UNH Options History — April 2007

In April 2007, UNH traded between $52.05 and $55.33. ATM implied volatility averaged 23.7%. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.0% (HV 20d: 25.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-04-19: Highest Volume — 51,416 contracts
  • 2007-04-12: Largest IV drop — 15.1% change
  • 2007-04-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.75$52.05$55.33$53.73$53.06
Max Pain$53.50$50.00$55.00$55.00$55.00
ATM IV23.7%21.2%28.5%24.6%21.6%
Expected Move6.7%6.1%7.3%7.1%6.2%
HV 20d25.7%23.9%28.7%24.3%25.1%
HV 60d23.7%22.2%24.6%23.8%24.5%
Term Structure0.2%-1.0%1.8%0.1%1.7%
VWIV24.0%21.7%26.6%24.7%21.8%
Skew 25d2.7%1.1%7.0%7.0%2.5%
Skew 10d4.8%-0.8%12.1%11.4%6.2%
Call IV 25d22.9%19.0%25.0%20.8%21.5%
Put IV 25d25.5%23.5%27.8%27.8%24.0%
Bid-Ask Spread %5.262.6815.704.007.70
Gamma HHI0.290.250.320.290.28
Net GEX16.9M10.1M21.8M17.2M12.3M
Net DEX-393.5M-583.5M-169.1M-410.1M-301.7M
Net VEX-3.9M-4.1M-3.6M-4.1M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.183.850.620.50
Total Volume20,551.253,38851,4166,4096,769
Total OI422,594.6395,906470,700405,983417,467

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$53.73$55.0024.6%7.1%24.3%0.0%24.7%7.0%0.1%17.2M-410.1M-4.1M0.624.003,9462,463274,356131,627
2007-04-03$54.61$55.0024.0%6.9%24.0%0.0%25.1%2.2%0.8%18.9M-504.5M-4.1M0.344.947,4022,554273,182131,586
2007-04-04$55.06$55.0023.1%6.6%24.1%0.0%24.2%2.0%0.3%21.6M-565.0M-4.1M0.602.687,2374,350275,347131,480
2007-04-05$55.33$55.0023.4%6.7%23.9%0.0%23.5%2.5%-0.5%21.8M-583.5M-4.1M0.183.1910,0761,846275,581133,919
2007-04-09$54.88$50.0025.7%6.8%24.0%0.0%23.8%1.4%-0.2%20.9M-538.1M-4.0M0.714.314,1112,915278,623134,972
2007-04-10$54.24$55.0026.0%6.7%24.4%0.0%23.8%1.5%-0.5%19.0M-434.1M-3.9M1.775.373,9527,002277,910136,549
2007-04-11$53.14$55.0028.5%6.9%25.5%0.0%25.4%2.3%-0.7%15.3M-324.1M-3.8M1.166.687,7639,009279,065137,891
2007-04-12$53.12$55.0024.2%6.9%25.4%0.0%25.1%1.6%-0.5%14.2M-307.2M-3.8M0.195.358,6331,661277,218140,940
2007-04-13$52.95$55.0023.9%6.9%24.9%0.0%25.7%2.8%-0.3%14.0M-284.5M-3.7M1.5215.706,69610,183281,658140,892
2007-04-16$53.85$50.0024.3%7.0%24.9%0.0%25.2%3.4%-1.0%17.0M-378.0M-3.8M0.425.438,3693,528281,156147,491
2007-04-17$54.62$50.0024.2%6.9%24.2%0.0%26.6%1.7%-0.8%20.0M-476.3M-3.8M0.184.3434,7256,256280,526149,234
2007-04-18$54.21$50.0025.0%7.2%24.3%0.0%25.9%2.1%-0.7%21.8M-446.3M-3.9M0.444.9530,45813,490300,635150,711
2007-04-19$52.05$50.0025.6%7.3%27.4%0.0%24.5%2.1%-0.9%10.1M-169.1M-3.6M0.462.6835,18316,233306,840152,623
2007-04-20$53.20$50.0022.3%6.4%28.3%0.0%22.9%5.3%0.8%17.2M-275.7M-3.9M3.853.1010,07938,757313,906156,794
2007-04-23$53.95$55.0021.2%6.1%28.3%0.0%21.9%2.6%1.2%15.5M-421.4M-3.9M0.293.9010,5473,047267,448128,458
2007-04-24$54.23$55.0021.8%6.3%28.2%0.0%21.7%1.1%0.5%17.9M-451.2M-3.9M0.937.6417,91416,673271,999126,710
2007-04-25$52.94$55.0021.8%6.2%28.7%0.0%22.4%3.0%1.4%14.4M-332.1M-4.0M0.214.6835,3617,407285,296137,553
2007-04-26$52.71$55.0021.6%6.2%28.1%0.0%22.8%2.8%1.5%14.6M-332.6M-4.1M0.714.866,4584,584298,607140,177
2007-04-27$53.15$55.0021.3%6.1%25.1%0.0%22.6%3.4%1.8%13.8M-334.4M-3.9M0.753.791,9381,450282,231143,234
2007-04-30$53.06$55.0021.6%6.2%25.1%0.0%21.8%2.5%1.7%12.3M-301.7M-3.7M0.507.704,5182,251273,065144,402