UNH Options History — May 2007

In May 2007, UNH traded between $52.68 and $54.77. ATM implied volatility averaged 19.6%. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.6% (HV 20d: 20.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-05-18: Highest Volume — 47,300 contracts
  • 2007-05-10: Largest IV spike — 44.0% change
  • 2007-05-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.62$52.68$54.77$52.75$54.77
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV19.6%14.6%21.9%21.1%17.3%
Expected Move5.8%5.0%6.4%6.0%5.0%
HV 20d20.2%12.0%25.1%24.6%12.0%
HV 60d23.3%20.8%24.7%24.5%20.8%
Term Structure3.2%1.9%4.3%2.1%4.2%
VWIV20.4%17.3%23.0%21.5%17.3%
Skew 25d-0.1%-7.1%3.5%1.8%-6.8%
Skew 10d-1.4%-11.6%7.1%3.9%-10.9%
Call IV 25d21.4%18.5%22.9%21.3%21.8%
Put IV 25d21.3%14.6%23.4%23.0%15.1%
Bid-Ask Spread %5.332.6010.136.733.62
Gamma HHI0.310.260.370.260.37
Net GEX16.4M10.9M22.2M10.9M22.2M
Net DEX-333.8M-456.4M-237.1M-265.2M-456.4M
Net VEX-3.5M-3.7M-3.4M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.071.470.290.33
Total Volume10,669.8183,64247,3009,3809,267
Total OI424,468.955402,803445,966418,766425,447

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$52.75$55.0021.1%6.0%24.6%0.0%21.5%1.8%2.1%10.9M-265.2M-3.7M0.296.737,2672,113274,131144,635
2007-05-02$53.79$55.0019.8%5.7%25.0%0.0%20.8%3.5%1.9%16.0M-365.8M-3.7M0.622.633,8962,419276,724144,694
2007-05-03$53.19$55.0019.8%5.7%25.0%0.0%20.2%0.4%2.2%13.5M-294.9M-3.7M0.443.182,9021,269277,388144,903
2007-05-04$53.57$55.0019.0%6.1%25.1%0.0%21.3%1.3%2.9%15.6M-336.4M-3.7M0.235.543,744844278,000145,236
2007-05-07$53.25$55.0020.2%6.3%25.0%0.0%23.0%1.0%2.5%14.4M-305.0M-3.6M0.835.683,1702,628280,058145,482
2007-05-08$53.11$55.0020.5%6.4%24.7%0.0%22.6%0.4%2.5%13.4M-290.4M-3.6M0.306.044,1951,241281,242146,288
2007-05-09$53.09$55.0014.6%6.1%23.6%0.0%21.2%1.0%3.0%13.2M-281.1M-3.6M0.073.1916,9421,205281,416145,383
2007-05-10$53.02$55.0021.0%6.0%23.6%0.0%20.9%1.3%3.4%15.8M-295.9M-3.6M0.742.993,3082,449288,319145,515
2007-05-11$53.59$55.0019.8%5.7%23.9%0.0%20.0%-0.3%4.2%18.8M-333.0M-3.6M0.526.6313,3056,935288,220145,826
2007-05-14$52.83$55.0021.9%6.3%23.7%0.0%22.1%-0.7%2.4%13.8M-247.2M-3.5M0.566.824,3052,394295,508150,458
2007-05-15$52.68$55.0021.8%6.3%23.0%0.0%21.8%-0.4%2.3%13.3M-237.1M-3.4M1.144.902,2762,590288,616144,778
2007-05-16$53.80$55.0021.3%6.1%24.2%0.0%21.4%0.3%3.4%21.1M-349.8M-3.5M0.736.432,4821,822288,895144,474
2007-05-17$53.65$55.0020.9%6.0%19.1%0.0%21.0%-1.1%3.6%17.9M-318.0M-3.4M0.536.842,3901,265289,403145,706
2007-05-18$53.47$55.0020.1%5.8%17.5%0.0%20.2%0.5%4.2%16.7M-298.7M-3.4M1.476.6719,11628,184289,455145,835
2007-05-21$53.58$55.0020.0%5.7%16.8%0.0%20.4%0.5%3.3%14.0M-313.7M-3.5M0.314.118,6692,695269,272133,531
2007-05-22$53.89$55.0020.3%5.8%16.8%0.0%20.4%-0.1%3.2%15.5M-352.1M-3.5M0.175.8920,1683,493271,064135,435
2007-05-23$53.93$55.0018.2%5.2%14.3%0.0%18.8%-0.1%4.0%16.0M-346.8M-3.5M0.2810.139,1742,524273,073137,229
2007-05-24$54.21$55.0018.7%5.4%14.2%0.0%19.9%0.3%3.8%17.8M-383.3M-3.5M1.2110.026,1807,463276,363138,041
2007-05-25$54.41$55.0017.8%5.1%14.0%0.0%17.9%0.3%4.1%19.4M-410.6M-3.6M0.263.263,9561,039279,729140,464
2007-05-29$54.57$55.0018.5%5.3%14.0%0.0%18.5%0.8%3.5%20.4M-434.6M-3.5M0.412.602,5781,064280,440140,429
2007-05-30$54.57$55.0017.7%5.1%13.7%0.0%17.8%-7.1%4.3%20.4M-428.5M-3.4M1.113.294,6495,161280,380140,832
2007-05-31$54.77$55.0017.3%5.0%12.0%0.0%17.3%-6.8%4.2%22.2M-456.4M-3.5M0.333.626,9522,315282,528142,919