UNH Options History — August 2007

In August 2007, UNH traded between $46.33 and $50.01. ATM implied volatility averaged 22.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.4% (HV 20d: 24.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-08-13: Highest Volume — 60,317 contracts
  • 2007-08-09: Largest IV spike — 45.6% change
  • 2007-08-10: Highest IV Rank — 100.0%
  • 2007-08-10: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.63$46.33$50.01$47.99$50.01
Max Pain$47.83$45.00$50.00$50.00$50.00
ATM IV22.5%16.8%35.3%24.7%18.1%
Expected Move6.5%4.8%9.4%7.1%5.2%
HV 20d24.8%20.5%27.1%22.1%25.6%
HV 60d20.0%17.2%21.8%17.2%21.8%
IV Rank40.4%13.3%100.0%51.5%19.5%
IV Percentile44.1%1.8%100.0%78.6%9.0%
Term Structure3.7%-0.2%6.7%0.5%6.0%
VWIV22.6%16.8%30.2%24.8%18.1%
Skew 25d4.0%0.5%8.1%2.6%1.2%
Skew 10d7.0%-1.8%18.2%5.8%2.4%
Call IV 25d23.0%16.2%26.7%24.9%21.3%
Put IV 25d26.9%20.6%34.0%27.5%22.5%
Bid-Ask Spread %7.632.7611.468.322.76
Gamma HHI0.230.180.330.200.33
Net GEX1.2M-4.9M6.0M2.3M-2.8M
Net DEX-219.5M-350.9M-78.3M-91.6M-350.9M
Net VEX-3.3M-3.6M-3.0M-3.1M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.253.820.600.46
Total Volume20,558.3916,78360,31734,5569,163
Total OI465,692.783425,406498,489425,406498,489

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$47.99$50.0024.7%7.1%22.1%51.5%24.8%2.6%0.5%2.3M-91.6M-3.1M0.608.3221,53113,025282,305143,101
2007-08-02$48.36$50.0024.1%6.9%22.3%48.5%20.1%3.8%1.5%2.6M-166.1M-3.3M1.036.027,0647,256295,921146,353
2007-08-03$47.50$50.0027.9%8.0%22.0%66.6%26.4%1.6%0.3%4.9M-137.6M-3.2M0.569.094,3502,433296,735139,129
2007-08-06$48.50$45.0026.7%7.7%23.2%61.0%27.5%2.9%2.6%6.0M-202.5M-3.2M2.428.262,6386,373298,440139,422
2007-08-07$47.99$45.0026.3%7.3%23.3%59.1%25.5%2.4%2.9%4.0M-154.0M-3.1M0.9511.1910,0389,547296,940141,923
2007-08-08$47.57$45.0021.6%6.6%23.4%36.4%23.9%3.1%4.1%3.5M-139.5M-3.0M0.918.196,5585,996298,130138,320
2007-08-09$46.33$45.0031.4%8.5%20.5%83.2%30.2%6.6%1.6%2.3M-78.3M-3.0M0.4211.1918,6797,934298,318141,224
2007-08-10$47.48$45.0035.3%9.4%23.3%100.0%29.6%7.4%-0.2%3.0M-173.1M-3.2M0.4610.0212,1005,548306,479145,055
2007-08-13$49.04$45.0024.6%7.0%26.8%50.0%28.6%6.8%3.6%4.0M-270.6M-3.2M0.709.0135,51724,800309,062147,713
2007-08-14$48.48$45.0022.5%7.3%26.9%40.0%25.9%5.8%2.5%4.5M-235.4M-3.4M1.0311.155,7155,876323,748161,330
2007-08-15$49.12$45.0021.9%7.0%27.1%37.2%24.7%4.8%3.2%5.2M-278.5M-3.5M0.259.6124,6046,223325,333162,439
2007-08-16$48.86$45.0024.9%7.1%25.0%51.2%25.9%8.1%3.5%5.3M-253.6M-3.5M0.4611.4613,7606,351329,225162,522
2007-08-17$49.80$45.0022.3%6.4%26.0%39.1%22.5%5.3%4.1%2.5M-330.8M-3.6M2.698.397,77720,911331,495165,258
2007-08-20$49.55$50.0021.1%6.1%26.0%33.8%21.7%3.0%4.5%2.7M-322.1M-3.5M0.915.8818,81017,047298,538148,918
2007-08-21$49.56$50.0020.4%5.8%26.0%30.2%18.7%4.0%4.7%1.5M-283.2M-3.5M1.016.285,7995,853302,548161,661
2007-08-22$48.65$50.0019.1%5.5%26.6%24.0%20.9%4.1%4.6%-421.9K-196.8M-3.4M0.964.4710,57110,110304,040162,686
2007-08-23$48.62$50.0018.3%5.3%25.9%20.6%18.4%4.6%4.8%-1.6M-190.9M-3.4M2.993.558,34424,972306,390166,264
2007-08-24$49.61$50.0017.2%4.9%25.8%15.2%17.4%2.5%5.6%-3.6M-296.9M-3.5M0.605.9911,6576,937307,000168,671
2007-08-27$49.19$50.0017.2%4.9%26.0%15.1%17.7%0.5%5.5%-4.1M-259.8M-3.5M1.213.443,8184,611314,309172,785
2007-08-28$48.63$50.0017.0%4.9%26.0%14.6%17.5%3.3%6.1%-4.2M-207.1M-3.4M3.829.322,98911,409315,922173,000
2007-08-29$48.69$50.0016.8%4.8%25.8%13.3%16.8%6.4%6.7%-4.9M-187.7M-3.4M0.708.227,7995,484316,575174,458
2007-08-30$49.05$50.0017.8%5.1%25.8%18.3%18.1%0.5%6.1%-4.4M-241.9M-3.5M1.163.606,8687,998318,640174,120
2007-08-31$50.01$50.0018.1%5.2%25.6%19.5%18.1%1.2%6.0%-2.8M-350.9M-3.6M0.462.766,2642,899321,963176,526