UNH Options History — December 2010

In December 2010, UNH traded between $35.05 and $38.05. ATM implied volatility averaged 27.5%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.8% (HV 20d: 21.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2010-12-02: Highest Volume — 109,984 contracts
  • 2010-12-13: Largest IV spike — 20.0% change
  • 2010-12-14: Highest IV Rank — 45.4%
  • 2010-12-06: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.30$35.05$38.05$37.67$36.11
Max Pain$33.36$33.00$35.00$35.00$34.00
ATM IV27.5%25.3%32.2%28.5%26.8%
Expected Move7.8%7.3%8.3%8.2%7.7%
HV 20d21.7%16.2%24.0%22.9%16.2%
HV 60d24.3%22.9%24.7%24.0%22.9%
IV Rank23.8%14.2%45.4%27.8%22.2%
IV Percentile26.9%9.9%62.7%33.7%23.8%
Term Structure1.1%-0.0%1.9%0.9%1.5%
VWIV28.2%25.4%33.9%29.5%27.4%
Skew 25d3.6%2.9%4.2%2.9%3.7%
Skew 10d7.4%4.8%9.0%5.9%7.8%
Call IV 25d26.0%24.2%28.2%28.2%25.4%
Put IV 25d29.6%27.6%31.1%31.1%29.1%
Bid-Ask Spread %8.935.3918.3711.215.39
Gamma HHI0.200.140.700.150.18
Net GEX15.0M10.1M38.0M14.0M12.4M
Net DEX-295.5M-539.5M-139.1M-460.0M-282.4M
Net VEX-1.7M-1.8M-1.5M-1.6M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.063.800.191.99
Total Volume19,265.2732,297109,98447,7332,297
Total OI386,528322,215448,680395,513350,229

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$37.67$35.0028.5%8.2%22.9%27.8%29.5%2.9%0.9%14.0M-460.0M-1.6M0.1911.2140,0467,687227,849167,664
2010-12-02$38.05$35.0027.3%7.8%22.8%22.1%33.9%3.0%1.6%16.7M-539.5M-1.7M0.069.80103,8706,114249,811170,193
2010-12-03$37.82$35.0026.6%7.6%23.0%18.8%29.8%3.7%1.8%16.0M-421.0M-1.7M0.567.205,6333,171230,820173,875
2010-12-06$37.29$33.0028.7%8.3%23.6%28.8%29.0%3.4%0.5%17.0M-385.8M-1.7M0.928.712,9672,740231,486174,783
2010-12-07$36.77$33.0029.2%8.0%24.0%31.1%28.0%3.8%0.8%15.9M-317.0M-1.7M2.319.358,09418,675231,463176,159
2010-12-08$36.84$33.0028.4%8.0%24.0%27.5%27.8%3.8%0.7%15.5M-335.8M-1.7M0.097.797,785710236,500181,839
2010-12-09$36.65$33.0026.6%7.8%24.0%18.5%27.5%3.8%0.6%15.2M-316.5M-1.8M1.398.062,6873,725242,443181,745
2010-12-10$36.67$33.0025.8%7.6%23.8%14.7%28.4%3.5%0.8%15.3M-313.7M-1.7M3.809.101,1124,227238,312182,607
2010-12-13$36.90$33.0030.9%8.1%22.6%39.1%29.2%3.3%-0.0%16.6M-350.7M-1.6M0.6918.377,1074,876238,138182,015
2010-12-14$36.50$33.0032.2%7.7%19.4%45.4%26.6%3.9%0.5%16.0M-303.5M-1.5M0.6010.409,2955,579238,995182,066
2010-12-15$35.45$33.0028.7%8.2%21.7%28.6%28.7%4.2%0.5%12.4M-157.0M-1.6M0.469.6025,80711,822243,986183,990
2010-12-16$35.61$33.0027.7%7.9%21.5%23.7%28.2%4.0%1.0%15.2M-203.6M-1.7M1.179.4111,98413,995258,300187,069
2010-12-17$35.05$33.0027.9%8.0%22.0%25.4%27.8%4.2%1.2%38.0M-139.1M-1.6M0.378.8028,42810,472265,784182,896
2010-12-20$35.18$33.0026.4%7.6%21.7%19.9%26.4%4.1%1.3%10.1M-202.4M-1.7M0.228.1311,3932,534203,503118,712
2010-12-21$35.33$33.0025.9%7.4%21.2%17.4%25.6%3.9%1.7%10.9M-218.7M-1.7M0.408.238,0903,205207,833120,310
2010-12-22$35.84$33.0025.3%7.3%21.6%14.2%25.4%3.3%1.9%12.2M-262.6M-1.8M0.388.724,4141,679211,906121,446
2010-12-23$35.77$33.0025.5%7.3%21.5%15.1%27.0%3.5%1.5%12.0M-257.7M-1.8M0.428.123,1071,307212,357122,406
2010-12-27$35.54$33.0026.9%7.7%21.5%22.9%29.3%3.6%0.9%11.4M-235.5M-1.7M0.957.473,7783,603212,602123,257
2010-12-28$35.72$33.0027.0%7.7%20.2%23.3%27.6%3.6%1.1%12.2M-256.2M-1.8M1.017.441,6541,669215,986125,803
2010-12-29$35.91$33.0026.1%7.5%20.4%18.2%27.0%3.1%1.6%12.7M-272.1M-1.8M1.267.7210,05412,670216,797127,239
2010-12-30$35.94$34.0026.3%7.5%16.6%19.4%29.4%3.3%1.5%12.2M-270.8M-1.8M3.787.447892,985217,555134,887
2010-12-31$36.11$34.0026.8%7.7%16.2%22.2%27.4%3.7%1.5%12.4M-282.4M-1.8M1.995.397691,528217,586132,643