UNH Options History — October 2010

In October 2010, UNH traded between $33.95 and $37.57. ATM implied volatility averaged 26.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.8% (HV 20d: 23.6%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2010-10-14: Highest Volume — 39,289 contracts
  • 2010-10-14: Largest IV spike — 27.8% change
  • 2010-10-27: Highest IV Rank — 33.3%
  • 2010-10-13: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.70$33.95$37.57$35.43$36.05
Max Pain$34.71$33.00$35.00$33.00$35.00
ATM IV26.4%22.7%30.6%22.7%29.0%
Expected Move8.0%6.5%8.8%6.5%8.3%
HV 20d23.6%17.1%31.6%17.4%31.5%
HV 60d24.2%22.3%25.5%22.3%25.3%
IV Rank14.0%0.0%33.3%0.0%27.3%
IV Percentile17.1%0.0%44.0%0.0%35.3%
Term Structure-0.6%-2.4%5.7%5.7%-1.8%
VWIV28.1%22.6%31.9%22.6%28.7%
Skew 25d3.6%2.3%4.5%2.3%4.0%
Skew 10d7.6%5.1%8.8%5.1%7.5%
Call IV 25d26.8%21.8%29.7%21.8%27.5%
Put IV 25d30.4%24.0%33.5%24.0%31.5%
Bid-Ask Spread %6.114.0210.045.387.55
Gamma HHI0.170.130.460.130.15
Net GEX9.8M5.8M24.0M7.6M10.3M
Net DEX-271.5M-425.8M-129.2M-244.5M-289.4M
Net VEX-1.9M-2.0M-1.8M-1.9M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.223.221.091.45
Total Volume12,111.4763,37839,2899,8836,768
Total OI345,674.095319,447370,864319,447370,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$35.43$33.0022.7%6.5%17.4%0.0%22.6%2.3%5.7%7.6M-244.5M-1.9M1.095.384,7255,158185,373134,074
2010-10-04$34.54$35.0024.3%8.2%17.1%4.0%28.8%4.3%-0.2%6.7M-178.2M-1.9M0.604.324,3082,596186,061137,631
2010-10-05$35.07$35.0023.0%8.0%17.7%0.9%27.7%4.0%-0.0%7.1M-209.4M-1.9M1.114.231,6021,783187,156138,884
2010-10-06$33.95$35.0024.3%8.2%21.5%4.2%28.1%4.4%-0.2%5.8M-129.2M-1.9M1.664.373,0355,052187,464139,119
2010-10-07$34.34$35.0024.6%8.2%21.8%4.7%28.2%3.8%-0.3%6.4M-159.2M-1.9M0.344.024,6281,570188,569140,279
2010-10-08$34.35$35.0023.3%7.9%21.2%1.6%26.8%3.8%0.2%7.1M-162.3M-1.9M0.864.351,8171,561191,397140,665
2010-10-11$34.63$35.0024.5%7.9%21.3%4.6%27.9%3.3%-0.4%8.2M-186.2M-1.8M0.324.619,8113,102192,080141,268
2010-10-12$35.02$34.0023.9%7.9%21.7%3.0%28.0%3.0%-0.6%9.1M-219.9M-1.9M0.925.693,3033,036198,107142,262
2010-10-13$35.32$34.0024.0%8.8%21.5%3.9%30.5%3.1%-2.1%9.3M-253.9M-1.9M0.585.558,8685,146198,546143,324
2010-10-14$35.78$34.0030.6%8.8%21.8%25.8%31.9%3.8%-2.1%10.8M-307.4M-1.9M0.905.1120,70818,581206,627143,894
2010-10-15$35.98$35.0030.0%8.6%21.7%24.4%30.1%3.7%-2.0%24.0M-329.2M-1.9M0.395.367,7372,993211,314151,269
2010-10-18$36.25$34.0030.0%8.6%20.5%26.8%29.7%3.8%-2.4%9.2M-297.2M-1.9M1.026.199,80710,011196,252141,106
2010-10-19$35.30$35.0028.3%8.1%22.6%24.3%27.8%3.4%-0.9%8.4M-232.5M-1.9M0.379.8715,7175,886199,587144,376
2010-10-20$36.73$35.0026.0%7.5%26.4%14.5%25.8%2.8%-0.2%11.0M-351.6M-1.9M0.566.0915,0968,507204,603145,833
2010-10-21$36.49$35.0026.9%7.7%26.3%18.3%26.9%3.3%-0.1%11.0M-326.0M-2.0M0.226.588,7291,955208,740151,396
2010-10-22$37.26$35.0026.5%7.6%27.1%16.6%27.0%3.1%-0.4%10.6M-385.1M-1.9M0.257.798,8082,203204,174151,713
2010-10-25$37.56$35.0026.2%7.5%26.8%15.0%26.6%3.6%-0.8%11.6M-425.8M-1.8M0.426.057,2733,076207,942151,843
2010-10-26$37.57$35.0025.7%7.4%26.4%13.2%26.4%3.5%-0.5%11.7M-424.0M-1.8M1.0810.043,1783,422208,437152,713
2010-10-27$35.93$35.0030.4%8.7%31.5%33.3%30.4%4.5%-2.0%10.0M-284.8M-1.9M0.969.457,7337,436210,446154,714
2010-10-28$36.25$35.0029.2%8.4%31.6%28.2%29.8%4.0%-2.2%10.5M-306.0M-1.9M3.225.761,8035,813211,251157,803
2010-10-29$36.05$35.0029.0%8.3%31.5%27.3%28.7%4.0%-1.8%10.3M-289.4M-1.9M1.457.552,7574,011211,384159,480