UNH Options History — March 2007

In March 2007, UNH traded between $52.74 and $56.88. ATM implied volatility averaged 23.5%. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.7% (HV 20d: 24.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-03-02: Highest Volume — 102,562 contracts
  • 2007-03-15: Largest IV spike — 18.3% change
  • 2007-03-06: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.08$52.74$56.88$52.74$52.97
Max Pain$54.55$50.00$55.00$50.00$55.00
ATM IV23.5%20.6%25.9%24.1%24.9%
Expected Move7.0%6.1%7.7%6.9%7.1%
HV 20d24.1%21.7%27.0%22.6%25.1%
HV 60d22.8%22.4%23.9%23.2%23.7%
Term Structure-0.2%-1.6%0.9%0.2%0.6%
VWIV24.6%21.4%26.9%25.4%24.8%
Skew 25d2.2%0.7%6.8%1.2%4.6%
Skew 10d4.5%-4.5%11.7%3.8%7.5%
Call IV 25d23.8%19.7%26.3%24.3%23.0%
Put IV 25d26.0%22.7%28.1%25.5%27.6%
Bid-Ask Spread %6.943.0012.144.773.14
Gamma HHI0.350.280.480.410.28
Net GEX18.8M13.5M29.6M15.9M15.4M
Net DEX-448.1M-684.0M-322.6M-341.2M-339.5M
Net VEX-3.8M-4.1M-3.3M-3.3M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.072.460.430.74
Total Volume19,838.5913,523102,56210,5647,945
Total OI379,870.318324,411415,265324,411412,315

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$52.74$50.0024.1%6.9%22.6%0.0%25.4%1.2%0.2%15.9M-341.2M-3.3M0.434.777,4113,153217,130107,281
2007-03-02$54.18$50.0023.7%6.8%24.3%0.0%23.8%6.8%0.9%22.0M-476.4M-3.3M0.3210.9877,99624,566221,636107,298
2007-03-05$52.96$55.0024.0%7.5%25.8%0.0%26.3%1.4%-1.2%19.3M-380.6M-3.8M2.468.714,0379,920257,793125,038
2007-03-06$53.98$55.0025.2%7.7%26.3%0.0%26.9%2.4%-1.6%20.1M-438.4M-3.8M0.149.9813,9681,924255,071127,087
2007-03-07$53.80$55.0024.0%7.4%24.3%0.0%26.0%1.9%-0.7%21.7M-430.9M-3.8M0.1512.119,8871,450259,799127,402
2007-03-08$53.33$55.0023.0%7.3%24.6%0.0%26.3%1.2%-0.7%21.5M-396.8M-3.9M0.6512.126,0283,936266,463127,546
2007-03-09$53.00$55.0023.5%7.2%24.7%0.0%25.6%1.2%-0.1%19.3M-363.1M-3.8M0.7412.142,0301,493267,977129,999
2007-03-12$53.27$55.0024.9%7.3%24.6%0.0%25.5%1.6%-0.7%21.3M-386.2M-3.8M0.214.547,3221,539268,525129,755
2007-03-13$53.00$55.0021.5%7.3%24.2%0.0%25.5%1.7%-0.6%19.8M-361.4M-3.8M0.075.0715,2101,045271,934129,641
2007-03-14$53.37$55.0020.6%7.2%24.3%0.0%26.5%1.8%-0.2%22.0M-439.0M-3.8M0.885.122,9832,617281,864130,026
2007-03-15$54.05$55.0024.4%7.0%24.6%0.0%24.8%1.6%0.0%29.6M-484.9M-3.8M0.456.484,8812,211282,309131,190
2007-03-16$53.13$55.0024.6%7.1%21.7%0.0%24.7%1.4%-0.6%14.2M-398.0M-3.7M1.175.2015,37717,928282,901132,364
2007-03-19$54.30$55.0022.0%6.3%23.0%0.0%22.0%2.1%0.6%13.5M-413.8M-3.8M0.277.829,4942,594228,465113,401
2007-03-20$54.10$55.0022.3%6.4%23.1%0.0%22.4%0.7%0.3%13.7M-402.3M-3.8M0.296.879,5982,801232,495114,625
2007-03-21$55.03$55.0021.4%6.1%23.7%0.0%21.4%2.0%0.2%17.1M-494.2M-3.9M0.367.558,3533,004238,309116,082
2007-03-22$55.69$55.0021.5%6.2%24.0%0.0%21.9%1.9%0.6%18.0M-564.8M-3.9M0.366.3921,5007,721241,417117,246
2007-03-23$56.51$55.0023.0%6.6%23.7%0.0%22.8%2.1%-0.4%19.2M-643.0M-4.0M0.513.959,5634,904247,454121,028
2007-03-26$56.88$55.0023.6%6.8%23.8%0.0%23.5%1.8%-0.1%20.0M-684.0M-4.0M0.293.005,6751,624252,632123,254
2007-03-27$55.85$55.0023.1%6.6%22.2%0.0%23.2%2.4%0.5%18.8M-597.0M-4.0M0.346.909,9693,419254,737123,365
2007-03-28$54.81$55.0025.9%7.4%23.5%0.0%25.9%1.4%-0.7%16.7M-500.9M-4.1M0.505.8123,24511,531256,807124,770
2007-03-29$52.84$55.0025.4%7.3%27.0%0.0%25.9%4.4%-0.3%14.0M-322.6M-4.0M0.434.0438,21216,385271,947128,769
2007-03-30$52.97$55.0024.9%7.1%25.1%0.0%24.8%4.6%0.6%15.4M-339.5M-4.1M0.743.144,5703,375279,139133,176