UNH Options History — August 2009

In August 2009, UNH traded between $25.98 and $29.92. ATM implied volatility averaged 40.2%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.1% (HV 20d: 33.1%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2009-08-17: Highest Volume — 56,712 contracts
  • 2009-08-13: Largest IV spike — 15.6% change
  • 2009-08-17: Highest IV Rank — 13.1%
  • 2009-08-17: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.99$25.98$29.92$27.36$28.00
Max Pain$26.29$25.00$28.00$25.00$28.00
ATM IV40.2%34.3%44.2%42.1%44.1%
Expected Move11.8%11.1%12.7%12.1%12.7%
HV 20d33.1%28.2%35.7%35.1%29.5%
HV 60d37.4%36.4%38.2%38.1%37.0%
IV Rank7.0%0.0%13.1%7.3%13.0%
IV Percentile7.5%0.0%15.5%11.1%15.1%
Term Structure5.0%0.2%10.1%1.5%8.4%
VWIV41.4%38.2%46.1%41.5%44.6%
Skew 25d4.9%3.5%6.0%4.5%3.6%
Skew 10d10.3%4.3%19.3%10.2%8.0%
Call IV 25d38.8%36.5%41.8%39.9%41.8%
Put IV 25d43.8%41.6%46.8%44.4%45.5%
Bid-Ask Spread %12.397.8817.5117.5110.15
Gamma HHI0.170.110.430.150.15
Net GEX7.2M4.0M12.8M7.1M4.5M
Net DEX-205.5M-297.2M-86.3M-192.9M-122.7M
Net VEX-1.4M-1.6M-1.3M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.105.350.265.35
Total Volume13,578.8572,93456,7127,4544,357
Total OI403,903.048316,744433,992414,760401,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$27.36$25.0042.1%12.1%35.1%7.3%41.5%4.5%1.5%7.1M-192.9M-1.6M0.2617.515,9271,527262,942151,818
2009-08-04$26.93$25.0040.7%11.7%32.9%5.5%41.5%5.2%2.2%6.9M-158.5M-1.6M0.9214.441,6681,532263,600152,311
2009-08-05$26.18$25.0042.7%12.2%33.8%8.2%42.3%5.1%0.2%6.1M-103.6M-1.5M0.6414.032,3931,536263,536152,939
2009-08-06$25.98$25.0040.9%11.7%33.9%5.7%41.8%3.5%2.6%5.8M-86.3M-1.5M0.3513.805,3441,861261,149153,131
2009-08-07$26.51$26.0035.8%11.6%34.1%0.0%41.5%5.8%4.3%6.9M-128.0M-1.5M0.6614.084,1452,749263,380154,151
2009-08-10$27.07$26.0037.6%11.7%34.5%2.5%42.0%5.5%4.1%7.7M-174.4M-1.5M1.5911.561,5452,457264,444155,751
2009-08-11$27.82$26.0035.9%11.5%35.0%0.2%40.2%4.8%4.3%8.1M-233.3M-1.5M1.3011.472,9723,864264,034156,042
2009-08-12$27.79$26.0034.3%11.5%35.1%0.0%41.4%6.0%4.5%8.5M-237.3M-1.5M0.5311.433,7791,997264,368155,056
2009-08-13$28.37$26.0039.6%11.4%35.4%7.1%38.2%4.9%4.6%8.9M-288.8M-1.4M0.2212.586,2211,385264,409155,037
2009-08-14$28.06$26.0039.9%11.4%35.7%7.4%40.2%5.8%4.9%9.1M-260.8M-1.4M0.5313.881,9191,015266,108155,595
2009-08-17$28.48$26.0044.2%12.7%35.3%13.1%46.1%5.8%2.6%8.7M-297.2M-1.4M0.1011.0751,5535,159263,848155,471
2009-08-18$28.18$26.0042.9%12.3%34.8%11.3%44.0%4.4%3.6%9.7M-273.5M-1.4M0.3912.974,7751,848276,638157,354
2009-08-19$28.18$27.0042.4%12.2%34.5%10.7%42.9%5.2%4.7%8.4M-240.6M-1.3M1.6512.267,22211,912255,649157,081
2009-08-20$28.39$27.0042.0%12.0%31.9%10.2%41.3%4.8%4.2%6.0M-247.8M-1.3M0.4010.579,4803,804252,172162,440
2009-08-21$28.92$27.0039.9%11.4%32.4%7.4%39.4%4.7%6.4%12.8M-289.7M-1.3M0.3412.199,4653,186254,275164,280
2009-08-24$29.69$27.0040.8%11.7%33.3%8.5%41.7%5.8%5.8%4.0M-196.4M-1.3M0.2010.6743,9468,979185,760130,984
2009-08-25$29.92$27.0038.7%11.1%28.2%5.9%38.6%5.3%8.7%6.4M-261.2M-1.5M0.457.886,3892,879223,241137,586
2009-08-26$28.93$27.0039.2%11.2%29.6%6.5%40.2%4.7%8.1%5.9M-198.1M-1.5M3.2512.902,6928,743224,861139,294
2009-08-27$28.94$27.0039.6%11.4%29.3%7.0%40.0%4.3%10.1%5.5M-190.0M-1.5M2.4213.446,40715,523225,383145,336
2009-08-28$28.18$27.0041.2%11.8%30.9%9.1%40.8%3.8%8.7%4.5M-135.0M-1.5M0.9411.3010,83610,165229,930158,833
2009-08-31$28.00$28.0044.1%12.7%29.5%13.0%44.6%3.6%8.4%4.5M-122.7M-1.6M5.3510.156863,671237,322164,425