UNH Options History — May 2008

In May 2008, UNH traded between $31.70 and $35.30. ATM implied volatility averaged 25.9%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 12.4% (HV 20d: 38.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2008-05-01: Highest Volume — 72,286 contracts
  • 2008-05-14: Largest IV spike — 103.4% change
  • 2008-05-14: Highest IV Rank — 85.8%
  • 2008-05-14: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.42$31.70$35.30$32.90$34.21
Max Pain$38.10$35.00$40.00$40.00$35.00
ATM IV25.9%18.5%47.9%20.3%23.2%
Expected Move8.0%5.8%9.5%5.8%6.6%
HV 20d38.3%25.3%49.7%49.4%25.5%
HV 60d54.1%53.5%54.8%53.8%54.5%
IV Rank30.2%11.7%85.8%16.1%23.4%
IV Percentile62.1%15.5%98.8%31.3%47.6%
Term Structure4.1%1.1%7.7%6.2%7.7%
VWIV28.1%22.0%33.8%22.0%23.3%
Skew 25d4.0%0.6%12.7%11.0%11.5%
Skew 10d5.5%-7.5%16.8%13.7%16.8%
Call IV 25d29.0%22.2%33.5%22.3%22.2%
Put IV 25d33.1%29.8%37.0%33.3%33.6%
Bid-Ask Spread %9.224.3513.849.297.37
Gamma HHI0.440.180.640.510.52
Net GEX-2.5M-5.8M1.4M-2.5M-5.8M
Net DEX218.3M26.8M322.1M306.9M121.8M
Net VEX-2.1M-2.5M-1.8M-1.9M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.1413.383.810.14
Total Volume19,057.0954,56972,28672,2866,374
Total OI478,330.143448,438516,957448,438495,963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$32.90$40.0020.3%5.8%49.4%16.1%22.0%11.0%6.2%-2.5M306.9M-1.9M3.819.2915,02557,261254,025194,413
2008-05-02$33.47$35.0024.2%6.9%49.7%25.9%25.7%12.7%6.5%-3.4M292.6M-2.1M0.958.813,2563,087266,042202,927
2008-05-05$33.07$40.0021.4%8.8%49.7%18.9%31.3%3.2%2.0%-2.9M299.4M-2.0M0.1712.373,980678266,617202,348
2008-05-06$32.80$40.0020.9%8.8%47.0%17.5%32.4%2.0%1.8%-1.8M316.5M-1.9M3.5713.492,3558,415267,689202,699
2008-05-07$32.66$40.0025.5%9.1%46.8%29.3%33.8%2.1%1.3%-1.4M313.2M-2.0M0.1613.844,251670269,119199,659
2008-05-08$33.00$40.0024.8%9.1%46.9%27.5%31.9%0.9%1.1%-2.2M303.8M-1.9M0.2613.213,627942270,145199,585
2008-05-09$32.94$40.0024.3%8.6%46.6%26.3%30.0%2.6%2.6%-1.9M299.8M-1.9M1.1413.246,9317,902269,065199,724
2008-05-12$32.78$40.0018.5%8.7%46.2%11.7%31.7%3.0%2.6%-1.6M313.1M-2.0M0.1613.085,688920274,101204,843
2008-05-13$32.55$40.0023.6%8.5%44.7%24.4%31.8%3.3%2.6%-517.5K315.2M-2.0M0.3213.4711,7513,768278,658204,016
2008-05-14$32.02$40.0047.9%9.5%43.2%85.8%30.0%4.0%3.5%1.0M295.5M-1.8M0.974.649,2508,958287,715197,287
2008-05-15$31.70$40.0031.8%9.1%41.7%45.2%25.5%0.6%4.2%1.4M312.3M-1.8M5.855.0910,03558,736290,811199,992
2008-05-16$32.32$40.0031.0%8.9%42.1%43.0%29.4%2.4%3.6%-988.5K322.1M-2.0M0.735.368,1365,965296,145220,812
2008-05-19$33.44$40.0026.0%7.5%43.9%30.5%26.6%2.4%4.4%-2.0M176.7M-2.2M0.405.7412,4724,996268,922188,592
2008-05-20$34.05$40.0025.4%7.3%26.4%29.0%26.2%3.9%4.3%-2.3M133.1M-2.3M2.805.4112,23734,207273,573190,660
2008-05-21$34.16$35.0025.6%7.3%25.7%29.4%26.6%3.4%4.7%-3.6M107.5M-2.4M2.258.783,4297,725280,401196,889
2008-05-22$35.30$35.0025.6%7.3%25.3%29.5%25.8%2.0%4.6%-3.7M26.8M-2.5M0.6812.9118,03712,184280,097195,361
2008-05-23$34.75$35.0026.4%7.6%25.8%31.4%26.6%4.0%4.5%-3.8M66.2M-2.5M1.236.602,8923,552288,312200,887
2008-05-27$35.02$35.0027.3%7.8%25.5%33.9%27.6%3.6%5.1%-3.9M52.6M-2.5M13.389.751,28817,230286,725200,560
2008-05-28$34.23$35.0024.9%7.1%26.9%27.7%26.0%4.1%6.6%-4.5M106.1M-2.4M3.076.912,8648,784286,686201,537
2008-05-29$34.50$35.0025.2%7.2%25.3%28.5%25.2%2.0%6.3%-5.4M103.1M-2.3M1.614.353,9626,379286,878204,453
2008-05-30$34.21$35.0023.2%6.6%25.5%23.4%23.3%11.5%7.7%-5.8M121.8M-2.3M0.147.375,596778288,570207,393