UNH Options History — May 2011

In May 2011, UNH traded between $47.70 and $50.61. ATM implied volatility averaged 23.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.2% (HV 20d: 26.4%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2011-05-24: Highest Volume — 17,197 contracts
  • 2011-05-12: Largest IV spike — 13.3% change
  • 2011-05-23: Highest IV Rank — 31.8%
  • 2011-05-16: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.56$47.70$50.61$49.88$48.95
Max Pain$45.33$44.00$46.00$46.00$46.00
ATM IV23.3%20.4%25.3%23.2%21.6%
Expected Move6.8%6.2%7.3%6.7%6.2%
HV 20d26.4%14.4%33.4%33.3%15.5%
HV 60d24.3%24.1%25.2%24.5%24.3%
IV Rank19.4%3.9%31.8%17.2%12.5%
IV Percentile15.9%2.4%34.5%9.9%5.6%
Term Structure2.3%0.2%3.7%0.2%1.8%
VWIV25.0%22.2%27.1%24.7%22.5%
Skew 25d4.1%2.8%8.3%7.1%4.0%
Skew 10d11.2%5.7%18.7%15.2%15.6%
Call IV 25d22.5%18.4%25.1%18.4%19.7%
Put IV 25d26.6%23.7%28.3%25.5%23.7%
Bid-Ask Spread %6.474.288.605.126.54
Gamma HHI0.110.090.140.120.14
Net GEX865.0K-2.1M4.4M3.9M317.2K
Net DEX-360.2M-442.5M-230.7M-402.2M-296.5M
Net VEX-1.6M-1.8M-1.4M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.283.790.281.01
Total Volume9,0482,81917,1978,5333,220
Total OI265,501.667233,221286,519233,221279,923

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$49.88$46.0023.2%6.7%33.3%17.2%24.7%7.1%0.2%3.9M-402.2M-1.4M0.285.126,6531,880119,795113,426
2011-05-03$49.68$46.0024.1%6.9%33.4%21.5%26.8%8.3%1.0%4.4M-403.3M-1.4M3.794.281,9077,221123,612113,825
2011-05-04$49.56$46.0023.3%6.7%33.0%17.8%26.4%7.2%1.7%2.9M-378.9M-1.5M1.164.877,8969,150120,745119,393
2011-05-05$49.58$46.0022.9%6.6%32.9%15.8%24.0%5.5%2.1%2.5M-376.6M-1.5M1.167.096,8017,907124,230124,720
2011-05-06$50.12$44.0021.7%7.0%32.3%10.0%25.3%4.0%2.6%2.2M-399.2M-1.6M1.574.913,1734,982127,489129,861
2011-05-09$50.47$45.0021.6%7.1%32.2%9.5%26.6%4.3%2.4%2.0M-411.4M-1.5M2.256.012,8676,457127,456131,897
2011-05-10$50.51$45.0020.4%6.9%32.2%3.9%24.2%3.6%2.8%1.7M-414.6M-1.6M1.486.303,4295,062128,487134,496
2011-05-11$50.02$45.0021.2%6.8%32.6%7.5%23.9%3.6%3.0%625.6K-394.3M-1.6M1.205.714,7435,701130,359137,517
2011-05-12$50.08$45.0024.0%6.9%32.1%20.9%25.3%3.5%3.2%549.9K-395.9M-1.6M2.407.502,2185,328132,191140,017
2011-05-13$49.95$45.0025.0%7.2%32.2%25.7%25.4%3.4%2.9%542.0K-385.6M-1.6M1.027.125,4545,538132,933141,900
2011-05-16$50.17$45.0025.3%7.3%32.2%27.4%25.9%3.3%2.6%-226.3K-401.1M-1.6M0.797.251,5731,246135,226144,206
2011-05-17$49.99$45.0025.2%7.2%29.2%26.9%26.2%2.9%2.8%-687.5K-399.8M-1.6M1.636.641,9323,158135,283144,891
2011-05-18$50.61$45.0024.2%6.9%29.2%21.9%24.5%3.5%3.4%-318.6K-442.5M-1.5M3.128.001,5074,702136,161146,621
2011-05-19$50.55$45.0023.8%6.8%29.4%19.9%24.4%3.1%3.7%-1.1M-420.5M-1.6M1.048.601,8821,966134,352150,006
2011-05-20$49.74$45.0023.9%6.9%14.4%24.0%25.4%2.8%3.4%-2.1M-372.9M-1.6M0.477.093,6231,692135,661150,858
2011-05-23$49.16$45.0024.7%7.1%15.1%31.8%27.1%3.2%1.6%-42.5K-297.3M-1.7M1.587.605,9069,338120,376134,618
2011-05-24$47.96$45.0024.3%7.0%17.5%30.1%24.5%3.4%1.4%-19.0K-240.6M-1.7M0.627.6010,6166,581121,456135,672
2011-05-25$47.87$46.0023.6%6.8%16.3%26.0%24.0%3.2%1.6%455.0K-240.2M-1.7M1.325.644,3005,670127,684139,421
2011-05-26$47.70$46.0023.0%6.6%14.7%21.9%25.4%3.3%1.8%530.9K-230.7M-1.7M2.556.293,7069,465129,933140,178
2011-05-27$48.30$46.0021.9%6.3%15.5%14.4%22.2%2.9%2.0%-19.3K-259.0M-1.8M1.105.661,6981,860131,470147,190
2011-05-31$48.95$46.0021.6%6.2%15.5%12.5%22.5%4.0%1.8%317.2K-296.5M-1.7M1.016.541,6031,617132,221147,702