UNH Options History — December 2007

In December 2007, UNH traded between $54.33 and $58.99. ATM implied volatility averaged 20.6%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.5% (HV 20d: 17.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-12-21: Highest Volume — 25,085 contracts
  • 2007-12-11: Largest IV spike — 22.8% change
  • 2007-12-12: Highest IV Rank — 48.7%
  • 2007-12-19: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.17$54.33$58.99$54.63$58.20
Max Pain$49.00$45.00$50.00$45.00$50.00
ATM IV20.6%17.4%24.3%21.1%19.1%
Expected Move5.9%5.2%6.9%6.1%5.5%
HV 20d17.0%15.7%18.0%15.9%16.6%
HV 60d17.1%16.0%17.8%16.0%16.9%
IV Rank31.1%16.3%48.7%33.6%24.3%
IV Percentile35.2%8.1%78.2%34.2%19.2%
Term Structure1.9%0.1%3.7%1.6%3.1%
VWIV21.0%18.4%23.4%21.4%21.0%
Skew 25d4.4%1.6%7.6%6.8%5.1%
Skew 10d9.8%3.6%16.0%11.1%12.8%
Call IV 25d18.6%12.9%22.0%16.6%18.5%
Put IV 25d23.0%17.8%24.5%23.4%23.6%
Bid-Ask Spread %4.172.536.172.536.17
Gamma HHI0.440.380.530.500.44
Net GEX19.1M16.2M21.8M16.2M17.9M
Net DEX-727.8M-985.1M-525.7M-590.3M-525.7M
Net VEX-2.4M-2.6M-2.3M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.134.394.390.40
Total Volume10,527.152,63825,0859,9723,429
Total OI392,725.3323,250431,548398,669330,415

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$54.63$45.0021.1%6.1%15.9%33.6%21.4%6.8%1.6%16.2M-590.3M-2.5M4.392.531,8508,122247,138151,531
2007-12-04$54.33$45.0019.2%5.5%16.4%24.7%19.2%6.0%2.5%16.2M-561.0M-2.6M0.692.714,2122,921247,223155,984
2007-12-05$54.68$45.0018.6%5.3%16.3%22.0%18.4%7.6%3.1%17.8M-596.6M-2.6M0.592.901,7781,050248,267155,931
2007-12-06$55.98$45.0018.5%5.3%17.6%21.5%18.5%4.9%3.0%19.0M-708.4M-2.4M0.414.079,3403,876248,178151,648
2007-12-07$56.65$50.0018.7%6.2%17.7%22.5%21.1%3.2%0.9%18.5M-768.7M-2.4M0.184.5916,8923,061251,059152,987
2007-12-10$57.87$50.0017.4%5.7%16.9%16.3%20.1%2.0%1.2%19.7M-884.1M-2.3M0.133.4816,5472,139255,881153,628
2007-12-11$57.07$50.0021.4%6.3%17.5%34.8%21.0%2.4%0.2%20.3M-827.0M-2.4M0.493.1910,5545,207259,035154,231
2007-12-12$57.47$50.0024.3%6.3%17.3%48.7%20.8%1.7%1.8%21.2M-865.7M-2.4M0.293.5912,7053,652264,158156,510
2007-12-13$57.03$50.0023.1%6.6%17.5%43.0%21.8%3.2%0.1%20.9M-818.2M-2.5M0.675.246,5484,368266,580155,981
2007-12-14$56.73$50.0023.4%6.7%17.7%44.5%23.4%1.6%1.0%20.0M-801.0M-2.4M1.193.323,5904,256262,372156,159
2007-12-17$56.59$50.0023.2%6.7%17.8%43.4%22.6%2.5%1.2%19.6M-780.0M-2.4M1.135.571,8022,040263,287158,466
2007-12-18$57.20$50.0024.0%6.9%18.0%47.3%23.4%2.5%0.7%19.2M-840.4M-2.4M0.575.475,8963,343263,125158,718
2007-12-19$57.36$50.0024.1%6.9%17.8%47.7%22.3%3.1%0.7%20.2M-845.5M-2.4M0.575.903,6422,089265,367159,867
2007-12-20$58.11$50.0020.7%5.9%17.2%31.9%22.3%2.7%1.0%21.0M-920.3M-2.4M1.993.026,04012,025265,737159,913
2007-12-21$58.99$50.0018.3%5.2%17.4%20.4%18.7%7.4%3.7%21.8M-985.1M-2.4M0.623.4415,4579,628266,226165,322
2007-12-24$58.88$50.0018.3%5.2%16.3%20.5%18.7%7.5%3.3%17.9M-590.2M-2.4M0.375.151,919719198,230125,020
2007-12-26$58.95$50.0019.3%5.5%15.7%25.1%20.2%7.4%2.7%19.4M-568.9M-2.4M0.315.015,4901,710198,940125,255
2007-12-27$58.36$50.0019.2%5.5%16.4%24.7%22.4%5.6%3.0%17.9M-549.3M-2.4M0.514.504,8782,505200,652126,316
2007-12-28$58.28$50.0019.1%5.5%16.5%24.3%22.7%5.1%2.6%17.7M-529.6M-2.4M0.653.613,1862,077201,474127,695
2007-12-31$58.20$50.0019.1%5.5%16.6%24.3%21.0%5.1%3.1%17.9M-525.7M-2.4M0.406.172,447982201,591128,824