UNH Options History — October 2012

In October 2012, UNH traded between $55.66 and $57.97. ATM implied volatility averaged 23.0%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.2% (HV 20d: 17.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-10-16: Highest Volume — 26,409 contracts
  • 2012-10-26: Largest IV drop — 29.4% change
  • 2012-10-25: Highest IV Rank — 54.6%
  • 2012-10-31: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.70$55.66$57.97$56.46$56.00
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV23.0%16.1%29.8%18.4%24.6%
Expected Move7.3%6.0%9.4%6.1%9.4%
HV 20d17.8%15.4%20.4%18.9%15.4%
HV 60d20.2%16.5%22.4%22.1%16.5%
IV Rank27.0%0.0%54.6%4.9%34.0%
IV Percentile42.0%0.0%86.5%3.6%57.5%
Term Structure-1.9%-7.3%2.8%2.8%-7.3%
VWIV25.5%21.3%32.0%22.1%32.0%
Skew 25d3.0%2.0%4.1%2.9%3.3%
Skew 10d6.4%5.0%7.6%6.8%6.6%
Call IV 25d24.3%20.5%30.8%21.1%30.8%
Put IV 25d27.3%22.7%34.0%23.9%34.0%
Bid-Ask Spread %7.093.1611.8811.8810.77
Gamma HHI0.340.280.410.330.30
Net GEX19.0M11.4M24.6M16.0M18.3M
Net DEX-272.8M-357.1M-195.0M-249.0M-240.1M
Net VEX-1.6M-1.7M-1.5M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.191.800.251.19
Total Volume10,094.8572,13126,4094,3945,494
Total OI248,192.048228,285267,959233,236267,557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$56.46$55.0018.4%6.1%18.9%4.9%22.1%2.9%2.8%16.0M-249.0M-1.7M0.2511.883,522872141,08892,148
2012-10-02$56.80$55.0018.2%6.1%18.9%4.4%22.0%2.4%2.5%18.3M-282.0M-1.7M0.5810.032,6291,512142,94092,484
2012-10-03$56.86$55.0018.1%6.0%18.7%4.6%21.3%2.0%2.6%18.9M-277.0M-1.7M0.448.693,6021,587143,64993,057
2012-10-04$57.97$55.0016.5%6.2%19.5%0.1%22.3%2.8%2.3%22.1M-357.1M-1.7M0.638.735,7593,624143,58294,089
2012-10-05$57.13$55.0016.1%6.8%20.4%0.0%24.5%3.1%-1.1%20.1M-298.5M-1.7M0.494.553,2321,574145,68395,284
2012-10-08$57.60$55.0019.7%7.0%18.6%13.5%24.4%2.9%-1.4%21.3M-331.9M-1.6M0.455.983,2431,466145,47495,289
2012-10-09$57.47$55.0018.9%7.0%17.0%11.3%24.5%2.8%-1.7%21.2M-323.4M-1.6M0.426.081,504627146,72995,649
2012-10-10$57.11$55.0024.1%7.2%17.4%32.0%25.3%3.3%-1.9%20.0M-292.2M-1.6M0.414.214,9452,012147,08895,809
2012-10-11$57.66$55.0026.4%7.6%16.4%40.9%26.0%2.8%-2.7%22.0M-338.1M-1.6M0.504.607,1313,546147,81696,422
2012-10-12$57.07$55.0026.3%7.5%17.1%40.6%26.7%2.9%-2.6%19.1M-281.9M-1.6M0.535.914,2322,234149,16897,791
2012-10-15$57.49$55.0027.1%7.8%17.1%43.7%27.7%3.5%-3.4%21.8M-321.5M-1.6M0.6111.758,3425,078148,51197,811
2012-10-16$56.88$55.0024.1%6.9%17.4%31.7%23.8%3.5%-2.4%24.6M-275.8M-1.5M0.297.1620,5095,900151,41697,228
2012-10-17$55.99$55.0025.3%7.2%18.4%36.4%24.6%3.1%-2.0%16.9M-202.8M-1.5M0.504.2112,2356,093158,25399,059
2012-10-18$56.01$55.0024.6%7.1%18.4%33.9%24.4%2.7%-1.7%16.1M-218.0M-1.6M1.024.912,2972,340163,916102,798
2012-10-19$55.66$55.0024.4%7.0%16.7%33.1%24.4%2.7%-1.5%11.4M-195.0M-1.6M1.015.652,4342,463164,466103,493
2012-10-22$56.54$55.0024.9%7.1%17.6%34.8%26.0%3.6%-2.2%15.8M-240.4M-1.6M0.198.4321,0034,037138,72189,564
2012-10-23$56.18$55.0027.5%7.9%17.7%45.2%26.0%2.7%-3.3%19.5M-268.6M-1.7M0.266.6214,8283,789156,27891,833
2012-10-24$55.92$55.0027.9%8.0%17.6%46.9%27.1%2.9%-3.9%18.7M-235.7M-1.7M0.366.249,1863,303160,55794,369
2012-10-25$56.21$55.0029.8%8.5%17.5%54.6%29.5%4.1%-5.0%18.2M-265.1M-1.7M0.939.347,9067,337161,93796,591
2012-10-26$55.78$55.0021.0%8.7%16.8%19.7%30.2%3.5%-5.2%17.9M-233.7M-1.7M1.803.163,0575,508165,393101,043
2012-10-31$56.00$55.0024.6%9.4%15.4%34.0%32.0%3.3%-7.3%18.3M-240.1M-1.7M1.1910.772,5092,985164,823102,734