UNH Options History — May 2009

In May 2009, UNH traded between $22.97 and $28.87. ATM implied volatility averaged 51.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 2.1% (HV 20d: 53.1%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-05-13: Highest Volume — 78,210 contracts
  • 2009-05-11: Largest IV spike — 22.4% change
  • 2009-05-13: Highest IV Rank — 45.1%
  • 2009-05-13: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.90$22.97$28.87$22.97$26.60
Max Pain$25.60$23.00$26.00$23.00$26.00
ATM IV51.0%44.8%60.4%53.1%44.8%
Expected Move14.4%12.9%16.2%15.2%12.9%
HV 20d53.1%47.4%57.0%51.1%53.2%
HV 60d72.6%59.2%78.7%75.0%59.6%
IV Rank35.0%27.9%45.1%37.8%27.9%
IV Percentile43.5%26.2%60.3%48.8%26.2%
Term Structure1.3%-1.2%4.0%1.1%4.0%
VWIV51.1%46.0%57.9%54.8%46.0%
Skew 25d7.7%4.4%10.1%7.4%4.4%
Skew 10d14.4%8.5%19.0%13.6%8.5%
Call IV 25d46.5%43.2%51.5%49.3%43.2%
Put IV 25d54.2%47.6%60.4%56.8%47.6%
Bid-Ask Spread %12.619.7517.3014.9212.93
Gamma HHI0.110.070.130.110.13
Net GEX2.3M-462.1K4.4M-462.1K3.6M
Net DEX-98.3M-169.4M34.0M34.0M-83.8M
Net VEX-1.2M-1.4M-851.2K-851.2K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.162.101.060.65
Total Volume16,040.253,31678,2104,79610,943
Total OI318,918.75255,533377,928255,533372,492

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$22.97$23.0053.1%15.2%51.1%37.8%54.8%7.4%1.1%-462.1K34.0M-851.2K1.0614.922,3232,473131,153124,380
2009-05-04$23.72$25.0054.5%15.1%50.7%39.4%51.5%10.1%-1.2%37.7K11.5M-867.9K0.7717.302,8192,169131,848125,020
2009-05-05$25.56$25.0047.2%14.4%52.2%31.3%49.6%8.8%1.4%1.2M-49.3M-942.6K0.6914.5010,5087,291133,364124,416
2009-05-06$25.93$25.0048.0%14.5%47.4%32.2%51.9%8.7%1.2%1.5M-62.4M-1.0M0.6114.373,8682,358139,861129,874
2009-05-07$28.39$25.0049.5%14.2%54.8%33.8%49.3%6.9%1.4%1.8M-144.9M-1.0M0.3711.0914,2815,296140,875130,191
2009-05-08$28.87$25.0047.4%13.7%53.6%31.5%48.8%7.4%1.4%2.1M-167.0M-1.1M0.839.7519,08615,915147,199132,510
2009-05-11$27.59$26.0058.0%15.0%56.8%43.1%51.8%7.2%-0.1%2.0M-117.5M-1.2M0.9711.616,8346,616158,071145,225
2009-05-12$27.32$26.0059.7%15.4%57.0%44.9%56.4%8.3%-1.0%1.8M-101.8M-1.2M1.6413.243,5675,867158,777147,661
2009-05-13$27.66$26.0060.4%16.2%56.7%45.1%57.9%8.9%-0.9%1.9M-120.4M-1.2M0.6110.0948,46629,744159,336149,305
2009-05-14$27.80$26.0053.6%15.4%55.1%37.6%53.5%8.1%0.2%3.5M-169.4M-1.4M0.6212.248,6245,372197,509174,020
2009-05-15$27.51$26.0052.3%15.0%55.2%36.1%52.4%7.3%-0.3%3.1M-157.2M-1.4M0.4611.0311,5795,326200,770177,158
2009-05-18$27.81$26.0049.2%14.1%55.2%32.8%50.7%7.9%1.2%2.8M-117.2M-1.3M0.9110.358,5447,808175,468146,753
2009-05-19$27.46$26.0048.7%14.0%49.9%32.2%49.4%7.2%1.8%2.7M-105.6M-1.4M0.8512.127,2126,140182,254153,444
2009-05-20$27.78$26.0047.7%13.7%49.8%31.1%47.3%8.5%2.5%3.1M-124.9M-1.4M0.3211.894,1991,333185,942152,742
2009-05-21$26.92$26.0049.5%14.2%51.8%33.0%52.2%7.6%2.5%2.6M-83.2M-1.3M1.3712.622,7213,739186,886151,907
2009-05-22$26.30$26.0050.8%14.6%52.8%34.6%48.4%7.9%2.2%2.0M-51.5M-1.3M0.4410.532,9591,290187,414152,404
2009-05-26$27.19$26.0049.4%14.2%53.5%32.9%49.8%8.4%2.6%2.9M-93.5M-1.3M0.1614.9426,6594,302187,347153,154
2009-05-27$27.49$26.0048.8%14.0%52.4%32.3%51.6%7.9%3.0%4.4M-138.6M-1.4M1.2511.461,4771,839210,880154,180
2009-05-28$27.19$26.0046.8%13.4%52.8%30.1%48.1%5.9%3.3%4.4M-123.3M-1.4M2.1015.162,9896,269211,510155,075
2009-05-29$26.60$26.0044.8%12.9%53.2%27.9%46.0%4.4%4.0%3.6M-83.8M-1.3M0.6512.936,6244,319213,023159,469