UNH Options History — March 2009

In March 2009, UNH traded between $16.35 and $22.05. ATM implied volatility averaged 81.9%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 15.8% (HV 20d: 97.6%). Max pain ranged from $17.00 to $24.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-03-02: Highest Volume — 48,994 contracts
  • 2009-03-12: Largest IV drop — 10.4% change
  • 2009-03-09: Highest IV Rank — 95.0%
  • 2009-03-03: Largest Expected Move — 29.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.00$16.35$22.05$17.48$20.93
Max Pain$18.73$17.00$24.00$24.00$19.00
ATM IV81.9%65.5%105.4%99.1%72.7%
Expected Move23.0%18.8%29.0%28.4%20.8%
HV 20d97.6%74.9%111.0%87.8%75.0%
HV 60d75.4%71.9%77.2%71.9%76.0%
IV Rank69.2%51.3%95.0%88.1%59.2%
IV Percentile84.6%72.2%99.2%97.2%78.2%
Term Structure-6.1%-14.7%3.4%-9.6%-0.4%
VWIV81.7%68.0%101.7%97.1%73.3%
Skew 25d15.2%12.2%20.7%13.4%13.7%
Skew 10d29.5%22.5%40.2%30.1%22.5%
Call IV 25d73.2%59.7%94.3%93.5%65.9%
Put IV 25d88.4%73.2%113.1%107.0%79.6%
Bid-Ask Spread %13.898.5419.3811.3516.50
Gamma HHI0.100.070.140.120.10
Net GEX535.2K-636.5K1.9M-636.5K909.7K
Net DEX36.2M-27.4M120.7M120.7M7.9M
Net VEX-812.2K-946.7K-598.3K-605.5K-819.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.053.130.391.64
Total Volume12,722.3184,08948,99448,9947,243
Total OI313,816.909245,728363,342288,173255,530

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$17.48$24.0099.1%28.4%87.8%88.1%97.1%13.4%-9.6%-636.5K120.7M-605.5K0.3911.3535,22013,774159,747128,426
2009-03-03$17.80$24.00101.3%29.0%87.1%90.5%97.1%13.1%-11.7%-268.1K100.0M-707.1K0.568.5410,9446,093180,543134,334
2009-03-04$17.96$24.0099.3%28.5%86.4%88.3%91.8%18.8%-12.4%-244.2K98.3M-712.6K0.6211.014,8022,972185,536137,299
2009-03-05$16.35$24.0099.2%28.4%89.8%88.1%101.7%18.8%-5.1%-318.0K118.8M-598.3K0.829.0010,5078,592188,207138,353
2009-03-06$17.90$17.0097.3%25.6%99.1%86.0%83.5%18.4%-13.1%-242.7K94.5M-741.9K0.4812.084,2282,015195,455144,564
2009-03-09$17.79$17.00105.4%26.8%98.7%95.0%97.9%20.7%-14.7%-273.1K95.5M-724.5K0.4410.325,7992,578195,816144,639
2009-03-10$19.31$17.0094.9%24.7%104.7%83.5%86.8%17.5%-10.6%-111.6K67.9M-812.8K1.7113.572,7424,694195,554145,658
2009-03-11$19.12$17.0090.2%24.2%104.0%78.4%78.8%17.6%-9.4%-223.4K71.2M-804.6K0.4812.718,0913,864195,875146,640
2009-03-12$20.41$17.0080.8%23.2%107.5%68.1%83.7%15.5%-9.2%263.2K38.9M-876.9K0.5013.4013,4596,723200,595147,807
2009-03-13$21.36$17.0077.2%22.1%108.4%64.1%82.6%14.8%-7.9%817.3K6.1M-946.7K0.7113.318,4776,030204,503150,590
2009-03-16$20.68$17.0076.9%22.1%108.5%63.8%81.9%16.4%-8.8%456.6K26.2M-867.5K0.4911.389,6544,689207,287150,123
2009-03-17$21.54$17.0072.2%20.7%110.4%58.6%80.3%13.1%-6.5%1.5M-6.8M-918.9K0.5913.687,9644,696213,145150,107
2009-03-18$21.95$17.0072.5%20.8%111.0%58.9%74.8%14.5%-6.8%1.9M-18.9M-921.7K1.4617.674,4506,476211,328151,429
2009-03-19$21.30$18.0075.4%21.6%110.8%62.2%73.7%14.5%-7.3%1.3M6.1M-892.5K0.2015.853,782757210,691152,651
2009-03-20$20.63$18.0074.6%21.4%110.9%61.3%71.8%14.6%-6.2%687.2K20.1M-834.4K0.1915.5010,5722,017211,202152,085
2009-03-23$22.05$18.0068.3%19.6%100.1%54.4%73.3%12.7%-0.0%1.1M-27.4M-881.5K1.1917.534,8405,761145,94399,785
2009-03-24$21.12$18.0070.6%20.2%100.7%56.9%71.2%12.4%-0.3%1.0M-9.7M-837.4K0.5717.408,7905,030148,936101,316
2009-03-25$21.18$18.0068.4%19.6%99.5%54.5%70.2%12.2%1.0%1.1M-8.6M-844.2K0.8014.742,2691,820152,113104,519
2009-03-26$21.62$18.0065.5%18.8%86.3%51.3%81.7%13.5%2.0%1.2M-20.3M-880.3K0.1614.526,7331,052153,509105,293
2009-03-27$21.08$18.0067.4%19.3%86.5%53.4%68.0%13.2%3.4%1.1M414.9K-840.5K0.0516.138,994490149,217105,119
2009-03-30$20.54$18.0072.1%20.7%74.9%58.5%75.3%14.4%0.5%881.7K15.0M-798.6K3.1319.382,4747,734147,120105,383
2009-03-31$20.93$19.0072.7%20.8%75.0%59.2%73.3%13.7%-0.4%909.7K7.9M-819.2K1.6416.502,7474,496148,127107,403