UNH Options History — March 2011

In March 2011, UNH traded between $41.86 and $45.40. ATM implied volatility averaged 24.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.9% (HV 20d: 20.3%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-03-02: Highest Volume — 136,496 contracts
  • 2011-03-10: Largest IV spike — 13.6% change
  • 2011-03-16: Highest IV Rank — 41.5%
  • 2011-03-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.58$41.86$45.40$42.45$45.20
Max Pain$42.13$35.00$43.00$35.00$43.00
ATM IV24.2%20.0%30.3%25.1%21.2%
Expected Move7.0%5.7%8.7%7.2%6.1%
HV 20d20.3%16.6%23.7%16.6%21.0%
HV 60d22.9%21.8%23.5%21.8%23.2%
IV Rank11.7%0.0%41.5%13.3%6.0%
IV Percentile16.3%0.0%73.8%13.9%0.8%
Term Structure2.3%0.4%4.4%1.6%3.7%
VWIV25.0%20.6%31.1%25.5%21.6%
Skew 25d4.6%2.5%6.5%4.0%3.1%
Skew 10d9.7%5.3%13.3%9.0%7.0%
Call IV 25d23.0%18.8%28.0%23.6%20.0%
Put IV 25d27.6%21.3%34.5%27.6%23.1%
Bid-Ask Spread %6.924.589.276.916.94
Gamma HHI0.150.120.170.140.16
Net GEX6.3M1.7M9.3M6.3M9.3M
Net DEX-251.9M-449.2M-131.8M-389.5M-293.7M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.084.141.081.28
Total Volume12,906.6522,409136,4967,7647,652
Total OI236,452.391190,791273,228269,878216,300

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$42.45$35.0025.1%7.2%16.6%13.3%25.5%4.0%1.6%6.3M-389.5M-1.6M1.086.913,7324,032164,216105,662
2011-03-02$43.56$35.0023.7%6.8%16.8%6.0%27.1%4.0%1.4%6.5M-449.2M-1.5M0.088.39126,6469,850164,699108,529
2011-03-03$44.79$42.0022.4%6.4%19.1%0.0%23.3%3.0%1.9%7.6M-331.4M-1.5M0.834.586,0675,065125,907115,096
2011-03-04$44.45$43.0023.9%7.4%17.5%7.8%24.6%4.8%1.7%7.5M-311.6M-1.6M1.085.363,3053,570127,479115,370
2011-03-07$43.56$43.0024.8%7.5%18.4%12.7%26.2%5.2%1.4%7.0M-262.7M-1.6M2.115.833,3046,973127,961116,784
2011-03-08$43.83$43.0023.4%7.3%17.3%5.3%26.2%4.8%1.8%7.9M-282.3M-1.6M2.826.384,63713,084129,025116,603
2011-03-09$44.49$43.0023.4%7.3%17.9%5.2%24.8%4.4%2.0%8.7M-317.0M-1.5M1.436.373,7185,323129,657117,054
2011-03-10$43.79$43.0026.6%7.6%19.1%22.0%26.3%5.1%1.9%8.2M-274.6M-1.6M2.206.172,8406,234132,470121,238
2011-03-11$43.59$43.0025.9%7.4%19.1%18.2%26.4%5.0%2.1%7.9M-257.2M-1.6M1.377.101,3571,862133,091124,923
2011-03-14$43.16$43.0027.6%7.9%19.5%27.5%27.5%5.5%1.2%7.4M-230.2M-1.6M1.505.702,5533,832133,292124,967
2011-03-15$42.79$43.0027.6%7.9%19.8%27.1%28.1%5.9%1.4%6.0M-200.7M-1.7M0.587.352,6521,547133,725127,503
2011-03-16$41.86$43.0030.3%8.7%21.0%41.5%31.1%6.5%0.4%2.6M-131.8M-1.6M0.597.816,2273,657133,797127,739
2011-03-17$42.27$43.0028.6%8.2%20.9%34.1%28.4%5.9%1.1%1.7M-155.5M-1.6M2.078.401,9754,097133,380129,708
2011-03-18$42.60$42.0025.8%7.4%21.1%19.1%27.5%5.6%2.1%2.5M-174.9M-1.6M0.519.272,1601,109133,497131,085
2011-03-21$43.19$42.0024.3%7.0%21.6%10.7%24.7%5.3%2.5%3.5M-182.8M-1.5M0.767.427,2865,537105,32285,469
2011-03-22$42.74$42.0023.4%6.7%21.9%5.6%24.3%5.1%2.8%4.1M-172.7M-1.6M2.088.201,7213,578111,22587,615
2011-03-23$42.75$43.0023.0%6.6%21.9%3.5%24.3%4.6%3.0%4.1M-171.9M-1.6M4.146.481,2235,067112,17689,755
2011-03-24$43.80$43.0022.0%6.3%23.5%0.0%22.4%4.4%3.6%5.5M-214.8M-1.6M0.407.253,3851,349112,68393,619
2011-03-25$43.75$43.0021.3%6.1%23.4%0.0%21.6%4.1%4.0%6.0M-215.4M-1.6M0.606.822,2771,364114,15094,327
2011-03-28$43.87$43.0021.9%6.3%23.4%3.4%22.1%4.0%3.5%6.8M-225.1M-1.5M0.656.561,460949114,64393,902
2011-03-29$44.48$43.0021.1%6.0%23.7%0.0%21.5%3.8%3.9%7.8M-248.2M-1.5M1.246.862,0882,579115,45294,687
2011-03-30$45.40$43.0020.0%5.7%23.1%0.0%20.6%2.5%4.4%9.3M-300.0M-1.5M0.356.995,8672,063116,14496,479
2011-03-31$45.20$43.0021.2%6.1%21.0%6.0%21.6%3.1%3.7%9.3M-293.7M-1.5M1.286.943,3594,293119,23497,066