UNH Options History — November 2008

In November 2008, UNH traded between $16.30 and $23.49. ATM implied volatility averaged 86.2%, placing in the 79.5% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 16.5% (HV 20d: 102.6%). Max pain ranged from $24.00 to $27.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2008-11-18: Highest Volume — 25,301 contracts
  • 2008-11-13: Largest IV drop — 15.5% change
  • 2008-11-19: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 31.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.31$16.30$23.49$23.49$21.01
Max Pain$26.82$24.00$27.50$24.00$27.50
ATM IV86.2%69.0%110.0%79.8%79.1%
Expected Move24.6%19.8%31.5%22.9%22.7%
HV 20d102.6%82.7%143.1%143.1%91.5%
HV 60d110.4%106.8%116.5%106.8%116.0%
IV Rank79.5%62.7%100.0%75.1%66.6%
IV Percentile95.7%90.5%100.0%96.0%91.3%
Term Structure-1.8%-7.2%5.0%-2.6%3.0%
VWIV82.3%67.5%108.8%78.1%72.8%
Skew 25d16.4%7.2%21.7%16.1%18.1%
Skew 10d29.2%8.3%43.9%30.7%34.2%
Call IV 25d77.4%62.0%107.6%69.2%71.0%
Put IV 25d93.8%75.6%116.2%85.3%89.2%
Bid-Ask Spread %18.2014.0829.2923.1716.73
Gamma HHI0.110.100.140.100.14
Net GEX21.6K-836.8K1.1M1.1M522.8K
Net DEX160.2M78.2M205.8M78.2M128.2M
Net VEX-879.2K-1.4M-582.9K-1.4M-783.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.156.590.180.24
Total Volume9,497.47453025,30111,086530
Total OI495,912.263447,859512,004506,209458,214

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$23.49$24.0079.8%22.9%143.1%75.1%78.1%16.1%-2.6%1.1M78.2M-1.4M0.1823.179,4301,656326,665179,544
2008-11-04$22.82$24.0073.2%21.0%140.2%67.5%70.1%11.8%-2.6%659.1K112.6M-1.2M0.3523.323,9291,367331,696180,308
2008-11-05$22.77$24.0069.0%19.8%137.7%62.7%70.8%8.9%1.3%370.9K119.5M-1.2M4.9729.291,0505,219323,014179,699
2008-11-06$22.16$25.0075.1%21.5%134.8%69.7%73.8%10.3%-0.8%-51.7K138.4M-1.1M2.2121.552,0384,499322,928182,800
2008-11-07$22.43$27.5069.7%20.3%134.1%63.5%71.7%20.2%-1.2%-112.9K143.7M-1.1M0.8414.322,5642,146322,881184,827
2008-11-10$21.44$27.5075.8%21.8%82.7%70.4%67.5%20.8%-2.6%-623.6K178.9M-982.4K0.8320.451,3121,095324,265186,014
2008-11-11$20.16$27.5083.5%23.4%85.1%79.2%75.5%19.1%-2.7%-836.8K203.5M-857.5K2.1716.566,71114,559324,454185,720
2008-11-12$18.87$27.5095.9%25.7%85.7%93.4%96.9%19.5%-6.5%-590.0K205.8M-747.8K2.4314.253,4338,334324,528179,731
2008-11-13$20.84$27.5081.0%23.2%92.1%76.5%84.0%21.7%-4.3%-240.0K178.7M-851.4K0.1615.918,3681,305325,739175,469
2008-11-14$20.02$27.5087.1%25.0%88.0%82.7%82.0%20.3%-6.5%-106.9K176.8M-826.2K0.2814.745,4361,525331,652174,673
2008-11-17$18.89$27.5094.3%27.0%87.1%91.4%86.9%16.8%-7.2%-215.8K197.1M-713.9K6.5917.221,54010,156332,323175,046
2008-11-18$19.03$27.50100.0%28.7%87.4%98.1%91.4%17.1%-4.5%-161.6K190.9M-753.7K4.3014.724,77820,523331,143175,763
2008-11-19$17.73$27.50104.0%29.8%89.0%100.0%95.0%11.4%-2.3%-154.8K194.3M-658.8K0.1817.5511,0722,009333,899174,263
2008-11-20$16.30$27.50110.0%31.5%92.1%100.0%108.8%7.2%-1.8%18.4K190.6M-582.9K1.1824.434,0244,759337,192172,668
2008-11-21$17.15$27.50107.8%30.9%94.9%97.6%100.2%19.1%-3.8%-100.1K197.0M-595.5K1.1514.086,0947,026337,838170,839
2008-11-24$19.07$27.5092.7%26.6%96.3%81.3%87.1%17.2%2.0%80.7K150.3M-682.8K0.3616.565,8962,145302,163145,696
2008-11-25$20.73$27.5081.3%23.3%94.9%69.0%77.8%17.8%4.0%377.2K130.2M-784.7K0.1514.329,3201,397305,976145,531
2008-11-26$20.98$27.5077.5%22.2%93.4%64.9%72.7%17.9%5.0%497.5K129.8M-787.6K0.2216.592,626581310,908146,264
2008-11-28$21.01$27.5079.1%22.7%91.5%66.6%72.8%18.1%3.0%522.8K128.2M-783.4K0.2416.73427103311,975146,239