UNH Options History — November 2011

In November 2011, UNH traded between $43.56 and $48.77. ATM implied volatility averaged 30.9%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.6% (HV 20d: 27.3%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2011-11-30: Highest Volume — 28,878 contracts
  • 2011-11-09: Largest IV spike — 23.2% change
  • 2011-11-01: Highest IV Rank — 47.6%
  • 2011-11-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.60$43.56$48.77$46.22$48.77
Max Pain$46.67$46.00$47.00$47.00$47.00
ATM IV30.9%25.5%36.9%36.9%26.9%
Expected Move9.0%7.7%10.6%10.6%7.7%
HV 20d27.3%24.1%33.1%31.1%33.1%
HV 60d35.6%34.2%41.5%41.5%36.8%
IV Rank34.2%21.8%47.6%47.6%25.0%
IV Percentile69.1%37.7%84.9%84.9%52.8%
Term Structure2.2%-1.0%3.8%-1.0%2.9%
VWIV32.8%29.1%37.6%37.6%29.1%
Skew 25d7.1%4.6%8.7%8.3%4.6%
Skew 10d15.2%9.5%20.5%19.0%9.5%
Call IV 25d28.7%25.6%33.2%33.2%25.6%
Put IV 25d35.8%30.1%41.5%41.5%30.1%
Bid-Ask Spread %7.365.199.528.788.76
Gamma HHI0.140.120.230.150.23
Net GEX-5.5M-9.2M3.0M-1.4M3.0M
Net DEX-20.3M-250.0M109.8M-82.3M-250.0M
Net VEX-1.7M-1.9M-1.4M-1.9M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.608.561.610.68
Total Volume10,415.3332,84528,87815,82728,878
Total OI329,797.857307,303363,461307,303321,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$46.22$47.0036.9%10.6%31.1%47.6%37.6%8.3%-1.0%-1.4M-82.3M-1.9M1.618.786,0649,763146,721160,582
2011-11-02$46.36$47.0034.3%9.8%28.3%41.8%33.3%7.5%0.3%-1.9M-89.4M-1.9M1.397.651,7382,418147,618165,242
2011-11-03$46.18$47.0030.2%8.7%28.2%32.5%31.6%6.6%1.9%-2.3M-74.0M-1.8M0.607.834,3232,598147,768165,614
2011-11-04$45.58$47.0029.4%9.1%28.7%30.6%33.8%8.7%1.5%-3.1M-35.2M-1.8M0.727.884,5513,258148,373166,362
2011-11-07$45.17$46.0030.4%9.2%25.7%32.9%34.6%8.2%1.5%-3.7M-6.7M-1.7M0.767.823,1842,412148,237167,560
2011-11-08$46.15$46.0025.5%8.4%26.9%21.8%31.0%7.1%2.0%-3.9M-70.5M-1.7M3.315.694,96616,458149,413168,967
2011-11-09$45.54$46.0031.4%9.5%27.3%35.2%32.1%8.7%1.6%-4.6M-15.7M-1.8M1.307.483,7394,867151,858180,782
2011-11-10$46.13$46.0031.5%9.0%27.7%35.3%34.1%7.5%2.1%-5.6M-55.7M-1.8M2.276.432,7096,138152,956185,053
2011-11-11$47.13$46.0029.5%8.5%28.3%30.9%35.8%7.0%2.6%-5.6M-133.9M-1.8M2.486.731,3513,347154,509189,107
2011-11-14$46.94$46.0030.4%8.7%27.9%32.8%31.0%7.1%2.3%-6.4M-116.1M-1.8M0.917.353,4393,135154,458190,276
2011-11-15$46.55$46.0029.8%8.5%26.1%31.6%30.6%6.8%2.3%-7.8M-83.9M-1.8M8.565.192,17218,595156,164191,726
2011-11-16$44.91$47.0031.9%9.1%27.8%36.2%32.2%7.5%2.0%-7.3M71.7M-1.8M1.447.415,1827,462156,411201,055
2011-11-17$44.52$47.0033.1%9.5%27.6%39.0%34.3%7.6%2.0%-7.0M106.2M-1.7M1.518.532,5073,796158,504204,084
2011-11-18$44.55$47.0030.8%8.8%26.1%33.8%35.0%7.0%3.0%-7.5M103.1M-1.7M2.166.675,13711,081159,437204,024
2011-11-21$44.44$47.0032.3%9.3%24.1%37.3%32.4%7.1%2.6%-7.3M51.8M-1.7M1.207.502,5833,108138,407178,735
2011-11-22$44.42$47.0030.5%8.8%24.2%33.2%32.2%6.4%3.2%-8.2M58.4M-1.6M1.627.314,4247,175138,480180,549
2011-11-23$43.56$47.0032.0%9.2%24.7%36.6%32.3%6.9%3.2%-9.2M109.8M-1.6M2.236.281,4143,148139,208185,579
2011-11-25$43.67$47.0032.9%9.4%24.3%38.5%30.7%6.6%3.1%-9.0M104.1M-1.6M6.066.794032,442139,563184,029
2011-11-28$45.03$47.0031.3%9.0%27.5%34.9%34.4%6.8%3.2%-9.1M27.1M-1.6M2.749.522,0855,707139,539184,948
2011-11-29$45.88$47.0028.9%8.3%28.2%29.5%30.1%5.7%3.8%-7.3M-44.3M-1.5M4.446.962,0158,950140,003182,841
2011-11-30$48.77$47.0026.9%7.7%33.1%25.0%29.1%4.6%2.9%3.0M-250.0M-1.4M0.688.7617,18711,691140,019180,994