UNH Options History — December 2011

In December 2011, UNH traded between $47.76 and $51.35. ATM implied volatility averaged 27.7%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.6% (HV 20d: 30.3%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-12-02: Highest Volume — 77,955 contracts
  • 2011-12-09: Largest IV drop — 20.2% change
  • 2011-12-08: Highest IV Rank — 37.9%
  • 2011-12-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.33$47.76$51.35$48.52$50.68
Max Pain$45.67$45.00$47.00$47.00$46.00
ATM IV27.7%22.5%32.6%27.4%27.9%
Expected Move8.1%6.4%9.4%7.8%8.0%
HV 20d30.3%19.1%33.6%33.2%19.4%
HV 60d33.1%27.1%36.2%36.2%27.1%
IV Rank26.8%14.9%37.9%26.1%27.3%
IV Percentile54.8%11.9%76.2%58.3%59.5%
Term Structure1.3%0.3%2.7%2.7%0.4%
VWIV30.9%25.8%41.8%29.8%32.2%
Skew 25d6.3%4.3%7.8%4.3%5.6%
Skew 10d13.3%8.0%17.4%9.4%10.2%
Call IV 25d25.6%21.7%29.2%26.3%24.5%
Put IV 25d31.9%27.3%37.0%30.6%30.1%
Bid-Ask Spread %5.983.768.458.454.68
Gamma HHI0.180.090.300.190.14
Net GEX4.1M1.4M9.7M3.2M3.5M
Net DEX-177.6M-240.1M-95.1M-240.1M-212.4M
Net VEX-1.3M-1.5M-1.1M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.024.010.902.09
Total Volume8,793.5242,37777,9553,9482,629
Total OI277,615.333206,227333,518332,946227,212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$48.52$47.0027.4%7.8%33.2%26.1%29.8%4.3%2.7%3.2M-240.1M-1.5M0.908.452,0731,875146,221186,725
2011-12-02$48.23$47.0027.9%8.0%33.3%27.3%41.8%4.4%2.6%3.2M-227.8M-1.5M0.028.1976,4451,510146,545186,973
2011-12-05$48.27$45.0030.6%9.0%32.8%33.5%34.0%7.7%1.0%2.3M-128.6M-1.4M1.485.002,2103,264123,223187,567
2011-12-06$48.29$45.0029.6%8.9%32.5%31.1%32.7%7.4%1.1%3.1M-129.5M-1.4M2.015.061,8083,629123,115189,009
2011-12-07$49.34$45.0029.6%8.7%32.5%31.2%33.2%7.1%1.1%6.3M-209.1M-1.4M1.585.453,0224,790123,799191,115
2011-12-08$48.16$45.0032.6%9.4%33.5%37.9%35.8%7.8%0.5%2.8M-124.6M-1.4M2.056.031,5843,241125,175193,088
2011-12-09$48.91$45.0026.0%8.5%33.6%23.0%30.9%6.7%1.5%8.6M-183.8M-1.3M0.893.763,4473,054125,485194,374
2011-12-12$48.20$45.0029.6%8.8%33.4%31.1%30.1%7.0%1.0%6.0M-131.5M-1.3M2.705.891,3843,743127,234196,096
2011-12-13$47.93$45.0027.6%8.7%33.4%26.5%28.7%6.9%1.2%6.1M-113.6M-1.3M1.085.822,4142,611126,930197,574
2011-12-14$47.76$45.0028.5%8.7%33.3%28.6%31.9%6.9%1.5%3.9M-95.1M-1.3M1.165.101,5401,791127,211198,977
2011-12-15$48.52$45.0028.2%8.1%30.6%28.1%29.1%6.5%2.1%9.7M-161.3M-1.2M0.635.524,7892,999127,070199,029
2011-12-16$49.00$46.0028.2%8.1%30.3%27.9%29.3%6.4%1.9%3.8M-195.3M-1.2M1.037.034,9505,123127,862199,751
2011-12-19$48.97$46.0028.4%8.1%30.3%28.3%30.5%6.5%1.1%1.4M-126.8M-1.2M0.945.592,3642,21886,131120,096
2011-12-20$49.82$46.0026.7%7.7%30.5%24.6%29.3%6.3%1.5%2.2M-156.8M-1.2M0.286.595,7941,59487,811121,440
2011-12-21$49.99$46.0026.1%7.5%30.4%23.1%27.0%6.2%1.5%3.0M-177.9M-1.2M1.375.341,0031,37492,152122,334
2011-12-22$50.73$46.0025.8%7.4%29.0%22.4%29.3%5.5%1.2%3.3M-206.7M-1.2M2.046.631,6503,35892,242123,074
2011-12-23$51.35$46.0022.5%6.4%29.0%14.9%25.8%5.6%2.0%3.5M-229.1M-1.1M0.515.915,3142,71593,134124,147
2011-12-27$51.35$46.0023.6%6.8%27.8%17.5%28.8%5.5%1.2%4.0M-237.7M-1.1M2.266.691,4603,29896,375125,287
2011-12-28$50.71$46.0027.4%7.8%28.2%26.0%28.5%5.3%0.5%3.6M-213.4M-1.2M4.014.456042,42296,624126,858
2011-12-29$51.18$46.0027.7%7.9%19.1%26.9%30.0%6.0%0.3%3.7M-229.5M-1.1M3.068.408802,69196,985127,872
2011-12-30$50.68$46.0027.9%8.0%19.4%27.3%32.2%5.6%0.4%3.5M-212.4M-1.2M2.094.688501,77997,517129,695