UNH Options History — September 2010

In September 2010, UNH traded between $32.59 and $35.73. ATM implied volatility averaged 25.3%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.4% (HV 20d: 22.9%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2010-09-09: Highest Volume — 268,851 contracts
  • 2010-09-07: Largest IV spike — 10.6% change
  • 2010-09-09: Highest IV Rank — 7.7%
  • 2010-09-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.53$32.59$35.73$32.59$35.11
Max Pain$32.48$31.00$33.00$31.00$33.00
ATM IV25.3%23.7%26.9%25.4%23.7%
Expected Move7.3%6.8%7.9%7.3%6.8%
HV 20d22.9%17.4%28.1%26.1%17.4%
HV 60d23.7%22.4%24.5%23.8%22.4%
IV Rank3.7%0.0%7.7%3.1%0.0%
IV Percentile4.1%0.0%10.7%2.8%0.0%
Term Structure3.1%1.3%5.4%2.6%5.4%
VWIV25.9%24.1%29.2%26.2%24.3%
Skew 25d3.8%2.4%4.9%3.4%2.4%
Skew 10d9.2%5.8%11.2%11.0%5.8%
Call IV 25d24.3%22.8%26.2%25.0%23.0%
Put IV 25d28.2%25.4%30.8%28.4%25.4%
Bid-Ask Spread %5.393.937.217.034.76
Gamma HHI0.170.120.450.170.13
Net GEX8.6M5.2M15.0M6.8M7.2M
Net DEX-232.8M-294.7M-176.8M-176.8M-220.4M
Net VEX-1.8M-2.0M-1.7M-1.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.012.130.350.77
Total Volume23,124.811,659268,8512,4705,368
Total OI328,000.476245,240367,107364,428316,552

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$32.59$31.0025.4%7.3%26.1%3.1%26.2%3.4%2.6%6.8M-176.8M-1.8M0.357.031,827643213,965150,463
2010-09-02$32.86$31.0024.9%7.1%25.6%1.7%26.2%3.5%2.9%7.6M-200.1M-1.8M0.904.67872787214,439150,476
2010-09-03$33.91$32.0023.8%7.5%28.1%0.0%27.0%4.7%1.6%9.2M-270.1M-1.8M2.135.983,6247,737214,475150,360
2010-09-07$33.78$32.0026.3%7.8%28.1%6.4%29.2%4.9%1.4%10.5M-289.1M-1.7M0.525.552,7451,439214,742147,270
2010-09-08$33.85$32.0025.6%7.9%28.0%4.5%28.6%4.6%1.3%10.6M-294.7M-1.7M0.535.026,6453,545214,396147,613
2010-09-09$34.02$32.0026.9%7.7%23.3%7.7%27.1%4.6%1.6%10.0M-291.9M-1.7M0.015.60266,4812,370217,719149,388
2010-09-10$34.49$32.0026.7%7.6%23.6%7.2%25.9%4.2%1.6%9.9M-227.1M-1.7M0.997.214,4764,441187,839149,661
2010-09-13$34.72$32.0025.9%7.4%23.5%5.2%26.1%4.2%1.6%11.2M-247.9M-1.7M0.514.699,9975,092189,565151,746
2010-09-14$34.61$32.0025.5%7.3%23.5%4.4%26.4%4.3%2.0%12.0M-245.9M-1.7M0.396.106,5482,532192,187154,302
2010-09-15$34.27$33.0026.7%7.7%23.6%7.3%25.9%4.1%1.8%11.5M-220.9M-1.7M0.524.914,8402,514191,404155,465
2010-09-16$34.24$33.0026.3%7.5%23.6%6.2%26.3%4.2%1.9%10.2M-216.9M-1.7M0.394.575,4552,143191,912156,633
2010-09-17$34.13$33.0025.6%7.3%21.7%4.5%25.2%4.2%2.8%15.0M-208.8M-1.7M0.266.357,2851,896189,587157,171
2010-09-20$34.93$33.0024.4%7.0%22.5%1.5%24.1%3.8%3.3%5.2M-194.8M-1.7M0.925.3318,54617,094142,783102,457
2010-09-21$35.26$33.0024.3%7.0%22.3%1.2%24.3%3.6%3.7%5.6M-216.3M-1.9M0.395.278,9313,521158,292117,744
2010-09-22$35.68$33.0024.3%7.0%21.1%1.3%24.9%2.9%4.6%5.9M-244.7M-1.9M0.194.8516,8003,138164,586119,603
2010-09-23$35.44$33.0026.4%7.6%19.9%6.7%26.6%3.2%4.8%6.7M-243.3M-2.0M0.425.5414,8766,235174,961121,370
2010-09-24$35.73$33.0024.1%6.9%19.6%0.7%24.8%2.8%5.0%6.8M-246.8M-1.9M1.034.585,4835,672173,468125,447
2010-09-27$35.35$33.0025.7%7.4%20.0%4.8%26.0%3.7%4.7%6.5M-224.8M-1.9M0.745.391,5961,176174,970128,589
2010-09-28$35.04$33.0024.1%6.9%19.4%0.6%24.6%3.4%5.0%6.4M-200.4M-1.9M1.325.774,6536,155175,056128,846
2010-09-29$35.20$33.0024.5%7.0%19.0%1.8%24.9%3.4%5.1%6.4M-207.3M-2.0M0.153.939,0461,397177,856132,652
2010-09-30$35.11$33.0023.7%6.8%17.4%0.0%24.3%2.4%5.4%7.2M-220.4M-2.0M0.774.763,0382,330183,986132,566