UNH Options History — November 2007

In November 2007, UNH traded between $48.55 and $55.00. ATM implied volatility averaged 20.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.9% (HV 20d: 18.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-11-09: Highest Volume — 34,571 contracts
  • 2007-11-15: Largest IV spike — 51.1% change
  • 2007-11-09: Highest IV Rank — 45.7%
  • 2007-11-09: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.41$48.55$55.00$48.55$55.00
Max Pain$44.05$40.00$50.00$50.00$45.00
ATM IV20.0%14.2%23.7%20.3%19.9%
Expected Move6.2%5.4%7.0%5.8%5.7%
HV 20d18.0%15.3%19.8%18.6%15.3%
HV 60d16.8%16.0%19.0%19.0%16.0%
IV Rank28.4%1.3%45.7%29.6%28.0%
IV Percentile28.3%0.5%67.6%24.8%23.5%
Term Structure3.4%2.5%4.4%2.5%2.7%
VWIV22.4%19.6%26.8%21.9%20.0%
Skew 25d3.6%1.5%9.9%6.1%7.9%
Skew 10d7.1%3.0%14.6%10.1%12.5%
Call IV 25d20.7%14.5%23.4%20.0%14.5%
Put IV 25d24.3%21.3%28.3%26.1%22.4%
Bid-Ask Spread %4.302.048.326.002.04
Gamma HHI0.410.290.560.320.49
Net GEX7.0M-8.0M18.2M-5.6M17.2M
Net DEX-456.9M-635.9M-110.7M-110.7M-635.9M
Net VEX-2.8M-2.9M-2.5M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.122.110.790.67
Total Volume12,906.2384,03534,57114,0626,104
Total OI415,882.857384,054442,607424,231397,246

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$48.55$50.0020.3%5.8%18.6%29.6%21.9%6.1%2.5%-5.6M-110.7M-2.8M0.796.007,8696,193252,001172,230
2007-11-02$48.94$50.0019.0%5.4%18.6%23.7%26.8%9.9%3.8%-6.3M-147.4M-2.9M2.118.322,1644,563254,552174,833
2007-11-05$49.12$40.0019.2%6.6%18.6%24.6%23.5%2.5%3.1%-7.6M-165.6M-2.8M0.666.602,4361,599255,315176,801
2007-11-06$49.59$40.0018.3%6.4%18.3%20.6%23.5%2.7%3.5%-8.0M-225.7M-2.8M1.596.093,3235,290257,387176,035
2007-11-07$49.85$40.0021.1%6.8%17.3%33.8%25.0%2.8%3.3%-6.8M-257.0M-2.9M0.755.976,4574,813257,528177,413
2007-11-08$50.29$40.0020.8%6.8%17.6%32.1%23.7%3.7%3.5%-6.8M-306.7M-2.9M0.584.267,9284,633257,458177,497
2007-11-09$51.67$40.0023.7%7.0%19.8%45.7%23.9%2.1%3.3%-142.6K-465.2M-2.9M0.495.5723,23311,338255,852177,227
2007-11-12$52.64$40.0015.0%6.5%19.5%5.1%23.6%2.1%2.9%9.2M-557.3M-2.7M0.332.9619,3906,408252,241176,984
2007-11-13$53.30$45.0018.3%6.1%19.2%20.5%21.8%2.3%3.8%8.9M-575.5M-2.8M0.392.7914,0925,538251,862181,217
2007-11-14$53.04$45.0014.2%6.0%19.5%1.3%21.4%2.7%4.0%10.4M-567.2M-2.8M0.283.487,8192,164253,607183,808
2007-11-15$53.02$45.0021.4%6.1%18.8%35.0%21.7%2.5%3.6%11.1M-549.4M-2.8M0.123.618,8471,041255,482184,175
2007-11-16$53.42$45.0021.3%6.1%17.5%34.8%22.2%2.5%4.1%12.8M-592.1M-2.8M0.552.906,3273,494258,433184,174
2007-11-19$53.49$45.0021.4%6.1%17.3%35.1%22.3%2.2%3.8%12.9M-505.8M-2.7M0.503.545,7602,878241,850142,204
2007-11-20$54.07$45.0019.7%5.7%17.0%27.1%20.2%2.5%4.4%14.7M-572.2M-2.7M0.294.0511,2453,249244,842143,429
2007-11-21$53.41$45.0021.5%6.2%17.6%35.3%22.1%1.8%3.2%13.2M-500.2M-2.8M0.523.033,7421,927246,483143,616
2007-11-23$54.07$45.0021.5%6.2%17.7%35.6%22.2%2.8%3.2%14.8M-557.0M-2.7M0.565.102,6421,480246,244143,679
2007-11-26$53.38$45.0021.7%6.2%17.9%36.5%23.0%1.5%3.6%14.1M-506.7M-2.7M0.584.347,6764,415247,588144,188
2007-11-27$54.29$45.0022.1%6.3%18.2%38.3%22.3%2.3%3.0%15.9M-583.4M-2.7M0.994.298,1848,069249,267145,503
2007-11-28$54.72$45.0019.3%5.5%18.0%25.0%19.6%6.0%2.9%18.2M-614.8M-2.6M0.272.4119,0125,140251,000147,705
2007-11-29$54.76$45.0019.9%5.7%16.6%28.0%20.1%7.1%2.5%16.0M-599.3M-2.6M0.842.956,8345,715246,708147,876
2007-11-30$55.00$45.0019.9%5.7%15.3%28.0%20.0%7.9%2.7%17.2M-635.9M-2.5M0.672.043,6622,442247,319149,927