UNH Options History — February 2012

In February 2012, UNH traded between $51.29 and $55.84. ATM implied volatility averaged 21.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.6% (HV 20d: 22.3%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-02-29: Highest Volume — 44,436 contracts
  • 2012-02-23: Largest IV drop — 9.4% change
  • 2012-02-10: Highest IV Rank — 19.7%
  • 2012-02-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.99$51.29$55.84$53.26$55.75
Max Pain$47.95$47.00$50.00$50.00$48.00
ATM IV21.6%18.5%24.6%22.7%18.8%
Expected Move6.3%5.3%7.0%6.5%5.4%
HV 20d22.3%17.8%25.3%22.3%17.8%
HV 60d23.9%19.1%25.8%25.4%19.1%
IV Rank13.1%6.0%19.7%15.5%6.6%
IV Percentile13.3%1.2%35.3%16.3%2.0%
Term Structure2.0%0.5%3.7%0.5%3.5%
VWIV24.4%19.9%40.6%21.9%40.6%
Skew 25d4.8%3.2%6.2%4.9%3.3%
Skew 10d10.6%5.2%17.8%12.2%9.5%
Call IV 25d20.3%17.1%22.4%20.7%17.7%
Put IV 25d25.1%20.3%28.7%25.6%21.0%
Bid-Ask Spread %7.674.0213.286.407.16
Gamma HHI0.250.150.410.230.27
Net GEX8.1M1.8M14.5M4.1M9.7M
Net DEX-231.4M-308.6M-88.1M-153.3M-281.4M
Net VEX-1.6M-1.7M-1.4M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.044.380.570.04
Total Volume11,7363,92244,43615,12444,436
Total OI207,882.9171,941235,675171,941220,826

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$53.26$50.0022.7%6.5%22.3%15.5%21.9%4.9%0.5%4.1M-153.3M-1.4M0.576.409,6195,50580,69691,245
2012-02-02$52.54$50.0022.0%6.3%22.4%13.8%23.5%4.3%1.0%3.9M-150.8M-1.4M0.996.567,0086,95484,16793,734
2012-02-03$51.31$47.0022.4%6.8%23.8%14.9%24.0%6.2%0.7%1.8M-88.1M-1.5M0.717.439,8777,03488,50898,897
2012-02-06$51.29$47.0023.1%6.7%23.7%16.4%27.6%5.5%1.1%3.3M-107.0M-1.5M1.379.671,7032,33093,661103,920
2012-02-07$52.03$47.0022.1%6.7%24.4%14.2%25.3%5.8%1.1%5.1M-127.4M-1.5M0.606.712,9141,75494,272103,327
2012-02-08$52.14$47.0021.0%6.5%24.4%11.7%23.0%5.7%1.2%5.4M-138.0M-1.5M0.356.862,8961,02695,288103,310
2012-02-09$53.06$47.0022.9%6.6%25.1%16.0%23.7%4.7%1.4%7.0M-193.8M-1.5M0.316.439,8363,09497,929103,840
2012-02-10$53.32$48.0024.6%7.0%25.1%19.7%24.3%5.2%1.0%8.0M-211.6M-1.5M0.378.746,1012,246104,274105,019
2012-02-13$53.85$48.0022.4%6.4%25.3%14.8%27.1%5.3%1.6%9.8M-247.6M-1.6M0.537.435,9903,188106,841106,395
2012-02-14$54.46$48.0023.7%6.8%24.9%17.8%25.3%6.0%0.9%10.4M-279.1M-1.6M0.5811.9313,2527,728109,686108,215
2012-02-15$54.62$48.0023.9%6.9%24.8%18.3%25.5%5.9%1.3%10.5M-301.6M-1.6M1.149.095,9286,764113,785111,272
2012-02-16$54.79$48.0022.7%6.5%21.9%15.6%23.7%5.7%2.5%11.9M-308.6M-1.7M0.3813.286,4942,481116,451114,373
2012-02-17$54.68$48.0021.7%6.2%22.0%13.3%23.0%5.3%3.0%14.5M-307.9M-1.7M0.577.623,3551,929120,378115,297
2012-02-21$55.32$48.0021.1%6.1%22.2%11.9%22.1%4.2%2.6%8.7M-279.8M-1.6M0.496.628,5824,207105,06696,482
2012-02-22$55.18$48.0020.7%5.9%20.5%10.9%23.4%4.2%2.8%9.3M-283.7M-1.7M1.078.553,8764,140110,19298,688
2012-02-23$54.94$48.0018.7%5.4%20.7%6.5%22.8%3.6%3.7%9.9M-277.7M-1.7M0.226.8810,4182,280112,779100,709
2012-02-24$55.65$48.0018.5%5.3%18.3%6.0%20.6%3.2%3.4%9.7M-296.8M-1.7M4.386.281,7797,793110,780101,558
2012-02-27$55.73$48.0019.8%5.7%18.0%8.9%19.9%3.3%3.0%9.6M-300.9M-1.7M1.644.022,3743,900111,178105,292
2012-02-28$55.84$48.0019.5%5.6%18.0%8.2%21.1%3.6%3.2%9.5M-292.9M-1.7M2.565.791,1042,825111,428107,900
2012-02-29$55.75$48.0018.8%5.4%17.8%6.6%40.6%3.3%3.5%9.7M-281.4M-1.7M0.047.1642,9151,521111,116109,710