UNH Options History — September 2007

In September 2007, UNH traded between $48.43 and $50.19. ATM implied volatility averaged 20.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.6% (HV 20d: 17.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2007-09-28: Highest Volume — 43,403 contracts
  • 2007-09-13: Largest IV spike — 54.1% change
  • 2007-09-17: Highest IV Rank — 49.1%
  • 2007-09-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.55$48.43$50.19$50.19$48.43
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV20.1%15.3%24.4%18.2%19.4%
Expected Move6.3%4.6%7.2%5.2%5.6%
HV 20d17.6%12.2%25.3%24.7%13.4%
HV 60d21.7%20.8%22.2%21.8%21.0%
IV Rank29.1%6.4%49.1%20.1%25.6%
IV Percentile30.0%1.1%75.7%10.7%17.2%
Term Structure1.7%-0.2%7.4%6.3%2.4%
VWIV22.1%15.9%27.2%18.0%19.8%
Skew 25d4.2%1.4%8.8%1.4%5.8%
Skew 10d7.4%1.8%13.4%4.4%10.3%
Call IV 25d21.4%15.2%23.7%22.2%18.7%
Put IV 25d25.6%22.8%29.8%23.7%24.4%
Bid-Ask Spread %6.472.1811.803.695.57
Gamma HHI0.470.220.920.330.22
Net GEX-22.6M-193.9M4.7M-3.1M952.6K
Net DEX-263.3M-397.3M-152.9M-397.3M-152.9M
Net VEX-3.2M-3.4M-2.8M-3.4M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.432.592.591.60
Total Volume13,875.1582,01243,40320,92243,403
Total OI473,360.474357,165525,692494,840378,112

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$50.19$50.0018.2%5.2%24.7%20.1%18.0%1.4%6.3%-3.1M-397.3M-3.4M2.593.695,82715,095322,176172,664
2007-09-05$49.29$50.0015.9%4.6%25.3%9.2%15.9%8.1%7.4%-5.7M-267.4M-3.4M2.304.254,47910,306323,045174,011
2007-09-06$49.60$50.0016.8%4.8%25.1%13.3%17.4%8.8%6.7%-7.7M-283.0M-3.4M1.243.363,3344,128324,100179,008
2007-09-07$49.19$50.0016.7%7.0%23.1%13.2%24.4%4.7%0.7%-7.6M-229.4M-3.4M0.717.694,5553,237324,638180,762
2007-09-10$49.12$50.0017.6%7.2%21.7%17.2%27.2%6.3%0.3%-7.8M-220.9M-3.3M0.9611.801,024988325,140179,559
2007-09-11$49.57$50.0017.1%7.1%18.7%15.1%25.0%5.2%0.6%-9.3M-276.4M-3.3M0.478.954,1561,934325,025179,628
2007-09-12$49.47$50.0015.3%6.8%18.2%6.4%23.8%5.0%0.4%-11.6M-265.1M-3.2M1.245.985,6006,955325,449178,470
2007-09-13$49.55$50.0023.5%6.7%17.6%45.0%23.9%4.6%0.5%-15.3M-256.3M-3.3M1.627.493,6895,985327,792183,307
2007-09-14$49.91$50.0024.4%7.0%17.6%49.0%24.3%5.8%-0.2%-18.5M-318.7M-3.3M0.576.619,2005,210328,335186,396
2007-09-17$49.95$50.0024.4%7.0%16.3%49.1%24.7%4.9%-0.1%-17.9M-328.6M-3.2M1.746.065,6399,809331,055187,891
2007-09-18$50.10$50.0022.9%6.6%16.2%41.9%23.7%3.1%1.0%-31.3M-342.4M-3.2M0.969.955,6825,459331,879193,813
2007-09-19$49.84$50.0021.8%6.3%16.3%37.0%21.9%1.6%1.4%-47.5M-268.3M-3.1M0.438.055,9832,583332,141193,222
2007-09-20$49.81$50.0022.0%6.3%14.8%37.6%22.0%1.5%1.1%-70.2M-240.5M-3.1M0.498.074,4132,149332,504191,800
2007-09-21$49.91$50.0021.2%6.1%14.8%33.9%22.4%1.8%0.9%-193.9M-174.9M-3.0M0.517.1121,42210,919332,307191,611
2007-09-24$49.56$50.0021.5%6.2%13.2%35.3%21.9%2.1%0.8%4.7M-258.7M-2.9M0.575.2915,5678,945233,570123,595
2007-09-25$49.48$50.0021.8%6.3%12.9%37.0%21.3%2.1%0.8%4.3M-253.7M-3.0M0.445.773,5791,567236,132129,418
2007-09-26$49.31$50.0021.9%6.3%12.2%37.1%22.0%1.5%0.6%4.3M-240.9M-2.9M2.065.042,5515,253237,076128,800
2007-09-27$49.26$50.0020.5%5.9%12.2%30.6%20.7%6.0%0.9%3.3M-227.7M-2.9M2.092.184,2078,796237,701131,717
2007-09-28$48.43$50.0019.4%5.6%13.4%25.6%19.8%5.8%2.4%952.6K-152.9M-2.8M1.605.5716,68126,722239,582138,530