UNH Options History — October 2007

In October 2007, UNH traded between $47.05 and $49.69. ATM implied volatility averaged 21.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.1% (HV 20d: 14.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-10-19: Highest Volume — 81,079 contracts
  • 2007-10-03: Largest IV spike — 28.6% change
  • 2007-10-03: Highest IV Rank — 60.6%
  • 2007-10-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.32$47.05$49.69$48.14$49.15
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV21.7%16.7%26.9%19.4%17.2%
Expected Move6.1%4.8%7.7%5.6%4.9%
HV 20d14.6%11.0%17.9%11.2%17.9%
HV 60d19.6%18.3%20.9%20.9%18.9%
IV Rank36.3%13.2%60.6%25.6%15.4%
IV Percentile44.4%2.5%93.1%17.1%7.2%
Term Structure1.1%-1.7%4.0%2.4%3.4%
VWIV21.9%16.9%26.0%21.4%17.3%
Skew 25d4.5%2.0%7.3%5.4%7.2%
Skew 10d6.7%0.9%12.5%9.3%10.7%
Call IV 25d20.8%15.5%24.9%19.6%16.4%
Put IV 25d25.2%21.9%28.9%24.9%23.6%
Bid-Ask Spread %5.252.679.885.232.87
Gamma HHI0.300.230.420.240.42
Net GEX-3.6M-9.5M2.4M-1.2M-9.5M
Net DEX-103.4M-247.6M-4.1M-97.0M-136.8M
Net VEX-2.8M-3.0M-2.6M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.153.630.260.39
Total Volume14,804.5223,96081,0795,80017,831
Total OI422,118.87399,356451,536399,356429,723

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$48.14$50.0019.4%5.6%11.2%25.6%21.4%5.4%2.4%-1.2M-97.0M-2.9M0.265.234,6091,191245,223154,133
2007-10-02$47.89$50.0020.9%6.0%11.1%32.7%22.0%4.8%1.4%-2.1M-60.9M-2.8M1.104.925,9556,580244,456156,435
2007-10-03$47.05$50.0026.9%7.7%11.0%60.6%24.3%3.4%-1.7%-1.8M-5.6M-2.7M1.005.9811,64211,637245,419157,041
2007-10-04$47.38$50.0026.3%7.6%11.1%58.0%23.5%2.6%-1.5%-2.1M-64.8M-2.8M0.955.603,3043,133252,844162,841
2007-10-05$47.70$50.0022.3%6.1%11.3%39.0%22.1%2.3%1.0%-2.5M-76.0M-2.8M0.654.573,0711,993253,401164,714
2007-10-08$47.81$50.0023.6%6.3%11.4%45.1%23.9%2.4%0.3%-1.9M-106.7M-2.8M0.752.672,2601,700254,290160,939
2007-10-09$48.49$50.0022.6%6.2%12.1%40.5%23.8%3.2%0.1%-2.4M-153.1M-2.8M2.403.695,33512,782254,676161,411
2007-10-10$49.33$50.0024.3%6.3%13.7%48.4%22.2%2.0%0.6%-5.3M-212.2M-2.9M0.266.6812,2483,207256,856173,145
2007-10-11$49.34$50.0022.5%6.4%13.7%40.0%23.6%2.8%0.2%-5.8M-208.2M-2.9M0.247.905,2081,250256,515175,028
2007-10-12$49.69$50.0023.7%6.8%13.7%45.6%24.4%4.1%-0.4%-3.7M-247.6M-3.0M0.157.6418,6492,782256,426173,641
2007-10-15$48.93$50.0025.3%7.3%14.7%53.3%25.9%4.3%-1.2%-1.8M-191.8M-2.9M0.359.886,5102,276265,421174,499
2007-10-16$48.50$50.0025.2%7.2%14.9%52.6%26.0%3.2%-0.5%-1.3M-141.3M-2.8M0.263.198,5512,246267,236174,522
2007-10-17$48.60$50.0024.3%7.0%14.9%48.7%24.7%3.4%-0.6%-822.0K-135.5M-2.8M0.244.229,5252,253268,929176,839
2007-10-18$48.10$50.0020.2%5.8%15.2%29.2%20.4%4.4%1.6%388.2K-62.1M-2.6M0.643.8410,4566,707274,523175,596
2007-10-19$47.45$50.0024.8%7.1%15.7%50.7%19.3%4.5%-1.1%2.4M-4.1M-2.6M3.634.7017,52463,555276,165175,371
2007-10-22$48.13$50.0017.8%5.1%16.7%18.3%18.7%6.5%2.8%-6.1M-57.6M-2.7M0.594.566,7804,023240,066163,920
2007-10-23$48.84$50.0016.7%4.8%17.6%13.2%16.9%6.4%3.5%-7.8M-127.5M-2.8M0.665.567,1734,714242,372165,397
2007-10-24$48.47$50.0018.9%5.4%17.8%23.2%19.2%6.8%2.6%-5.6M-92.1M-2.8M2.885.111,9965,740244,990166,265
2007-10-25$48.53$50.0019.7%5.6%17.8%27.0%20.1%7.3%2.6%-5.8M-97.9M-2.8M1.205.452,9723,559245,147168,647
2007-10-26$47.99$50.0019.4%5.6%17.2%25.8%23.1%4.8%3.0%-5.2M-40.9M-2.8M2.514.713,1677,946245,019169,596
2007-10-29$47.95$50.0019.1%5.5%17.1%24.1%20.9%4.8%2.8%-6.1M-31.3M-2.7M1.345.472,4853,325246,104172,466
2007-10-30$47.90$50.0017.7%5.1%17.0%17.5%19.7%5.8%4.0%-6.1M-28.0M-2.7M1.986.266,92913,725246,852173,635
2007-10-31$49.15$50.0017.2%4.9%17.9%15.4%17.3%7.2%3.4%-9.5M-136.8M-2.9M0.392.8712,8245,007250,209179,514