UNH Options History — January 2008

In January 2008, UNH traded between $49.82 and $56.93. ATM implied volatility averaged 26.2%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.5% (HV 20d: 21.7%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-01-23: Highest Volume — 32,885 contracts
  • 2008-01-28: Largest IV spike — 27.5% change
  • 2008-01-07: Highest IV Rank — 72.5%
  • 2008-01-28: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.83$49.82$56.93$56.67$50.84
Max Pain$55.48$50.00$60.00$50.00$50.00
ATM IV26.2%22.4%29.4%26.4%24.9%
Expected Move7.4%6.4%8.2%7.6%7.2%
HV 20d21.7%16.6%30.6%19.4%30.6%
HV 60d19.9%17.8%23.6%18.0%23.6%
IV Rank57.5%39.6%72.5%58.2%51.5%
IV Percentile85.7%55.6%97.2%92.4%82.1%
Term Structure-0.5%-2.9%6.6%-1.2%-0.0%
VWIV25.5%22.9%28.4%23.3%23.1%
Skew 25d4.6%1.0%13.8%6.1%3.6%
Skew 10d10.3%1.6%20.7%13.3%8.0%
Call IV 25d23.7%17.1%25.7%21.3%24.8%
Put IV 25d28.3%24.8%30.9%27.4%28.4%
Bid-Ask Spread %5.912.8214.375.483.33
Gamma HHI0.410.210.640.370.36
Net GEX8.0M-5.2M20.3M15.1M-3.5M
Net DEX-192.0M-429.6M68.9M-409.4M21.0M
Net VEX-2.4M-2.5M-2.1M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.212.350.211.79
Total Volume12,7381,61432,88514,90615,997
Total OI288,928.048172,828345,646331,246225,841

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$56.67$50.0026.4%7.6%19.4%58.2%23.3%6.1%-1.2%15.1M-409.4M-2.5M0.215.4812,2822,624202,176129,070
2008-01-03$56.93$50.0025.0%7.2%19.2%51.6%24.7%4.3%0.3%15.1M-429.6M-2.4M0.585.571,022592200,845129,532
2008-01-04$56.00$60.0026.2%7.4%20.2%57.2%25.1%3.9%-0.9%13.5M-358.2M-2.5M0.383.8414,5055,580200,677129,620
2008-01-07$56.88$60.0029.4%7.8%19.2%72.5%25.4%6.5%-2.3%15.2M-421.0M-2.4M0.325.773,9191,245203,787131,319
2008-01-08$56.21$60.0029.1%8.0%19.3%70.8%26.6%4.0%-1.6%13.2M-365.2M-2.5M1.136.274,1364,673202,666131,491
2008-01-09$56.19$60.0029.3%7.9%17.5%71.7%26.7%4.2%-1.7%13.4M-369.1M-2.5M0.473.785,5652,637205,247134,852
2008-01-10$56.09$60.0027.3%7.8%16.9%62.6%27.5%4.1%-2.1%13.1M-353.7M-2.5M1.353.742,3393,148205,244135,163
2008-01-11$55.91$60.0027.3%7.8%16.6%62.5%26.7%3.9%-1.9%12.4M-343.3M-2.5M0.884.002,4492,163205,841136,937
2008-01-14$55.42$60.0027.3%7.8%16.7%62.6%27.9%4.0%-1.9%12.8M-301.3M-2.4M0.455.553,4681,560206,517137,856
2008-01-15$54.95$60.0027.1%7.8%16.8%61.4%26.8%3.3%-1.5%14.3M-267.9M-2.4M0.784.604,1353,228206,430137,544
2008-01-16$55.28$60.0026.9%7.7%17.0%60.4%26.6%4.0%-1.8%17.0M-307.0M-2.3M0.704.334,4043,094206,857137,236
2008-01-17$54.36$55.0026.3%7.5%17.3%57.8%26.9%4.5%-1.7%16.6M-191.1M-2.3M0.628.357,3404,569207,023137,149
2008-01-18$54.40$55.0027.0%7.7%17.2%61.0%27.9%5.2%-2.9%20.3M-163.3M-2.3M0.6214.379,4645,887206,833138,813
2008-01-22$51.22$55.0026.6%7.6%25.8%59.0%25.4%5.0%-0.7%868.3K16.3M-2.1M0.819.1617,80114,44197,01575,813
2008-01-23$50.35$55.0022.8%6.5%24.8%41.4%22.9%5.9%1.8%-1.0M27.7M-2.1M2.354.959,81323,072103,37884,064
2008-01-24$49.82$55.0022.9%6.6%24.7%42.1%23.4%1.0%1.0%-4.3M68.9M-2.2M0.318.0210,9363,337107,142101,001
2008-01-25$50.00$50.0022.4%6.4%24.9%39.6%23.1%3.6%1.6%-3.9M45.0M-2.2M0.245.868,7682,070110,804100,349
2008-01-28$52.00$50.0028.5%8.2%30.0%68.3%28.4%13.8%6.6%-2.2M3.5M-2.3M1.3011.176,4428,366109,161101,208
2008-01-29$50.78$50.0023.2%6.6%30.6%43.4%23.1%3.6%0.6%-3.8M15.4M-2.3M1.613.116,58710,634110,632106,873
2008-01-30$50.16$50.0024.8%7.1%30.6%50.6%24.7%2.4%-0.4%-5.2M49.3M-2.3M1.752.824,8068,400113,271114,212
2008-01-31$50.84$50.0024.9%7.2%30.6%51.5%23.1%3.6%-0.0%-3.5M21.0M-2.4M1.793.335,74310,254114,351111,490