.4M	3.22	34.61	3,146	10,125	68,672	83,342
2016-03-04	$121.83	$120.00	20.2%	6.6%	24.5%	14.6%	29.5%	5.4%	2.0%	17.9M	-194.4M	-2.3M	2.01	33.47	6,386	12,820	69,154	88,666
2016-03-07	$121.50	$120.00	22.3%	6.9%	22.5%	24.2%	28.9%	5.4%	1.4%	16.0M	-174.6M	-2.3M	1.67	35.16	5,082	8,489	68,726	90,212
2016-03-08	$121.60	$120.00	22.4%	6.9%	21.7%	24.6%	26.6%	5.0%	1.2%	16.0M	-173.0M	-2.3M	0.98	36.23	9,824	9,621	69,585	90,860
2016-03-09	$120.80	$120.00	22.7%	7.1%	22.0%	25.9%	26.9%	5.1%	2.4%	14.1M	-88.8M	-2.4M	2.37	33.83	3,736	8,864	64,412	93,018
2016-03-10	$121.86	$120.00	22.4%	6.8%	21.8%	24.7%	24.0%	3.8%	0.9%	19.1M	-138.8M	-2.3M	2.23	30.87	3,921	8,758	64,687	94,261
2016-03-11	$124.92	$120.00	20.4%	6.0%	21.9%	15.7%	22.2%	5.7%	1.1%	33.6M	-297.0M	-2.3M	1.41	27.66	8,871	12,551	65,818	95,632
2016-03-14	$125.72	$120.00	21.3%	6.2%	21.9%	19.4%	24.9%	6.1%	1.5%	34.3M	-320.5M	-2.3M	1.95	25.65	4,412	8,620	67,763	96,791
2016-03-15	$124.98	$120.00	21.0%	6.1%	20.5%	18.3%	21.8%	5.0%	2.2%	39.9M	-286.8M	-2.3M	1.39	23.51	8,091	11,272	68,072	97,642
2016-03-16	$124.86	$120.00	20.5%	5.9%	18.5%	15.9%	19.6%	4.5%	1.9%	42.2M	-274.3M	-2.3M	1.41	28.92	5,467	7,704	70,851	101,564
2016-03-17	$122.97	$120.00	21.1%	5.9%	19.2%	18.6%	22.1%	5.3%	2.9%	22.3M	-148.1M	-2.3M	1.10	28.69	8,908	9,775	71,748	101,894
2016-03-18	$126.54	$120.00	20.4%	5.7%	21.4%	15.5%	19.5%	3.9%	1.3%	13.9M	-486.0M	-2.3M	0.71	18.48	21,872	15,501	76,921	103,462
2016-03-21	$126.66	$125.00	20.9%	5.5%	18.8%	17.6%	19.6%	4.4%	-0.5%	17.9M	-233.8M	-2.4M	1.47	38.90	4,797	7,043	59,743	68,356
2016-03-22	$128.10	$125.00	22.3%	5.3%	19.0%	24.1%	19.5%	4.5%	-0.2%	19.5M	-284.3M	-2.4M	1.63	22.34	6,965	11,325	61,032	70,777
2016-03-23	$129.82	$125.00	23.3%	5.7%	18.8%	28.5%	19.4%	4.8%	-0.4%	17.2M	-349.5M	-2.6M	1.25	22.52	13,336	16,702	63,772	75,292
2016-03-24	$128.46	$129.00	24.1%	6.0%	19.5%	32.2%	19.8%	4.8%	-0.4%	19.9M	-261.3M	-2.8M	1.50	23.36	8,186	12,280	71,165	80,937
2016-03-28	$128.83	$129.00	24.2%	5.9%	19.5%	32.7%	20.6%	4.3%	-0.1%	17.2M	-254.3M	-2.8M	2.71	17.52	3,977	10,766	69,417	80,829
2016-03-29	$129.66	$129.00	23.8%	5.8%	17.8%	30.8%	20.5%	4.6%	-0.3%	19.4M	-292.7M	-2.8M	2.50	17.02	4,460	11,152	70,500	82,603
2016-03-30	$129.57	$129.00	23.0%	5.6%	17.0%	27.3%	18.7%	4.3%	0.1%	20.9M	-299.3M	-2.7M	2.97	20.38	3,836	11,389	71,633	84,275
2016-03-31	$128.93	$129.00	23.5%	5.7%	17.1%	29.3%	19.2%	4.2%	-0.4%	19.8M	-261.8M	-2.7M	4.91	22.08	2,593	12,732	72,384	85,986