UNH Options History — February 2009

In February 2009, UNH traded between $19.65 and $29.74. ATM implied volatility averaged 52.9%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 6.4% (HV 20d: 59.3%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-02-26: Highest Volume — 80,298 contracts
  • 2009-02-23: Largest IV spike — 36.8% change
  • 2009-02-26: Highest IV Rank — 71.7%
  • 2009-02-26: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.07$19.65$29.74$29.15$19.65
Max Pain$25.87$25.00$27.50$26.00$25.00
ATM IV52.9%39.6%84.2%47.1%82.8%
Expected Move15.4%12.4%24.1%13.5%23.8%
HV 20d59.3%41.7%81.2%55.7%80.7%
HV 60d64.6%56.9%69.3%69.3%67.8%
IV Rank37.6%23.0%71.7%31.3%70.3%
IV Percentile62.3%32.9%92.5%59.1%90.9%
Term Structure1.3%-12.6%5.1%1.8%-6.5%
VWIV53.0%42.8%81.9%47.7%80.7%
Skew 25d11.6%7.4%17.3%10.9%16.1%
Skew 10d24.3%18.8%34.3%28.5%34.3%
Call IV 25d47.9%35.6%75.1%39.9%75.0%
Put IV 25d59.4%47.7%92.3%50.8%91.1%
Bid-Ask Spread %14.5511.0519.3213.6813.66
Gamma HHI0.150.080.240.160.11
Net GEX3.7M-316.7K6.0M4.0M-316.7K
Net DEX-69.0M-150.1M96.8M-130.0M96.8M
Net VEX-870.3K-979.5K-662.3K-838.4K-739.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.091.840.240.72
Total Volume15,928.3682,81180,2986,91016,218
Total OI209,283.053175,424278,047175,424278,047

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$29.15$26.0047.1%13.5%55.7%31.3%47.7%10.9%1.8%4.0M-130.0M-838.4K0.2413.685,5611,349116,71758,707
2009-02-03$29.74$26.0043.3%12.4%55.6%27.1%45.2%13.3%3.3%4.2M-150.1M-841.7K0.3913.895,8132,292119,33659,331
2009-02-04$28.98$26.0045.6%13.1%55.7%29.5%43.8%7.5%2.3%4.4M-130.4M-840.8K1.7713.565,4799,710121,23459,897
2009-02-05$28.80$26.0044.3%12.7%55.7%28.1%42.8%7.4%3.1%4.3M-115.5M-898.2K1.1919.323,0153,596121,21768,388
2009-02-06$28.94$25.0042.6%13.2%55.5%26.3%46.1%11.7%4.3%4.5M-117.7M-903.9K0.3113.132,304708121,52170,637
2009-02-09$29.52$25.0040.1%12.6%55.5%23.6%43.9%10.2%4.5%5.1M-139.9M-902.1K0.3514.507,8642,765123,34870,799
2009-02-10$27.97$25.0045.1%13.2%58.0%29.0%44.8%11.1%5.0%5.0M-93.4M-878.6K1.0713.925,8896,325129,02971,847
2009-02-11$28.55$26.0039.6%12.7%58.0%23.0%43.5%10.6%5.1%5.5M-106.5M-906.1K0.4214.396,1072,555130,22775,707
2009-02-12$29.48$26.0049.3%14.1%54.5%33.6%49.7%10.3%2.6%6.0M-143.6M-948.9K1.8414.735,2359,613132,07277,714
2009-02-13$28.96$26.0047.5%13.6%54.6%31.7%49.8%9.3%4.6%5.6M-119.5M-979.5K1.0815.111,7181,853132,71985,176
2009-02-17$28.42$26.0052.7%15.1%55.0%37.3%55.1%10.2%0.8%5.3M-98.5M-940.1K1.3114.822,5963,406133,74985,472
2009-02-18$28.33$26.0050.6%14.5%50.5%35.1%55.7%9.1%3.7%5.3M-93.7M-927.9K1.2214.551,2651,546134,39985,979
2009-02-19$28.65$26.0049.8%14.3%49.4%34.2%50.6%8.5%2.9%6.0M-104.3M-916.3K0.0916.159,936936134,37187,026
2009-02-20$27.98$26.0048.1%13.8%41.7%32.3%47.6%10.0%3.8%4.2M-81.9M-885.4K0.8317.3720,50717,036136,48187,230
2009-02-23$23.82$27.5065.7%18.8%69.9%51.6%63.8%17.0%-1.5%93.3K39.6M-815.7K0.8513.3214,54812,416110,05287,994
2009-02-24$24.21$26.0062.5%17.9%70.3%48.0%55.5%15.5%-1.4%352.6K32.1M-877.0K0.6015.3011,8517,077117,75393,472
2009-02-25$23.03$26.0064.8%18.6%70.1%50.5%58.7%13.7%-1.3%134.7K55.3M-834.0K0.1613.9511,4251,827126,81498,514
2009-02-26$20.07$26.0084.2%24.1%81.2%71.7%81.9%17.3%-12.6%-277.3K89.2M-662.3K1.2511.0535,71944,579134,33799,065
2009-02-27$19.65$25.0082.8%23.8%80.7%70.3%80.7%16.1%-6.5%-316.7K96.8M-739.4K0.7213.669,4516,767155,208122,839