UNH Options History — April 2012

In April 2012, UNH traded between $56.15 and $59.51. ATM implied volatility averaged 23.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.5% (HV 20d: 23.8%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2012-04-30: Highest Volume — 18,775 contracts
  • 2012-04-09: Largest IV spike — 17.4% change
  • 2012-04-10: Highest IV Rank — 30.2%
  • 2012-04-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.35$56.15$59.51$59.12$56.15
Max Pain$55.88$55.00$57.50$55.00$57.50
ATM IV23.2%18.1%29.2%24.3%23.5%
Expected Move6.5%5.2%7.2%7.0%6.7%
HV 20d23.8%17.2%25.2%25.1%19.5%
HV 60d20.8%19.6%21.5%21.1%20.5%
IV Rank16.7%5.1%30.2%19.2%17.3%
IV Percentile29.6%2.4%64.3%38.9%28.6%
Term Structure0.4%-1.8%2.6%-1.8%-0.3%
VWIV22.9%18.7%25.7%25.3%22.5%
Skew 25d3.0%2.0%4.1%2.0%3.6%
Skew 10d7.6%5.5%11.6%6.7%7.8%
Call IV 25d21.8%18.0%24.2%24.2%21.4%
Put IV 25d24.8%20.7%28.2%26.2%25.0%
Bid-Ask Spread %8.854.5813.196.2012.09
Gamma HHI0.230.190.300.200.20
Net GEX12.5M8.7M16.5M12.3M8.7M
Net DEX-324.7M-435.4M-153.2M-374.9M-153.2M
Net VEX-2.0M-2.1M-1.9M-2.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.258.810.930.64
Total Volume8,511.42,85818,7756,92418,775
Total OI245,091.4226,849260,351236,770239,279

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$59.12$55.0024.3%7.0%25.1%19.2%25.3%2.0%-1.8%12.3M-374.9M-2.0M0.936.203,5943,330123,770113,000
2012-04-03$59.40$55.0023.3%6.7%24.5%16.8%24.0%2.2%-1.1%12.4M-390.3M-2.0M0.566.026,7223,787124,269113,797
2012-04-04$59.06$55.0023.7%6.8%24.7%17.8%24.9%2.2%-1.3%12.3M-373.8M-2.1M1.044.784,5584,746125,367114,165
2012-04-05$59.01$55.0023.8%6.8%23.8%18.1%25.1%2.4%-1.2%12.8M-372.4M-2.1M2.454.581,5843,888127,824115,530
2012-04-09$58.14$55.0028.0%7.1%24.6%27.5%25.2%3.0%-0.3%11.5M-321.9M-2.0M0.756.151,8301,364127,850118,138
2012-04-10$57.56$55.0029.2%7.2%24.3%30.2%25.5%4.1%-0.3%10.7M-278.6M-2.1M0.739.771,7631,282128,445117,869
2012-04-11$58.02$55.0028.7%7.1%24.4%29.2%24.0%3.7%0.1%11.5M-312.6M-2.1M0.9712.104,1253,996128,485117,864
2012-04-12$58.46$55.0024.3%7.0%24.4%19.2%23.3%3.3%0.2%11.8M-338.4M-2.1M0.5913.192,2681,338131,315120,861
2012-04-13$58.05$55.0025.1%7.2%24.6%20.9%25.7%3.8%-0.1%11.1M-316.4M-2.1M8.8110.014443,913131,906121,607
2012-04-16$57.36$55.0024.5%7.0%25.0%19.6%24.8%3.1%0.4%10.0M-274.7M-2.0M0.7210.001,6631,195131,841123,336
2012-04-17$58.10$55.0024.1%6.9%25.2%18.7%24.2%3.0%0.4%11.3M-320.3M-2.0M0.917.831,9201,741131,966123,141
2012-04-18$57.32$55.0023.6%6.8%24.0%17.5%24.2%3.2%0.4%10.1M-270.2M-2.0M0.6610.894,3442,857132,414123,598
2012-04-19$58.71$55.0020.5%5.9%24.3%10.5%19.3%2.8%2.0%13.4M-376.6M-1.9M0.257.9413,9303,508132,812123,879
2012-04-20$59.51$57.5018.1%5.2%24.4%5.1%18.7%2.7%2.6%16.5M-435.4M-1.9M0.405.8911,5824,615136,462123,889
2012-04-23$59.19$57.5019.5%5.6%24.4%8.2%19.8%3.2%2.2%15.4M-354.0M-2.0M2.036.773,8317,788123,358103,491
2012-04-24$58.72$57.5021.0%6.0%23.4%11.6%20.9%3.3%1.7%15.3M-324.6M-2.0M2.6610.932,5486,786125,688108,801
2012-04-25$58.87$57.5018.3%5.3%23.4%5.6%19.9%2.8%1.9%15.6M-334.4M-2.0M2.069.093,3346,883126,726112,702
2012-04-26$58.37$57.5020.5%5.9%23.8%10.5%20.2%3.2%1.1%14.2M-298.5M-2.0M0.3710.9710,4663,827126,891111,589
2012-04-27$57.91$57.5020.3%5.8%17.2%10.2%20.1%3.2%1.2%13.0M-272.2M-2.0M3.0111.721,0243,079125,969111,934
2012-04-30$56.15$57.5023.5%6.7%19.5%17.3%22.5%3.6%-0.3%8.7M-153.2M-1.9M0.6412.0911,4627,313125,965113,314