UNH Options History — January 2011

In January 2011, UNH traded between $37.13 and $42.29. ATM implied volatility averaged 25.5%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.6% (HV 20d: 19.9%). Max pain ranged from $34.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-01-27: Highest Volume — 30,370 contracts
  • 2011-01-28: Largest IV spike — 9.2% change
  • 2011-01-10: Highest IV Rank — 25.9%
  • 2011-01-19: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.64$37.13$42.29$37.13$41.05
Max Pain$36.70$34.00$40.00$34.00$40.00
ATM IV25.5%22.6%27.5%26.5%26.2%
Expected Move7.3%6.5%7.8%7.6%7.5%
HV 20d19.9%16.1%29.0%19.4%29.0%
HV 60d22.9%20.5%23.8%23.5%23.6%
IV Rank15.2%0.0%25.9%20.3%19.3%
IV Percentile15.1%0.0%33.3%20.6%21.4%
Term Structure0.4%-0.9%1.3%1.3%-0.2%
VWIV25.9%23.2%27.9%26.9%27.0%
Skew 25d3.5%2.2%4.3%2.9%4.3%
Skew 10d7.8%4.7%9.6%5.3%8.9%
Call IV 25d24.0%21.4%25.9%25.7%24.7%
Put IV 25d27.6%25.2%29.9%28.6%29.1%
Bid-Ask Spread %5.673.478.497.774.44
Gamma HHI0.180.120.260.170.14
Net GEX12.9M5.2M18.2M14.6M5.2M
Net DEX-479.6M-679.8M-302.4M-369.1M-333.6M
Net VEX-1.6M-1.8M-1.4M-1.8M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.372.060.400.96
Total Volume12,741.13,81730,3709,0148,074
Total OI321,259.15202,293389,982350,998236,524

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$37.13$34.0026.5%7.6%19.4%20.3%26.9%2.9%1.3%14.6M-369.1M-1.8M0.407.776,4242,590217,747133,251
2011-01-04$37.47$34.0027.0%7.7%19.0%23.0%26.9%2.5%0.2%15.4M-402.1M-1.7M0.408.495,9142,361219,469133,719
2011-01-05$37.59$34.0025.6%7.3%18.3%15.9%25.8%2.5%0.5%16.0M-412.0M-1.7M0.378.094,3781,612220,069134,493
2011-01-06$38.37$34.0026.5%7.6%19.5%20.7%26.9%2.2%0.2%17.0M-472.9M-1.7M0.728.206,9775,049221,542134,703
2011-01-07$38.45$36.0025.7%7.6%19.3%16.5%26.5%3.6%1.0%16.7M-476.5M-1.7M0.645.454,8063,062220,018135,794
2011-01-10$38.45$36.0027.5%7.6%19.4%25.9%26.5%3.7%0.7%17.1M-479.3M-1.6M0.876.294,5023,897220,275136,632
2011-01-11$39.08$36.0026.8%7.3%19.9%22.3%26.3%3.8%0.6%17.4M-532.2M-1.6M0.485.975,8202,782221,941138,617
2011-01-12$38.86$36.0026.7%7.2%19.5%21.8%25.9%3.5%0.7%18.2M-524.4M-1.6M0.605.822,8881,726224,184139,021
2011-01-13$39.60$37.0024.6%7.1%16.1%10.7%25.0%3.5%0.4%17.6M-577.4M-1.6M0.526.3717,5409,199224,925139,277
2011-01-14$40.77$37.0024.5%7.0%18.2%9.9%25.6%3.4%0.7%14.7M-671.3M-1.5M0.655.029,0305,868227,073144,086
2011-01-18$40.88$37.0025.7%7.4%16.2%16.0%26.4%3.5%0.2%14.5M-679.8M-1.5M0.654.497,9115,114230,689142,283
2011-01-19$40.56$37.0027.2%7.8%17.1%24.3%27.9%4.0%-0.9%15.1M-651.3M-1.5M1.347.9811,39215,306232,101144,123
2011-01-20$40.31$37.0025.1%7.2%17.7%13.1%25.3%4.1%0.2%15.6M-646.3M-1.4M1.125.9711,21312,538233,487150,557
2011-01-21$40.41$37.0024.9%7.1%17.5%11.8%26.1%4.3%0.5%10.5M-677.3M-1.5M0.694.133,5752,457236,163153,819
2011-01-24$39.81$38.0023.2%6.7%18.8%3.0%25.1%3.8%0.7%7.0M-302.4M-1.4M1.823.553,7746,857131,78570,508
2011-01-25$40.62$38.0022.6%6.5%19.0%0.0%23.4%3.8%0.7%6.6M-334.0M-1.4M0.773.478,3776,471133,47674,523
2011-01-26$40.25$38.0023.6%6.8%19.8%5.2%23.2%3.5%0.5%7.1M-320.1M-1.5M1.033.791,8821,935138,56778,648
2011-01-27$42.29$38.0023.8%6.8%25.1%6.6%24.4%3.7%0.3%6.4M-403.8M-1.4M1.764.0411,00319,367139,27379,434
2011-01-28$40.93$40.0026.0%7.5%28.9%18.2%26.8%4.3%-0.2%5.5M-326.8M-1.6M2.064.123,6467,505143,13889,249
2011-01-31$41.05$40.0026.2%7.5%29.0%19.3%27.0%4.3%-0.2%5.2M-333.6M-1.6M0.964.444,1233,951144,42192,103