UNH Options History — October 2009

In October 2009, UNH traded between $24.04 and $26.50. ATM implied volatility averaged 47.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 9.0% (HV 20d: 38.9%). Max pain ranged from $21.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-10-08: Highest Volume — 129,760 contracts
  • 2009-10-12: Largest IV spike — 22.2% change
  • 2009-10-12: Highest IV Rank — 38.4%
  • 2009-10-13: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.11$24.04$26.50$24.79$25.95
Max Pain$25.32$21.00$27.00$27.00$25.00
ATM IV47.9%37.2%63.4%52.7%42.7%
Expected Move13.8%10.7%16.1%15.1%12.2%
HV 20d38.9%35.5%41.5%39.0%41.4%
HV 60d37.2%35.6%38.4%35.6%38.4%
IV Rank17.9%3.9%38.4%24.3%11.1%
IV Percentile31.2%1.6%66.3%47.2%14.3%
Term Structure0.1%-3.9%4.3%-0.3%2.8%
VWIV47.7%37.6%56.1%52.4%41.9%
Skew 25d4.9%2.2%7.2%5.0%4.2%
Skew 10d8.8%0.4%13.2%7.2%8.3%
Call IV 25d45.7%35.4%53.0%50.7%40.8%
Put IV 25d50.6%39.0%60.2%55.7%45.1%
Bid-Ask Spread %11.818.2016.838.2013.86
Gamma HHI0.160.120.190.180.16
Net GEX6.4M2.2M9.7M3.8M9.0M
Net DEX-59.8M-219.6M94.2M36.5M-176.8M
Net VEX-1.7M-2.0M-1.4M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.231.670.960.45
Total Volume30,178.6367,733129,76027,55916,192
Total OI548,832.045478,008688,497478,008541,819

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$24.79$27.0052.7%15.1%39.0%24.3%52.4%5.0%-0.3%3.8M36.5M-1.5M0.968.2014,08913,470322,312155,696
2009-10-02$24.28$27.0051.5%14.8%38.9%22.8%53.1%2.2%2.4%2.9M68.6M-1.5M0.558.9613,8437,601327,413165,789
2009-10-05$24.04$27.0052.5%15.4%38.8%24.0%53.6%5.9%-2.7%2.2M94.2M-1.4M0.5612.6516,9219,438325,095169,826
2009-10-06$24.38$27.0050.7%15.1%38.2%21.6%51.6%5.7%-3.3%2.3M86.2M-1.5M0.6213.669,5335,929328,549173,180
2009-10-07$25.05$27.0049.1%14.9%38.9%19.5%50.9%5.9%-2.9%3.3M40.0M-1.5M0.2513.5830,1337,396328,537172,016
2009-10-08$24.16$26.0056.1%16.0%38.5%28.9%55.9%6.8%-1.7%2.8M84.7M-1.5M0.419.8292,30137,459348,283177,166
2009-10-09$24.67$21.0051.9%15.9%39.9%23.2%54.9%6.9%-3.1%7.7M-163.0M-2.0M0.678.7316,08010,797486,061202,436
2009-10-12$25.23$25.0063.4%16.0%41.3%38.4%55.3%6.0%-3.1%6.4M-76.1M-1.8M0.339.3328,9609,420416,494207,119
2009-10-13$24.29$25.0056.7%16.1%41.4%29.5%56.1%7.2%-3.9%4.7M27.2M-1.7M0.8210.0119,33115,832419,550211,373
2009-10-14$24.87$25.0053.5%15.5%36.2%25.4%54.5%4.5%-3.2%6.9M-23.9M-1.8M0.2313.6319,2584,373430,283218,067
2009-10-15$24.55$25.0053.0%15.2%36.0%24.7%52.6%5.4%-2.2%8.1M7.7M-1.7M0.5913.4211,0776,502440,679217,989
2009-10-16$24.45$25.0049.9%14.3%35.5%20.6%48.8%6.2%-0.2%7.1M25.5M-1.7M1.2312.9118,35222,598444,816217,016
2009-10-19$24.92$25.0042.6%12.2%36.6%10.9%42.2%3.9%1.4%6.2M-75.5M-1.6M0.6510.8215,76810,179333,850160,745
2009-10-20$25.96$25.0037.9%10.9%38.6%4.7%37.7%2.4%3.8%8.8M-169.5M-1.8M0.389.8732,46012,203337,480160,569
2009-10-21$25.12$25.0040.2%11.5%38.6%7.9%39.5%4.8%2.5%7.2M-93.7M-1.7M0.4912.2411,2095,539342,513165,151
2009-10-22$25.71$25.0038.3%11.0%38.8%5.3%38.0%4.1%3.3%8.4M-141.5M-1.7M0.399.999,5103,699342,874165,907
2009-10-23$25.85$25.0037.2%10.7%37.6%3.9%37.6%4.3%4.3%8.7M-150.1M-1.7M0.3811.025,6092,124343,772167,702
2009-10-26$25.31$25.0041.2%11.8%37.8%9.2%41.7%3.8%3.2%7.6M-106.8M-1.7M1.679.368,73814,560345,655167,207
2009-10-27$26.50$25.0044.5%12.8%41.2%13.5%43.6%4.8%0.8%9.4M-217.5M-1.8M0.2915.5638,44910,971347,332171,001
2009-10-28$25.88$25.0045.2%12.9%41.1%14.3%45.6%3.8%0.9%8.8M-171.5M-1.8M0.4116.8311,6284,813362,938174,671
2009-10-29$26.47$25.0042.2%12.1%41.5%10.5%42.4%4.0%3.0%9.7M-219.6M-1.9M0.3315.427,1832,403361,407175,967
2009-10-30$25.95$25.0042.7%12.2%41.4%11.1%41.9%4.2%2.8%9.0M-176.8M-1.8M0.4513.8611,1425,050365,586176,233