UNH Options History — April 2008

In April 2008, UNH traded between $32.63 and $38.08. ATM implied volatility averaged 37.2%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 17.6% (HV 20d: 54.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2008-04-22: Highest Volume — 97,278 contracts
  • 2008-04-09: Largest IV spike — 32.7% change
  • 2008-04-07: Highest IV Rank — 84.4%
  • 2008-04-15: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.75$32.63$38.08$36.25$32.63
Max Pain$38.18$35.00$45.00$45.00$40.00
ATM IV37.2%20.3%47.4%37.6%20.3%
Expected Move10.6%5.8%13.0%10.8%5.8%
HV 20d54.8%34.7%78.5%76.8%49.3%
HV 60d51.0%48.8%54.1%49.0%53.7%
IV Rank58.8%16.3%84.4%59.9%16.3%
IV Percentile88.6%31.7%98.8%95.6%31.7%
Term Structure-0.8%-5.9%5.4%2.7%2.7%
VWIV35.9%17.6%44.8%37.7%17.6%
Skew 25d6.9%2.1%13.4%5.5%3.2%
Skew 10d12.8%2.5%23.0%15.0%9.7%
Call IV 25d35.4%25.0%40.6%37.2%29.4%
Put IV 25d42.2%32.6%49.4%42.7%32.6%
Bid-Ask Spread %10.075.5418.247.898.70
Gamma HHI0.370.190.630.220.42
Net GEX-1.9M-5.8M852.9K444.8K-1.3M
Net DEX207.2M113.2M312.2M226.2M312.2M
Net VEX-2.2M-2.5M-1.8M-2.1M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.508.223.221.94
Total Volume25,613.5454,04397,27828,03517,100
Total OI409,326.091356,835444,352375,738444,315

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$36.25$45.0037.6%10.8%76.8%59.9%37.7%5.5%2.7%444.8K226.2M-2.1M3.227.896,64521,390203,486172,252
2008-04-02$35.96$45.0037.0%10.6%76.4%58.1%37.1%2.1%2.8%178.9K233.4M-2.2M0.505.548,3374,171204,213178,668
2008-04-03$36.15$40.0038.1%10.9%76.3%61.1%27.2%2.7%3.0%341.1K113.2M-2.2M8.225.734,08833,584207,375149,460
2008-04-04$36.50$35.0039.6%11.8%76.4%64.7%40.2%7.7%-4.1%-2.4M187.1M-2.2M1.1618.244,3555,046208,679178,292
2008-04-07$36.67$35.0047.4%12.1%76.6%84.4%41.3%7.5%-4.9%-5.8M249.4M-2.3M3.2617.006,75621,994210,018207,231
2008-04-08$38.08$35.0035.1%10.7%78.5%53.6%41.3%7.1%-3.2%-5.4M117.7M-2.5M0.976.2512,90612,494212,418193,821
2008-04-09$37.28$35.0046.7%12.4%53.1%82.6%41.6%8.0%-4.4%-3.9M149.7M-2.4M1.7816.063,9136,946216,153191,177
2008-04-10$36.60$35.0043.1%12.3%51.4%73.6%41.2%6.7%-5.0%-3.9M182.9M-2.3M1.089.792,9123,135216,506193,490
2008-04-11$35.87$35.0043.2%12.4%49.2%73.8%43.5%7.0%-3.4%-3.6M221.3M-2.2M1.0417.726,4826,728217,485193,719
2008-04-14$36.29$35.0045.2%13.0%48.5%78.9%44.8%8.9%-5.4%-3.7M204.6M-2.2M1.6711.981,5162,527219,972195,522
2008-04-15$37.24$35.0045.5%13.0%34.7%79.6%44.2%7.2%-5.9%-3.6M152.0M-2.3M0.9510.047,0296,680219,229195,805
2008-04-16$35.80$35.0041.3%11.8%36.1%69.1%41.2%6.1%-3.1%-4.2M210.8M-2.2M2.068.028,60417,704221,761196,407
2008-04-17$36.70$35.0041.3%11.8%36.8%69.2%34.3%7.3%-3.5%610.5K113.7M-2.2M3.237.394,59014,841227,288183,307
2008-04-18$37.25$40.0041.0%11.8%37.0%68.4%36.5%5.5%-3.1%852.9K131.3M-2.3M2.187.7919,12741,657229,717192,234
2008-04-21$37.81$40.0040.6%11.6%37.1%67.4%43.6%7.8%-2.8%-886.5K113.5M-2.4M0.539.0025,16313,451210,146170,719
2008-04-22$34.15$40.0034.7%10.0%52.4%52.6%34.0%13.4%1.3%-499.9K271.1M-1.8M2.176.4730,72066,558210,236170,710
2008-04-23$34.73$40.0031.8%9.1%51.4%45.0%31.6%5.6%2.2%-428.8K231.0M-2.1M0.9310.3820,76919,268235,769180,068
2008-04-24$33.59$40.0030.1%8.6%52.8%40.7%30.5%8.7%3.6%-327.9K271.4M-2.1M2.538.004,65011,762243,145184,382
2008-04-25$33.99$40.0027.6%7.9%52.8%34.4%27.6%4.7%4.1%-1.4M267.8M-2.1M0.7310.7111,1258,168244,879188,021
2008-04-28$33.64$40.0027.2%7.8%52.9%33.6%27.8%8.9%3.4%-1.6M287.6M-2.0M2.579.663,3758,687250,546192,201
2008-04-29$33.40$40.0024.6%7.1%48.8%27.1%25.0%9.7%5.4%-2.2M309.9M-1.8M3.329.086,14220,403250,442193,910
2008-04-30$32.63$40.0020.3%5.8%49.3%16.3%17.6%3.2%2.7%-1.3M312.2M-1.8M1.948.705,81611,284253,558190,757