UNH Options History — March 2008

In March 2008, UNH traded between $33.84 and $47.22. ATM implied volatility averaged 38.2%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 18.5% (HV 20d: 56.6%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2008-03-11: Highest Volume — 98,573 contracts
  • 2008-03-11: Largest IV spike — 41.3% change
  • 2008-03-12: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.72$33.84$47.22$46.35$34.36
Max Pain$45.75$40.00$50.00$50.00$45.00
ATM IV38.2%27.5%53.6%29.6%37.6%
Expected Move11.0%8.2%14.4%8.5%10.8%
HV 20d56.6%22.8%74.1%22.8%72.9%
HV 60d39.4%24.4%47.5%24.9%47.4%
IV Rank65.1%43.2%100.0%49.8%59.9%
IV Percentile96.9%92.5%100.0%97.2%96.0%
Term Structure-0.0%-5.7%5.2%1.5%3.2%
VWIV37.7%21.0%51.2%21.0%37.7%
Skew 25d5.2%3.1%7.7%6.4%3.1%
Skew 10d10.9%3.1%17.9%14.9%3.6%
Call IV 25d37.7%23.0%50.1%26.1%41.2%
Put IV 25d42.9%28.9%54.9%32.6%44.3%
Bid-Ask Spread %8.374.4014.229.238.82
Gamma HHI0.270.180.390.350.23
Net GEX-1.9M-7.7M880.3K-6.2M336.2K
Net DEX254.2M81.6M373.2M124.5M293.5M
Net VEX-2.1M-2.6M-1.7M-2.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.204.911.711.63
Total Volume22,660.83,70698,57312,5977,270
Total OI354,211.15305,737427,217305,737382,134

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$46.35$50.0029.6%8.5%22.8%49.8%21.0%6.4%1.5%-6.2M124.5M-2.5M1.719.234,6447,953157,773147,964
2008-03-04$46.76$50.0028.5%8.2%23.2%46.2%23.3%4.4%2.3%-6.7M105.6M-2.5M0.226.833,604793160,178150,232
2008-03-05$47.22$50.0029.5%8.5%23.5%49.4%25.7%5.9%1.2%-7.7M81.6M-2.6M2.676.741,9785,286160,879150,324
2008-03-06$45.81$50.0028.7%8.2%25.5%46.9%29.1%5.0%2.7%-5.1M132.1M-2.4M1.714.401,5862,718161,544150,311
2008-03-07$45.21$50.0027.5%9.1%25.7%43.2%31.5%5.2%-0.6%-4.5M156.4M-2.4M1.4511.072,2423,258161,893151,536
2008-03-10$45.07$45.0030.9%9.4%25.3%53.8%33.0%6.2%-0.4%-4.7M161.6M-2.4M0.548.266,7953,658162,269152,709
2008-03-11$38.24$45.0043.6%12.2%62.4%94.2%43.9%5.3%-4.2%327.0K316.4M-1.7M1.666.9037,10561,468162,033151,174
2008-03-12$36.68$40.0053.6%14.0%63.1%100.0%47.5%4.6%-5.7%-59.5K292.8M-1.9M0.6613.7239,86926,502180,700155,029
2008-03-13$38.28$40.0045.0%12.9%65.9%78.3%45.0%4.7%-4.9%880.3K175.9M-2.2M2.297.2818,72842,885200,992150,988
2008-03-14$37.19$45.0049.3%14.1%66.2%89.2%47.7%7.7%-4.9%-1.0M295.7M-2.2M0.7214.224,9423,540206,659181,588
2008-03-17$33.84$45.0050.1%14.4%71.0%91.4%51.2%4.7%-4.9%-689.2K373.2M-1.8M1.098.668,6919,449208,162182,492
2008-03-18$35.06$45.0046.9%13.4%73.0%83.1%48.1%7.5%-2.6%-147.8K370.2M-1.8M1.6510.206,50110,752212,336183,973
2008-03-19$35.55$45.0042.4%12.2%73.6%71.9%43.7%4.8%-0.8%-1.3M362.9M-1.9M0.548.8231,28917,007214,143192,068
2008-03-20$35.32$45.0040.2%11.5%73.5%66.4%42.3%6.3%0.2%403.7K340.1M-2.1M4.915.304,13320,308233,768193,449
2008-03-24$35.71$45.0038.5%11.0%74.1%62.1%38.7%4.0%1.0%-615.9K274.9M-2.1M0.727.257,1965,164179,872168,388
2008-03-25$35.28$45.0036.9%10.6%73.4%58.1%38.6%5.9%2.5%-421.7K293.4M-2.0M0.676.688,1835,517185,451171,297
2008-03-26$34.10$45.0034.4%9.9%72.5%51.8%34.8%5.2%4.4%-301.4K317.7M-1.9M0.637.6210,7726,789191,394174,472
2008-03-27$34.00$45.0034.0%9.8%72.2%50.8%34.7%3.7%5.2%-414.5K315.6M-1.9M0.227.393,031675197,706178,746
2008-03-28$34.40$45.0036.1%10.3%73.0%56.0%36.1%4.2%4.0%-276.6K300.2M-2.0M0.207.939,1441,791199,431178,166
2008-03-31$34.36$45.0037.6%10.8%72.9%59.9%37.7%3.1%3.2%336.2K293.5M-2.0M1.638.822,7654,505203,959178,175