UNH Options History — December 2008

In December 2008, UNH traded between $19.90 and $27.04. ATM implied volatility averaged 70.5%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 6.7% (HV 20d: 77.2%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-12-19: Highest Volume — 26,267 contracts
  • 2008-12-05: Largest IV drop — 9.6% change
  • 2008-12-01: Highest IV Rank — 89.2%
  • 2008-12-01: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.62$19.90$27.04$20.12$26.60
Max Pain$26.70$25.00$27.50$27.50$26.00
ATM IV70.5%52.0%100.1%100.1%52.0%
Expected Move20.3%14.9%28.7%28.7%14.9%
HV 20d77.2%54.8%93.6%89.6%56.1%
HV 60d113.2%101.9%117.9%116.3%101.9%
IV Rank56.9%36.6%89.2%89.2%36.6%
IV Percentile83.4%71.8%98.0%98.0%71.8%
Term Structure1.3%-5.4%6.7%-5.4%5.9%
VWIV69.4%52.6%99.1%99.1%52.6%
Skew 25d15.5%7.7%25.2%19.5%7.7%
Skew 10d33.3%16.7%49.5%37.7%16.7%
Call IV 25d63.9%49.5%89.7%89.7%49.5%
Put IV 25d79.4%57.1%109.6%109.2%57.1%
Bid-Ask Spread %14.4310.1119.6015.3615.05
Gamma HHI0.160.120.350.130.13
Net GEX1.6M70.4K3.2M474.9K2.5M
Net DEX51.6M-55.7M154.1M131.0M-43.1M
Net VEX-755.0K-825.6K-638.9K-754.1K-741.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.112.120.950.25
Total Volume6,579.51,35526,26713,7423,110
Total OI425,197.5327,431477,623458,418332,976

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$20.12$27.50100.1%28.7%89.6%89.2%99.1%19.5%-5.4%474.9K131.0M-754.1K0.9515.367,0376,705312,172146,246
2008-12-02$20.32$27.5097.9%28.1%89.8%86.8%95.6%24.4%-3.6%390.3K136.2M-745.1K0.5711.983,8122,192313,618149,997
2008-12-03$20.38$27.5093.2%26.7%89.5%81.8%90.9%25.2%-0.1%257.1K143.8M-712.8K1.4313.367151,019314,157151,386
2008-12-04$19.90$27.5091.5%26.2%89.7%80.0%80.9%23.1%-1.4%70.4K154.1M-650.1K1.0211.191,8831,922314,466151,231
2008-12-05$21.41$27.5082.7%24.3%93.6%70.5%74.1%22.6%-4.5%542.0K125.9M-729.9K0.4219.602,4841,045315,472148,648
2008-12-08$21.45$27.5081.3%23.6%93.5%68.9%78.6%22.5%-4.4%615.2K121.5M-717.9K1.1515.941,6991,953316,327148,882
2008-12-09$20.78$27.5077.5%23.1%92.8%64.9%82.2%19.6%-0.8%150.2K145.4M-638.9K2.1216.243,6807,806316,807149,970
2008-12-10$21.57$27.5075.7%22.6%91.0%62.6%68.6%21.2%-5.0%427.7K129.1M-686.9K0.5715.312,3081,325319,339148,814
2008-12-11$23.49$27.5069.0%19.8%91.5%55.3%66.6%18.2%1.6%1.7M71.4M-817.6K0.2810.117,2702,057320,195149,439
2008-12-12$23.54$27.5067.8%19.4%85.3%54.0%68.0%17.2%1.0%1.9M67.1M-818.3K0.2313.003,985929324,186149,621
2008-12-15$23.78$27.5069.8%20.0%83.6%56.2%67.9%14.5%1.1%2.4M51.1M-801.1K0.2312.333,735862324,817149,747
2008-12-16$24.35$27.0067.7%19.4%79.9%53.9%67.2%14.0%2.0%2.8M35.1M-791.5K0.1713.163,445597324,698150,151
2008-12-17$23.90$27.0065.1%18.7%80.6%51.1%65.0%14.9%3.6%2.4M58.0M-746.1K0.4014.662,7391,094324,724150,115
2008-12-18$24.91$26.0061.3%17.6%75.1%46.9%61.3%13.3%5.1%3.2M27.6M-751.7K0.2114.7011,1542,341324,458149,972
2008-12-19$26.49$26.0058.5%16.8%66.4%43.9%56.3%8.5%4.6%2.3M-37.6M-825.6K0.1113.8223,7082,559327,175150,448
2008-12-22$25.74$25.0058.7%16.8%68.2%44.1%59.8%9.5%2.8%2.0M-22.4M-789.8K0.6114.553,8082,329238,42489,007
2008-12-23$25.98$25.0056.2%16.1%60.2%41.4%58.2%8.1%4.3%2.2M-30.4M-801.0K0.7715.831,9871,538240,10790,405
2008-12-24$25.96$25.0056.4%16.2%54.8%41.4%55.8%8.6%5.6%2.1M-27.7M-789.7K0.6313.841,100691239,92790,805
2008-12-26$26.30$26.0056.5%16.2%54.8%41.4%58.3%8.2%4.0%2.2M-34.0M-778.4K0.2916.041,053302239,95391,316
2008-12-29$25.57$26.0057.4%16.5%56.5%42.5%66.9%10.0%6.7%1.9M-11.1M-739.1K1.0417.443,7013,839239,45591,472
2008-12-30$27.04$26.0054.3%15.6%55.0%39.1%53.3%10.9%5.1%2.5M-55.7M-782.5K0.1913.866,0731,158242,32890,892
2008-12-31$26.60$26.0052.0%14.9%56.1%36.6%52.6%7.7%5.9%2.5M-43.1M-741.7K0.2515.052,489621241,75791,219