UNH Options History — November 2010

In November 2010, UNH traded between $35.01 and $37.47. ATM implied volatility averaged 30.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.7% (HV 20d: 26.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-11-19: Highest Volume — 83,002 contracts
  • 2010-11-19: Largest IV spike — 18.4% change
  • 2010-11-19: Highest IV Rank — 59.6%
  • 2010-11-19: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.38$35.01$37.47$36.11$36.52
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.4%27.0%35.2%29.6%32.1%
Expected Move8.7%7.9%10.1%8.5%9.2%
HV 20d26.8%20.8%31.2%30.0%21.9%
HV 60d24.5%23.2%25.8%25.3%23.2%
IV Rank36.3%20.6%59.6%30.0%44.6%
IV Percentile46.1%21.8%77.4%38.1%58.3%
Term Structure-0.5%-3.2%0.9%-2.5%-1.0%
VWIV31.1%27.4%35.5%29.9%32.9%
Skew 25d3.5%2.2%6.4%3.8%2.9%
Skew 10d7.5%4.8%13.6%6.9%5.0%
Call IV 25d29.4%26.1%32.3%28.1%31.7%
Put IV 25d32.9%29.5%38.6%31.9%34.7%
Bid-Ask Spread %9.935.9814.029.299.04
Gamma HHI0.180.140.520.150.14
Net GEX12.4M9.1M23.8M10.6M11.1M
Net DEX-329.2M-458.5M-172.8M-295.7M-323.0M
Net VEX-1.8M-1.9M-1.7M-1.9M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.221.540.780.36
Total Volume23,310.8574,66483,0028,87126,997
Total OI401,070.476369,681427,027371,759387,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$36.11$35.0029.6%8.5%30.0%30.0%29.9%3.8%-2.5%10.6M-295.7M-1.9M0.789.294,9973,874211,761159,998
2010-11-02$37.00$35.0032.9%9.4%30.6%44.2%34.6%4.6%-3.2%10.7M-374.9M-1.8M0.676.5330,19320,131213,075162,045
2010-11-03$36.66$35.0027.5%7.9%28.1%20.6%28.3%3.0%-0.6%13.5M-380.7M-1.8M0.356.9623,9248,326230,013170,914
2010-11-04$36.80$35.0029.1%8.3%28.0%27.6%30.3%2.9%-0.9%13.3M-403.3M-1.9M0.897.4613,10311,626230,841169,172
2010-11-05$36.86$35.0027.0%7.9%28.0%20.8%27.4%3.5%0.8%12.6M-410.9M-1.8M0.409.9910,0504,004232,446175,968
2010-11-08$37.12$35.0027.3%7.9%27.9%22.2%27.9%3.5%0.9%13.9M-432.5M-1.8M0.888.245,9085,201234,121176,607
2010-11-09$36.98$35.0027.1%7.9%27.9%21.1%29.1%3.3%0.9%12.5M-404.7M-1.8M0.7912.283,3302,634232,257178,840
2010-11-10$37.16$35.0028.5%8.2%27.8%27.6%29.3%3.5%0.7%13.1M-425.8M-1.8M1.2111.5114,32517,396233,018178,514
2010-11-11$37.47$35.0028.5%8.2%27.6%27.8%29.9%3.5%0.8%12.6M-458.5M-1.8M0.478.284,6802,180238,116187,945
2010-11-12$36.67$35.0029.6%8.5%28.9%32.9%30.1%4.2%0.6%11.8M-370.4M-1.8M0.5010.1113,2216,583238,209188,818
2010-11-15$35.47$35.0031.1%8.9%31.2%40.1%31.1%3.4%-0.2%13.0M-232.5M-1.8M0.5512.2213,9437,641242,636180,605
2010-11-16$35.01$35.0031.1%8.9%30.1%40.3%31.4%3.4%-0.1%11.8M-172.8M-1.7M1.5410.375,8248,948242,528182,031
2010-11-17$35.33$35.0031.6%9.1%26.4%42.3%31.8%3.3%-0.2%12.5M-214.0M-1.7M0.4911.0919,9059,741240,876179,117
2010-11-18$35.63$35.0029.8%8.5%26.6%33.7%30.3%2.6%0.3%13.3M-261.3M-1.7M0.2210.0616,8713,792242,676181,131
2010-11-19$36.00$35.0035.2%10.1%25.7%59.6%35.5%6.4%-2.0%23.8M-299.0M-1.7M0.4614.0256,82426,178240,247181,845
2010-11-22$36.46$35.0031.6%9.1%25.9%42.3%31.5%3.7%-0.9%10.6M-313.9M-1.7M0.668.5726,87917,862211,127158,554
2010-11-23$36.05$35.0032.9%9.4%26.2%48.5%33.0%3.5%-1.0%9.1M-269.3M-1.8M0.645.985,7433,649211,482165,389
2010-11-24$36.18$35.0030.8%8.8%20.8%38.8%31.7%3.7%-0.0%10.0M-284.6M-1.7M0.8910.913,6303,238212,064163,484
2010-11-26$35.88$35.0032.9%9.4%20.8%48.6%33.6%3.7%-1.0%9.7M-258.5M-1.7M0.5413.063,0331,631213,439163,278
2010-11-29$36.59$35.0032.7%9.4%21.9%47.9%33.5%2.2%-2.1%11.0M-327.3M-1.7M0.6512.4813,0768,437215,076164,570
2010-11-30$36.52$35.0032.1%9.2%21.9%44.6%32.9%2.9%-1.0%11.1M-323.0M-1.7M0.369.0419,9237,074219,810167,837