UNH Options History — May 2010

In May 2010, UNH traded between $28.70 and $30.44. ATM implied volatility averaged 35.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 5.2% (HV 20d: 30.4%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-05-20: Highest Volume — 41,495 contracts
  • 2010-05-06: Largest IV spike — 11.4% change
  • 2010-05-20: Highest IV Rank — 36.8%
  • 2010-05-20: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.59$28.70$30.44$30.26$29.07
Max Pain$30.15$30.00$31.00$31.00$30.00
ATM IV35.6%30.0%40.5%33.3%30.5%
Expected Move10.2%8.6%11.6%9.5%8.7%
HV 20d30.4%24.7%33.4%28.8%24.7%
HV 60d27.5%26.2%29.1%27.7%26.2%
IV Rank23.4%7.9%36.8%16.9%9.2%
IV Percentile30.8%7.1%57.5%15.5%8.3%
Term Structure1.3%-0.1%3.4%0.2%3.3%
VWIV35.1%29.8%38.7%33.0%30.8%
Skew 25d5.2%3.1%8.4%4.2%3.1%
Skew 10d10.9%4.6%18.0%8.8%4.6%
Call IV 25d33.6%28.5%37.5%31.4%29.5%
Put IV 25d38.8%32.4%45.8%35.6%32.7%
Bid-Ask Spread %6.284.5814.726.635.19
Gamma HHI0.120.090.150.130.15
Net GEX6.9M3.3M11.0M6.9M5.1M
Net DEX-17.7M-93.3M99.2M-48.9M17.0M
Net VEX-2.2M-2.4M-2.0M-2.1M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.121.550.480.39
Total Volume16,600.455,34941,49535,1345,953
Total OI470,898.5410,736510,799433,472430,911

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$30.26$31.0033.3%9.5%28.8%16.9%33.0%4.2%0.2%6.9M-48.9M-2.1M0.486.6323,77911,355279,972153,500
2010-05-04$29.49$31.0036.6%10.5%29.4%26.0%35.3%4.4%0.3%5.9M-1.5M-2.3M0.396.3611,8784,670298,498161,037
2010-05-05$30.00$31.0034.0%9.7%30.3%18.8%33.9%4.6%0.6%7.3M-41.0M-2.3M0.906.129,5788,664301,801160,466
2010-05-06$29.24$30.0037.8%10.8%31.2%29.4%37.7%3.2%-0.1%5.8M6.0M-2.3M0.6114.729,9266,057309,061164,445
2010-05-07$29.02$30.0040.4%11.5%31.1%36.6%38.7%5.4%0.4%5.6M14.7M-2.3M0.688.3816,61611,261312,806165,908
2010-05-10$29.88$30.0036.9%10.4%33.4%26.9%36.2%5.5%1.0%7.6M-37.1M-2.4M0.595.883,3711,978320,683172,470
2010-05-11$29.85$30.0036.2%10.4%33.4%24.9%35.9%5.0%0.9%7.8M-39.1M-2.4M1.066.294,8295,134323,639172,515
2010-05-12$30.32$30.0033.6%9.9%31.9%17.8%34.2%4.9%1.4%9.1M-72.8M-2.4M0.964.744,7584,573321,372172,387
2010-05-13$30.18$30.0034.4%9.9%31.6%19.9%33.4%4.8%1.5%8.8M-60.7M-2.4M1.155.263,2103,697322,028171,527
2010-05-14$30.39$30.0036.7%10.5%31.7%26.2%36.1%5.1%0.7%9.7M-91.2M-2.4M0.324.9914,8264,814323,378170,077
2010-05-17$30.44$30.0037.8%10.8%31.1%29.4%37.6%5.6%0.2%11.0M-93.3M-2.4M1.034.633,2923,377331,146170,971
2010-05-18$30.18$30.0036.4%10.4%31.1%25.6%35.8%5.7%1.0%10.0M-61.5M-2.3M0.855.853,4412,914332,512171,072
2010-05-19$29.99$30.0036.6%10.5%30.1%26.2%36.0%6.2%1.3%8.9M-39.0M-2.3M0.374.7515,1435,531332,954170,606
2010-05-20$28.96$30.0040.5%11.6%32.3%36.8%37.7%8.4%0.4%5.3M55.2M-2.2M0.317.3531,5619,934339,501171,298
2010-05-21$28.70$30.0037.7%10.8%31.6%29.2%38.3%8.0%2.2%3.3M99.2M-2.1M1.555.946,50710,094328,806176,126
2010-05-24$28.83$30.0035.7%10.2%29.3%23.6%35.2%6.0%1.7%4.5M2.4M-2.1M0.524.5812,2416,374273,979136,757
2010-05-25$28.87$30.0034.7%9.9%29.4%20.7%34.7%5.4%2.9%4.6M6.0M-2.1M1.094.705,6286,142281,070141,153
2010-05-26$28.79$30.0032.7%9.4%28.1%15.4%32.0%4.1%2.5%3.9M30.6M-2.0M0.128.1220,2582,359283,491144,486
2010-05-27$29.32$30.0030.0%8.6%26.9%7.9%29.8%3.9%3.4%5.8M1.5M-2.0M0.825.188,9287,358281,680141,881
2010-05-28$29.07$30.0030.5%8.7%24.7%9.2%30.8%3.1%3.3%5.1M17.0M-2.0M0.395.194,2971,656285,204145,707