UNH Options History — January 2012

In January 2012, UNH traded between $50.35 and $53.94. ATM implied volatility averaged 23.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.9% (HV 20d: 17.8%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2012-01-19: Highest Volume — 30,330 contracts
  • 2012-01-26: Largest IV spike — 16.3% change
  • 2012-01-11: Highest IV Rank — 26.4%
  • 2012-01-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.23$50.35$53.94$51.49$51.79
Max Pain$49.20$46.00$50.00$46.00$50.00
ATM IV23.7%19.4%27.5%25.8%22.3%
Expected Move6.7%5.6%7.4%7.4%6.4%
HV 20d17.8%13.9%20.8%19.7%20.7%
HV 60d25.9%24.7%27.3%27.2%24.8%
IV Rank17.7%8.0%26.4%22.5%14.5%
IV Percentile25.8%1.2%57.1%40.9%12.3%
Term Structure0.5%-0.4%1.6%-0.4%0.0%
VWIV24.4%20.4%28.5%27.0%23.6%
Skew 25d5.3%4.1%6.2%5.9%5.4%
Skew 10d11.9%8.9%15.6%11.6%15.0%
Call IV 25d21.4%18.8%24.8%24.8%21.6%
Put IV 25d26.7%23.2%30.7%30.7%27.0%
Bid-Ask Spread %6.844.659.306.626.44
Gamma HHI0.190.150.260.160.19
Net GEX3.9M2.0M5.7M4.0M2.8M
Net DEX-233.0M-360.8M-78.5M-244.9M-117.9M
Net VEX-1.2M-1.3M-1.0M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.352.650.900.70
Total Volume9,107.82,24530,3303,2678,810
Total OI215,438.35146,675275,358228,496169,209

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$51.49$46.0025.8%7.4%19.7%22.5%27.0%5.9%-0.4%4.0M-244.9M-1.1M0.906.621,7191,54897,574130,922
2012-01-04$52.24$46.0024.9%7.2%20.1%20.6%27.8%5.3%-0.0%4.4M-279.2M-1.0M1.388.081,9492,69198,156131,310
2012-01-05$52.59$46.0024.8%7.1%20.1%20.2%26.1%5.6%0.1%4.5M-294.0M-1.0M2.659.001,8434,87598,756132,300
2012-01-06$52.78$50.0025.9%7.3%19.0%22.9%25.8%5.9%0.2%4.3M-302.2M-1.0M0.699.246,2214,28799,340134,951
2012-01-09$52.72$50.0027.2%7.3%16.1%25.6%28.5%5.8%0.4%4.2M-295.5M-1.0M1.627.361,6632,702100,076137,581
2012-01-10$52.62$50.0026.9%7.1%15.8%25.1%26.5%5.7%0.3%4.2M-291.7M-1.0M2.067.431,3122,707100,262138,429
2012-01-11$53.01$50.0027.5%7.2%14.2%26.4%25.6%6.2%0.1%4.1M-301.5M-1.0M1.199.301,0231,222100,047139,594
2012-01-12$52.87$50.0024.6%7.1%14.0%19.9%23.2%5.5%0.3%4.2M-298.0M-1.0M0.568.0511,7426,574100,228139,939
2012-01-13$52.70$50.0023.9%6.9%13.9%18.3%25.7%5.4%0.7%5.3M-309.1M-1.2M1.205.783,2293,860110,647144,448
2012-01-17$53.57$50.0024.9%7.1%14.0%20.4%24.7%6.0%-0.2%5.5M-335.3M-1.2M1.295.152,9333,774111,849145,822
2012-01-18$53.94$50.0023.3%6.7%13.9%16.8%25.8%6.0%0.1%5.5M-360.8M-1.2M1.038.118,1168,391112,555148,861
2012-01-19$52.32$50.0022.6%6.5%18.7%15.3%24.1%5.0%0.7%3.8M-300.4M-1.2M0.518.7020,09510,235116,290152,777
2012-01-20$52.27$49.0020.4%5.8%18.0%10.2%21.1%4.7%1.6%5.7M-295.9M-1.2M0.505.817,1903,624120,890154,468
2012-01-23$52.43$49.0020.4%5.8%18.0%10.2%20.8%4.5%1.5%3.6M-135.3M-1.2M0.355.175,4111,88471,02675,649
2012-01-24$51.33$49.0019.4%5.6%19.2%8.0%20.4%4.8%1.3%3.0M-110.0M-1.2M1.154.653,9214,50573,66376,220
2012-01-25$51.57$50.0019.6%5.6%18.8%8.5%20.7%4.3%1.5%3.2M-116.4M-1.2M0.495.886,9743,43974,55178,500
2012-01-26$50.35$49.0022.8%6.5%20.6%15.7%23.4%5.1%0.9%2.0M-78.5M-1.3M2.055.644,6369,50077,17080,587
2012-01-27$51.02$50.0022.6%6.5%20.8%15.4%23.3%5.5%1.0%2.0M-94.1M-1.3M1.455.531,5462,24279,08987,002
2012-01-30$51.07$50.0023.8%6.8%20.5%17.9%24.9%4.1%0.5%2.3M-98.4M-1.3M1.154.861,7482,01579,68188,348
2012-01-31$51.79$50.0022.3%6.4%20.7%14.5%23.6%5.4%0.0%2.8M-117.9M-1.3M0.706.445,1883,62279,51589,694