UNH Options History — April 2009

In April 2009, UNH traded between $20.54 and $25.11. ATM implied volatility averaged 62.3%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 5.7% (HV 20d: 56.6%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.99.

Notable Days

  • 2009-04-24: Highest Volume — 39,182 contracts
  • 2009-04-21: Largest IV drop — 12.3% change
  • 2009-04-20: Highest IV Rank — 55.2%
  • 2009-04-20: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.20$20.54$25.11$20.68$23.52
Max Pain$21.71$19.00$23.00$19.00$23.00
ATM IV62.3%53.4%69.1%65.1%53.4%
Expected Move18.2%15.3%19.8%18.7%15.3%
HV 20d56.6%50.1%75.3%75.3%50.2%
HV 60d76.7%74.9%79.1%76.0%75.0%
IV Rank47.9%38.1%55.2%50.8%38.1%
IV Percentile64.6%49.2%74.6%70.2%49.2%
Term Structure-2.1%-6.7%4.4%4.4%1.0%
VWIV65.0%56.1%70.4%67.4%56.7%
Skew 25d10.6%6.8%13.3%12.7%6.8%
Skew 10d20.3%16.1%24.3%22.9%16.1%
Call IV 25d58.0%49.8%62.7%58.4%51.9%
Put IV 25d68.6%58.4%75.3%71.0%58.6%
Bid-Ask Spread %14.399.0918.6014.7518.60
Gamma HHI0.110.070.220.110.13
Net GEX917.2K-561.6K1.9M794.7K-561.6K
Net DEX-24.1M-114.6M25.8M17.8M20.1M
Net VEX-857.5K-929.3K-763.6K-792.1K-919.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.278.953.971.10
Total Volume13,647.6673,82939,18216,9564,469
Total OI254,237.571196,184288,459257,630269,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$20.68$19.0065.1%18.7%75.3%50.8%67.4%12.7%4.4%794.7K17.8M-792.1K3.9714.753,41413,542148,072109,558
2009-04-02$21.07$19.0066.1%19.0%65.2%52.0%66.7%12.4%4.1%889.5K9.0M-804.2K1.8412.242,2604,157149,544111,325
2009-04-03$20.54$19.0062.3%19.6%59.6%47.8%70.4%13.3%-3.8%767.8K24.5M-763.6K1.819.093,1725,746150,212111,721
2009-04-06$21.93$19.0064.5%19.7%62.8%50.2%68.9%11.4%-4.7%1.3M-15.3M-835.2K0.5813.235,6953,328151,333110,141
2009-04-07$23.45$20.0063.6%19.7%60.8%49.3%68.1%10.3%-4.8%1.8M-60.8M-914.6K0.6111.7619,41211,862152,799110,127
2009-04-08$22.86$21.0060.9%19.3%61.7%46.3%67.8%10.7%-3.6%1.5M-42.3M-895.6K0.509.984,7362,376158,956118,115
2009-04-09$23.86$21.0064.2%18.4%59.4%49.9%65.5%9.3%-2.7%1.7M-70.8M-926.8K2.3713.913,4368,143160,115120,424
2009-04-13$24.37$21.0068.0%19.5%58.0%54.0%68.8%10.5%-5.1%1.7M-89.2M-916.7K0.7915.025,6594,471160,132124,324
2009-04-14$24.50$22.0068.3%19.6%56.1%54.4%68.3%10.2%-5.4%1.8M-94.7M-918.3K1.3813.601,6072,222162,151126,308
2009-04-15$25.11$22.0065.2%18.7%55.2%51.0%65.5%10.2%-3.2%1.9M-114.6M-929.3K0.5013.908,5874,295161,614121,747
2009-04-16$24.36$23.0067.7%19.4%56.6%53.7%69.4%11.1%-4.4%1.8M-89.1M-868.8K1.4615.069,49713,849160,557121,728
2009-04-17$24.14$23.0066.5%19.1%55.4%52.4%65.3%10.9%-5.2%1.5M-80.1M-838.7K0.2716.719,3712,485165,252116,429
2009-04-20$24.21$23.0069.1%19.8%53.5%55.2%67.9%11.2%-6.7%648.7K-16.8M-839.4K0.7414.884,5843,398112,28083,904
2009-04-21$22.80$23.0060.5%17.4%54.0%45.9%59.6%8.0%-1.0%459.4K13.5M-769.5K1.4316.576,3759,129115,16886,239
2009-04-22$22.81$23.0058.1%16.6%51.4%43.2%56.9%9.5%-0.7%358.0K17.7M-781.0K0.7017.275,0623,532117,12392,156
2009-04-23$23.16$23.0055.1%15.8%51.5%39.9%56.1%8.6%0.6%443.8K14.9M-802.4K1.3414.943,8395,152120,38894,276
2009-04-24$23.06$23.0058.2%16.7%51.3%43.3%66.4%12.9%-1.1%441.8K14.5M-814.4K8.9516.923,93935,243122,23696,070
2009-04-27$23.01$23.0059.7%17.1%50.2%45.0%62.5%11.9%-1.5%-290.6K25.8M-855.5K0.9214.247,2636,711124,595118,526
2009-04-28$23.89$23.0057.7%16.5%50.2%42.8%62.5%11.6%-0.4%138.2K2.3M-909.5K3.1415.123,36410,553128,920120,728
2009-04-29$23.87$23.0055.0%15.8%50.1%39.9%63.7%9.9%0.1%46.4K6.4M-911.9K7.3814.402,46718,199129,783124,188
2009-04-30$23.52$23.0053.4%15.3%50.2%38.1%56.7%6.8%1.0%-561.6K20.1M-919.9K1.1018.602,1252,344130,423139,302