UNH Options History — January 2009

In January 2009, UNH traded between $24.08 and $29.99. ATM implied volatility averaged 54.7%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 2.1% (HV 20d: 52.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-01-22: Highest Volume — 26,449 contracts
  • 2009-01-12: Largest IV spike — 15.7% change
  • 2009-01-14: Highest IV Rank — 53.3%
  • 2009-01-14: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.74$24.08$29.99$27.59$28.33
Max Pain$25.65$25.00$26.00$26.00$26.00
ATM IV54.7%42.8%67.3%50.4%46.9%
Expected Move16.0%12.3%18.5%14.5%13.5%
HV 20d52.7%44.6%57.2%56.6%56.3%
HV 60d78.9%69.4%100.6%100.6%69.4%
IV Rank39.6%26.5%53.3%34.8%31.1%
IV Percentile70.0%49.2%81.0%70.6%58.7%
Term Structure0.6%-4.3%8.1%8.1%3.0%
VWIV55.1%42.2%65.1%56.7%43.9%
Skew 25d12.2%6.8%16.8%6.8%7.7%
Skew 10d25.5%19.1%33.8%23.5%22.8%
Call IV 25d49.4%31.6%58.0%48.2%42.2%
Put IV 25d61.6%48.4%71.7%55.0%49.9%
Bid-Ask Spread %12.148.1818.3114.3514.64
Gamma HHI0.150.090.280.140.15
Net GEX2.7M924.8K3.9M2.7M3.7M
Net DEX-51.5M-145.8M41.7M-71.6M-103.7M
Net VEX-695.9K-847.4K-579.7K-751.8K-830.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.123.760.120.35
Total Volume8,089.81,55226,4495,8812,140
Total OI253,996.6121,627348,300331,951174,294

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$27.59$26.0050.4%14.5%56.6%34.8%56.7%6.8%8.1%2.7M-71.6M-751.8K0.1214.355,233648240,83191,120
2009-01-05$27.14$26.0056.0%17.4%55.9%41.0%59.0%11.5%-3.0%2.8M-61.4M-727.5K0.518.881,294654243,90391,173
2009-01-06$26.50$26.0058.9%17.7%53.2%44.1%62.3%12.1%-1.5%2.7M-42.4M-698.9K1.028.243,4573,517244,40991,584
2009-01-07$26.30$26.0061.0%18.1%53.5%46.4%59.3%13.4%-1.8%2.6M-36.2M-699.0K0.948.182,4302,283245,35192,278
2009-01-08$26.71$26.0055.2%18.2%51.2%40.0%64.1%13.5%-4.3%2.8M-48.6M-698.5K0.338.441,887630245,51293,362
2009-01-09$26.45$26.0055.4%18.2%50.9%40.3%60.8%12.3%-1.9%2.8M-41.6M-687.4K0.368.311,139413245,97793,583
2009-01-12$25.62$26.0064.0%18.3%44.6%49.7%65.1%14.5%-1.9%2.6M-14.6M-651.6K3.768.361,2354,640246,12493,471
2009-01-13$25.36$26.0062.6%17.8%44.9%48.2%59.3%13.0%-1.6%2.4M302.1K-613.8K0.379.026,9522,601245,93496,080
2009-01-14$24.08$26.0067.3%18.5%48.9%53.3%62.9%13.7%-2.0%1.9M41.7M-587.5K1.1010.752,9203,205250,44095,650
2009-01-15$24.89$26.0061.6%17.7%49.6%47.0%61.7%14.8%-0.8%3.5M13.8M-605.0K0.219.968,1251,723250,69495,837
2009-01-16$25.50$25.0058.7%16.8%49.7%43.8%55.4%12.9%0.4%3.8M-24.5M-601.1K0.6310.888,1235,138252,15696,144
2009-01-20$24.16$25.0062.8%18.0%51.5%48.4%62.4%12.9%0.1%924.8K-14.9M-579.7K0.319.803,7741,16779,71341,914
2009-01-21$25.05$25.0056.8%16.3%48.0%41.8%55.5%12.6%1.5%1.2M-25.8M-600.9K1.3312.682,6513,52782,47442,478
2009-01-22$27.19$25.0048.7%14.0%55.6%33.0%48.3%11.1%2.8%1.8M-57.5M-660.4K0.6018.1616,5339,91683,64244,666
2009-01-23$28.04$25.0047.2%13.5%56.4%31.3%45.3%13.3%3.3%2.2M-82.0M-746.6K0.3316.656,0472,02294,16352,375
2009-01-26$28.15$25.0045.1%12.9%56.4%29.0%44.0%9.1%3.7%2.6M-87.6M-747.0K0.3718.312,54092897,35953,152
2009-01-27$29.08$25.0047.8%13.7%57.2%32.0%46.7%13.0%2.2%2.6M-110.0M-767.7K0.1515.9221,5293,16199,31653,364
2009-01-28$29.99$26.0042.8%12.3%56.5%26.5%42.2%16.8%3.2%3.7M-145.8M-815.6K0.3416.228,5652,948111,07955,622
2009-01-29$28.69$26.0045.7%13.1%56.4%29.7%47.6%9.9%2.6%3.9M-118.3M-847.4K1.4214.972,5263,575116,23156,477
2009-01-30$28.33$26.0046.9%13.5%56.3%31.1%43.9%7.7%3.0%3.7M-103.7M-830.0K0.3514.641,586554115,78758,507