UNH Options History — February 2008

In February 2008, UNH traded between $46.48 and $50.10. ATM implied volatility averaged 23.8%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.5% (HV 20d: 27.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2008-02-13: Highest Volume — 88,583 contracts
  • 2008-02-13: Largest IV spike — 140.5% change
  • 2008-02-13: Highest IV Rank — 100.0%
  • 2008-02-13: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.29$46.48$50.10$50.10$46.48
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV23.8%18.7%45.5%24.3%27.4%
Expected Move6.8%5.5%9.2%7.0%7.9%
HV 20d27.4%20.2%32.2%30.5%23.1%
HV 60d23.6%22.7%24.9%23.8%24.9%
IV Rank36.6%16.9%100.0%48.6%42.8%
IV Percentile56.1%17.1%100.0%75.0%94.0%
Term Structure2.9%-0.3%5.1%0.1%3.5%
VWIV24.7%20.1%30.9%24.3%26.8%
Skew 25d5.6%2.7%10.4%10.4%3.5%
Skew 10d12.0%3.4%19.5%16.7%9.5%
Call IV 25d22.7%18.1%25.5%18.3%25.4%
Put IV 25d28.3%25.3%35.4%28.7%28.9%
Bid-Ask Spread %7.292.4911.772.496.09
Gamma HHI0.450.330.580.410.35
Net GEX-7.0M-13.0M-3.8M-4.2M-6.2M
Net DEX90.8M-4.7M200.5M47.9M123.3M
Net VEX-2.4M-2.6M-2.1M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.295.090.420.77
Total Volume14,502.553,39988,5834,1265,445
Total OI267,470.5226,498305,344226,498305,344

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$50.10$50.0024.3%7.0%30.5%48.6%24.3%10.4%0.1%-4.2M47.9M-2.3M0.422.492,9131,213114,955111,543
2008-02-04$49.90$50.0025.9%7.1%30.3%55.7%24.9%3.4%2.0%-3.8M33.6M-2.3M4.2010.371,0354,342119,379111,100
2008-02-05$49.40$50.0024.3%7.0%29.2%48.3%25.3%3.9%2.4%-5.8M74.3M-2.3M1.126.856,1886,961116,701113,980
2008-02-06$49.38$50.0023.7%7.0%29.3%45.6%24.7%3.4%2.5%-6.9M85.2M-2.3M0.536.542,2211,178120,797118,814
2008-02-07$49.03$50.0022.1%6.8%29.2%38.3%24.7%2.7%2.8%-7.0M107.5M-2.3M0.466.935,6262,583122,131118,877
2008-02-08$48.20$50.0021.8%6.9%29.3%36.8%25.9%3.4%2.3%-5.6M144.3M-2.2M0.498.186,0012,933124,736120,013
2008-02-11$48.22$50.0018.7%6.9%29.4%22.6%26.2%2.9%2.5%-5.6M135.0M-2.2M1.067.962,6232,790128,250121,115
2008-02-12$48.27$50.0018.9%6.3%29.6%23.4%22.3%7.0%4.2%-6.1M139.4M-2.2M4.2211.053,14813,280129,716122,388
2008-02-13$46.97$50.0045.5%9.2%30.4%100.0%30.9%10.4%-0.3%-4.6M200.5M-2.1M2.8811.6722,83465,749130,267129,373
2008-02-14$46.61$50.0029.5%8.5%30.0%49.3%28.9%7.8%1.0%-7.0M165.8M-2.2M0.5511.776,5193,579144,704148,848
2008-02-15$47.74$50.0022.8%6.5%31.9%28.0%23.0%7.1%4.0%-3.9M111.8M-2.3M2.654.1311,85031,437148,046146,966
2008-02-19$48.08$50.0022.5%6.4%32.2%27.1%23.6%5.1%3.3%-7.9M63.4M-2.4M0.485.514,4052,124143,651135,545
2008-02-20$48.10$50.0021.9%6.3%25.1%25.5%24.2%5.5%3.5%-7.8M73.8M-2.4M1.236.433,3614,140141,031134,903
2008-02-21$47.80$50.0021.5%6.2%24.6%24.0%24.4%5.2%3.4%-7.9M62.1M-2.4M1.356.844,5586,171142,125132,729
2008-02-22$47.36$50.0027.4%7.8%24.6%42.7%27.7%5.1%1.8%-7.4M98.7M-2.4M5.097.511,5257,758145,495136,568
2008-02-25$47.98$50.0019.9%5.7%25.1%19.0%20.7%6.2%4.3%-8.8M64.8M-2.5M1.908.253,9637,525145,771139,147
2008-02-26$48.93$50.0019.4%5.6%21.5%17.5%23.8%8.6%4.3%-13.0M33.6M-2.5M1.854.903,3236,157148,560142,299
2008-02-27$49.17$50.0019.2%5.5%20.2%16.9%20.1%3.5%5.1%-11.2M-4.7M-2.6M0.725.978,2805,942149,595142,113
2008-02-28$48.01$50.0020.2%5.8%21.4%19.9%22.1%6.4%4.8%-9.3M56.6M-2.6M0.296.456,5031,868154,590147,245
2008-02-29$46.48$50.0027.4%7.9%23.1%42.8%26.8%3.5%3.5%-6.2M123.3M-2.5M0.776.093,0732,372157,414147,930