UNH Options History — September 2009

In September 2009, UNH traded between $25.04 and $29.34. ATM implied volatility averaged 47.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 9.5% (HV 20d: 38.2%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2009-09-15: Highest Volume — 68,414 contracts
  • 2009-09-08: Largest IV spike — 14.9% change
  • 2009-09-10: Highest IV Rank — 23.6%
  • 2009-09-08: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.74$25.04$29.34$27.33$25.04
Max Pain$28.05$27.00$29.00$28.00$27.00
ATM IV47.7%43.7%52.2%46.3%51.0%
Expected Move14.0%12.5%15.9%13.3%14.6%
HV 20d38.2%30.3%43.6%30.3%43.6%
HV 60d36.0%33.5%37.9%36.4%35.8%
IV Rank17.7%12.4%23.6%15.9%22.1%
IV Percentile28.5%13.1%44.0%22.6%44.0%
Term Structure0.4%-4.4%9.0%9.0%1.0%
VWIV48.6%43.7%55.7%47.6%50.5%
Skew 25d6.8%4.3%9.1%4.3%4.9%
Skew 10d11.6%6.5%16.4%7.4%6.5%
Call IV 25d45.7%41.5%51.8%44.6%48.6%
Put IV 25d52.5%48.6%59.9%48.9%53.5%
Bid-Ask Spread %10.247.0716.367.0712.31
Gamma HHI0.140.120.220.130.14
Net GEX4.6M1.2M8.0M3.3M2.6M
Net DEX-109.3M-260.0M61.3M-79.5M55.7M
Net VEX-1.5M-1.7M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.171.691.640.21
Total Volume26,662.9527,20468,41429,18561,417
Total OI433,306.048347,750521,911397,657441,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$27.33$28.0046.3%13.3%30.3%15.9%47.6%4.3%9.0%3.3M-79.5M-1.5M1.647.0711,06218,123232,035165,622
2009-09-02$28.66$28.0047.0%13.5%32.6%16.7%46.7%4.7%7.2%3.9M-161.8M-1.6M0.8610.358,8137,538238,627180,151
2009-09-03$28.87$28.0045.9%13.2%32.3%15.4%47.0%5.5%8.0%4.2M-175.8M-1.7M0.969.625,9155,682241,353183,274
2009-09-04$28.88$29.0043.7%15.1%31.8%12.4%51.6%9.1%-2.6%4.2M-172.6M-1.6M0.557.634,6572,547239,856182,707
2009-09-08$27.84$29.0050.2%15.9%34.3%21.0%55.7%8.1%-4.3%3.4M-95.7M-1.5M0.378.0820,1917,536241,782183,918
2009-09-09$28.40$28.0048.9%15.8%33.6%19.3%54.2%8.6%-4.4%4.8M-153.1M-1.6M0.228.1923,6475,208255,883186,627
2009-09-10$29.11$28.0052.2%15.0%34.6%23.6%51.1%8.3%-3.4%7.0M-238.4M-1.6M0.848.1412,85210,832273,548189,227
2009-09-11$29.07$28.0050.2%14.4%34.0%21.0%50.1%8.0%-1.8%7.3M-229.8M-1.7M1.149.584,5735,204279,187195,186
2009-09-14$28.76$28.0050.8%14.6%34.0%21.8%51.1%8.8%-2.7%7.2M-197.2M-1.6M1.6911.115,1398,666280,062197,193
2009-09-15$27.70$28.0049.3%14.1%36.2%19.8%50.1%8.0%-2.2%5.0M-88.7M-1.5M1.5411.4926,89041,524280,810203,003
2009-09-16$29.29$28.0047.1%13.5%41.3%16.9%48.2%7.2%-1.0%8.0M-260.0M-1.6M1.0711.1121,45422,887293,847223,296
2009-09-17$29.34$28.0047.0%13.5%41.3%16.8%48.0%6.9%-0.6%8.0M-253.7M-1.6M0.4412.0910,0964,482294,821227,090
2009-09-18$28.58$28.0044.8%12.8%42.4%13.9%45.1%6.2%0.3%5.2M-159.9M-1.6M0.4412.939,8094,274294,021219,095
2009-09-21$28.59$28.0043.7%12.5%41.9%12.4%43.7%7.3%1.9%5.7M-133.3M-1.5M0.7316.368,8126,396220,444127,306
2009-09-22$27.58$28.0047.1%13.5%42.4%16.9%47.2%6.4%-0.6%4.5M-74.5M-1.5M1.129.649,31810,421224,932129,767
2009-09-23$26.68$28.0047.1%13.5%43.4%17.0%46.0%6.2%-0.2%3.3M-15.9M-1.4M1.059.0614,87015,674228,292132,610
2009-09-24$26.03$28.0048.5%13.9%42.7%18.7%47.6%7.3%-1.3%2.2M27.3M-1.4M0.529.2617,1228,959235,146142,304
2009-09-25$25.34$28.0047.8%13.7%43.4%17.8%46.0%5.2%2.2%1.2M61.3M-1.4M0.197.5436,9477,175243,141147,612
2009-09-28$25.80$28.0046.0%13.2%43.5%15.4%45.0%5.5%1.6%2.7M24.8M-1.5M0.1711.2813,5492,357268,166149,882
2009-09-29$25.68$28.0047.7%13.7%43.5%17.7%47.7%6.4%1.7%2.8M24.9M-1.5M0.5112.3024,68812,616275,616150,760
2009-09-30$25.04$27.0051.0%14.6%43.6%22.1%50.5%4.9%1.0%2.6M55.7M-1.4M0.2112.3150,56510,852284,863156,365