UNH Options History — April 2011

In April 2011, UNH traded between $43.55 and $49.23. ATM implied volatility averaged 22.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.1% (HV 20d: 23.2%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2011-04-21: Highest Volume — 21,597 contracts
  • 2011-04-13: Largest IV spike — 15.3% change
  • 2011-04-18: Highest IV Rank — 26.2%
  • 2011-04-13: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.72$43.55$49.23$45.61$49.23
Max Pain$44.25$44.00$45.00$44.00$45.00
ATM IV22.1%19.6%25.1%19.6%22.5%
Expected Move6.8%5.6%7.5%5.6%6.5%
HV 20d23.2%16.7%33.4%21.0%33.2%
HV 60d23.7%22.2%27.6%23.2%24.9%
IV Rank11.9%0.0%26.2%0.0%14.1%
IV Percentile7.1%0.0%24.2%0.0%7.5%
Term Structure0.3%-0.3%4.4%4.4%0.3%
VWIV24.2%21.9%26.6%21.9%22.8%
Skew 25d4.3%2.9%5.8%3.5%5.8%
Skew 10d9.8%6.7%13.0%11.4%13.0%
Call IV 25d21.9%18.8%23.9%19.3%18.8%
Put IV 25d26.2%22.8%28.6%22.8%24.5%
Bid-Ask Spread %6.084.708.265.455.31
Gamma HHI0.190.110.780.150.11
Net GEX8.5M3.4M35.1M8.4M3.9M
Net DEX-278.1M-377.7M-174.0M-303.8M-376.8M
Net VEX-1.5M-1.6M-1.3M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.272.490.570.50
Total Volume7,879.71,47821,5973,3886,092
Total OI220,555.6196,053235,555221,658230,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$45.61$44.0019.6%5.6%21.0%0.0%21.9%3.5%4.4%8.4M-303.8M-1.5M0.575.452,1591,229120,988100,670
2011-04-04$45.60$44.0020.3%7.0%19.4%3.5%24.7%4.6%0.1%9.6M-312.1M-1.5M1.155.851,2041,379121,348100,847
2011-04-05$45.09$44.0020.5%7.0%19.9%4.5%25.0%4.5%0.2%9.9M-282.7M-1.5M2.296.501,8554,247121,623101,417
2011-04-06$44.96$44.0020.3%7.0%19.3%3.5%24.4%4.6%0.3%9.2M-272.5M-1.5M0.646.03900578121,486101,271
2011-04-07$44.43$44.0020.5%7.2%18.9%4.3%25.5%4.6%-0.1%9.2M-247.9M-1.5M1.127.136,7977,597121,668101,460
2011-04-08$44.38$44.0020.1%7.3%18.8%2.3%25.9%4.6%-0.0%8.6M-232.2M-1.6M0.318.267,0052,143125,565105,227
2011-04-11$44.32$44.0022.8%7.4%18.4%15.3%26.6%4.8%-0.2%8.9M-230.5M-1.5M0.736.093,5442,582123,075105,775
2011-04-12$44.81$44.0020.3%7.2%18.4%3.1%24.9%4.8%-0.0%10.0M-264.9M-1.5M1.425.981,7822,538124,260105,950
2011-04-13$44.33$44.0023.3%7.5%16.7%17.9%26.2%4.8%-0.3%9.7M-229.1M-1.5M0.275.938,6522,371121,656105,766
2011-04-14$44.82$44.0024.6%7.0%16.8%23.8%24.9%4.7%-0.1%15.6M-269.7M-1.5M0.546.294,6592,505126,433106,593
2011-04-15$44.98$44.0023.8%6.8%16.7%19.9%23.4%4.5%0.1%35.1M-290.2M-1.5M0.315.714,6181,422127,734107,821
2011-04-18$43.55$44.0025.1%7.2%20.3%26.2%25.3%4.8%0.1%3.4M-174.0M-1.5M0.355.027,9222,770105,52490,688
2011-04-19$43.96$44.0024.2%6.9%20.1%22.0%24.3%4.7%0.4%3.4M-183.4M-1.5M0.526.361,9511,023104,09391,960
2011-04-20$44.24$44.0024.3%7.0%20.2%22.3%24.1%4.1%-0.1%3.8M-196.0M-1.5M0.777.135,2714,083104,76092,418
2011-04-21$47.81$44.0021.0%6.0%32.9%6.6%21.9%3.1%0.7%5.2M-337.0M-1.3M0.914.7011,28110,316107,55394,720
2011-04-25$47.71$45.0022.1%6.3%33.0%11.8%23.2%3.1%0.3%5.2M-332.9M-1.4M2.495.503,1817,916113,80799,795
2011-04-26$47.35$45.0022.5%6.4%33.2%13.8%23.0%2.9%0.2%3.7M-308.4M-1.4M1.397.234,5746,365114,626110,107
2011-04-27$48.21$45.0022.3%6.4%33.4%13.0%23.7%3.1%-0.0%4.3M-340.2M-1.5M2.185.141,8664,062116,159108,705
2011-04-28$49.10$45.0021.8%6.3%33.3%10.7%22.8%5.0%0.3%4.0M-377.7M-1.4M0.906.053,7693,386116,468111,060
2011-04-29$49.23$45.0022.5%6.5%33.2%14.1%22.8%5.8%0.3%3.9M-376.8M-1.4M0.505.314,0622,030117,814112,222