UNH Options History — November 2012

In November 2012, UNH traded between $51.25 and $56.95. ATM implied volatility averaged 27.0%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.0% (HV 20d: 22.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2012-11-07: Highest Volume — 39,730 contracts
  • 2012-11-07: Largest IV drop — 66.2% change
  • 2012-11-02: Highest IV Rank — 100.0%
  • 2012-11-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.58$51.25$56.95$56.95$54.39
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV27.0%17.8%67.9%35.9%18.7%
Expected Move6.4%5.1%9.7%8.0%5.2%
HV 20d22.0%16.3%26.6%16.5%25.7%
HV 60d18.7%16.0%20.6%16.6%20.6%
IV Rank26.1%3.4%100.0%78.8%5.1%
IV Percentile41.5%3.2%100.0%97.2%8.3%
Term Structure0.7%-8.3%2.8%-4.9%1.8%
VWIV22.4%18.1%31.9%29.3%19.4%
Skew 25d2.8%1.5%5.0%4.7%1.6%
Skew 10d6.9%3.9%10.3%9.8%4.7%
Call IV 25d21.5%17.5%30.8%26.9%18.1%
Put IV 25d24.3%19.3%35.8%31.6%19.7%
Bid-Ask Spread %9.224.1412.537.0412.23
Gamma HHI0.230.150.350.330.22
Net GEX4.9M-6.0M23.1M23.1M4.5M
Net DEX-40.5M-313.2M117.0M-313.2M-81.4M
Net VEX-1.2M-1.8M-948.8K-1.7M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.241.671.251.13
Total Volume13,388.0952,09639,73019,3188,475
Total OI264,522223,442310,195269,550244,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$56.95$55.0035.9%8.0%16.5%78.8%29.3%4.7%-4.9%23.1M-313.2M-1.7M1.257.048,59710,721165,284104,266
2012-11-02$56.05$55.0042.5%9.7%17.4%100.0%31.9%5.0%-8.3%17.5M-238.3M-1.7M0.248.4420,1714,921167,631110,045
2012-11-05$55.28$55.0058.8%7.6%16.3%100.0%26.6%3.1%-0.7%16.7M-190.2M-1.7M0.4510.5720,0879,091177,859111,084
2012-11-06$56.39$55.0067.9%7.4%17.4%100.0%26.2%2.9%-1.0%22.4M-301.1M-1.8M0.686.9114,3779,752185,479113,700
2012-11-07$54.26$55.0022.9%6.5%21.7%13.2%23.0%2.7%1.2%10.7M-61.6M-1.5M0.485.4926,80612,924190,118116,255
2012-11-08$53.44$55.0024.8%7.0%22.1%16.9%23.5%2.8%0.5%4.9M7.6M-1.4M0.744.148,0665,978193,488116,707
2012-11-09$52.90$55.0024.8%7.0%22.2%16.8%23.6%3.1%0.8%1.3M49.9M-1.3M0.4310.539,0643,897185,039116,123
2012-11-12$52.20$55.0024.3%6.7%21.8%16.0%23.4%2.8%1.3%106.8K73.7M-1.2M0.548.324,8932,655176,981107,853
2012-11-13$52.19$55.0022.3%6.4%21.8%12.0%22.2%2.5%1.5%165.2K72.9M-1.2M0.428.728,5853,574177,803108,420
2012-11-14$51.25$55.0026.9%6.7%21.9%20.8%23.2%2.9%1.0%-1.8M117.0M-1.0M0.378.974,9031,829177,981107,145
2012-11-15$51.25$55.0023.5%6.7%21.9%14.3%23.1%2.7%1.1%-982.3K103.1M-1.0M1.2512.531,9062,391174,263105,576
2012-11-16$51.90$55.0021.6%6.2%22.4%10.6%22.4%3.3%1.9%699.3K83.2M-1.1M0.859.464,4603,803174,632106,310
2012-11-19$52.91$55.0020.0%5.7%23.8%7.6%19.7%2.9%2.4%1.2M-7.4M-1.1M0.468.982,9111,335131,74791,695
2012-11-20$53.14$55.0019.2%5.5%23.9%5.9%19.0%2.4%2.6%2.2M-21.2M-1.1M0.519.402,3091,167131,85191,749
2012-11-21$53.53$55.0019.1%5.5%23.2%5.8%18.6%2.2%2.4%2.7M-42.7M-1.1M0.8611.743,9773,410132,38492,310
2012-11-23$53.92$55.0017.9%5.1%23.4%3.5%18.7%2.7%2.8%2.8M-50.0M-1.1M1.146.269811,115133,49794,079
2012-11-26$53.53$55.0019.4%5.5%23.5%6.3%19.1%2.4%1.8%1.1M-28.7M-1.0M1.6710.496,35810,642133,11394,586
2012-11-27$52.59$55.0019.2%5.5%23.9%6.0%19.0%2.5%1.9%-5.0M32.1M-978.3K0.6310.743,4932,197135,280100,078
2012-11-28$52.75$55.0018.9%5.4%24.0%5.4%19.7%3.0%2.2%-6.0M26.9M-948.8K0.3111.3014,5154,527136,191100,240
2012-11-29$54.36$55.0017.8%5.1%26.6%3.4%18.1%1.5%1.7%4.5M-81.6M-1.1M0.5811.446,5243,763138,770103,198
2012-11-30$54.39$55.0018.7%5.2%25.7%5.1%19.4%1.6%1.8%4.5M-81.4M-1.1M1.1312.233,9794,496139,133105,019