UNH Options History — September 2013

In September 2013, UNH traded between $70.57 and $75.18. ATM implied volatility averaged 21.8%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.4% (HV 20d: 15.4%). Max pain ranged from $65.00 to $72.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-09-10: Highest Volume — 96,676 contracts
  • 2013-09-12: Largest IV spike — 28.2% change
  • 2013-09-19: Highest IV Rank — 24.2%
  • 2013-09-19: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.15$70.57$75.18$72.56$71.61
Max Pain$69.75$65.00$72.50$65.00$72.50
ATM IV21.8%17.8%24.4%21.8%22.3%
Expected Move6.4%5.2%7.0%5.6%6.8%
HV 20d15.4%11.7%18.8%13.7%17.6%
HV 60d19.9%19.0%20.3%20.1%19.9%
IV Rank19.7%12.8%24.2%19.8%20.7%
IV Percentile65.1%16.3%87.7%68.7%70.2%
Term Structure0.1%-1.5%4.8%3.8%-1.5%
VWIV23.5%19.8%26.6%26.6%24.5%
Skew 25d3.3%2.7%3.8%2.7%3.0%
Skew 10d7.0%6.1%8.2%6.6%7.1%
Call IV 25d21.5%17.9%23.3%18.4%23.3%
Put IV 25d24.8%21.0%26.4%21.1%26.4%
Bid-Ask Spread %7.904.6710.817.157.85
Gamma HHI0.270.120.420.210.17
Net GEX12.0M-4.5M19.5M13.6M8.8M
Net DEX-484.9M-751.5M-275.8M-613.9M-327.5M
Net VEX-1.6M-1.7M-1.4M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.031.450.200.70
Total Volume11,071.72,22596,6765,5263,150
Total OI198,652.8159,263233,698225,327163,717

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$72.56$65.0021.8%5.6%13.7%19.8%26.6%2.7%3.8%13.6M-613.9M-1.7M0.207.154,613913137,82287,505
2013-09-04$73.35$65.0022.0%5.7%14.3%20.1%20.4%3.4%3.9%14.9M-666.5M-1.7M0.436.546,4162,736139,53787,786
2013-09-05$74.04$65.0018.7%5.2%14.6%14.4%19.8%3.0%4.8%15.5M-719.1M-1.7M0.685.152,7331,867142,48387,773
2013-09-06$74.06$70.0018.6%6.6%14.5%14.1%24.1%3.7%-0.0%15.9M-723.0M-1.7M0.617.474,9153,010143,09888,779
2013-09-09$74.25$70.0021.3%6.7%14.5%19.0%24.2%3.5%-0.4%16.2M-733.2M-1.7M0.494.672,1211,040144,44888,865
2013-09-10$74.63$70.0020.9%6.6%14.2%18.3%25.1%3.7%-0.3%17.2M-751.5M-1.6M0.036.1293,7272,949144,60989,089
2013-09-11$75.18$70.0017.8%6.5%13.7%12.8%23.8%3.6%-0.1%17.2M-508.5M-1.6M1.058.003,4083,577105,96090,179
2013-09-12$74.74$70.0022.9%6.6%13.1%21.6%23.2%3.7%-0.3%17.4M-490.4M-1.6M0.487.013,2621,568106,14590,834
2013-09-13$74.48$70.0022.4%6.4%11.7%20.8%23.5%3.5%-0.1%18.1M-483.2M-1.6M0.848.262,2981,920107,14391,414
2013-09-16$75.12$70.0023.2%6.6%11.9%22.2%24.0%3.8%-0.8%19.5M-519.5M-1.4M1.259.121,9312,409107,15591,765
2013-09-17$74.31$70.0022.7%6.5%12.8%21.3%23.4%3.6%-0.5%18.8M-467.3M-1.5M0.627.022,5791,611107,43693,110
2013-09-18$73.04$70.0023.8%6.8%14.0%23.2%24.3%3.1%-1.0%10.9M-398.6M-1.5M1.0510.454,7154,938108,15693,880
2013-09-19$70.84$70.0024.4%7.0%17.6%24.2%23.8%3.2%-0.7%1.8M-280.1M-1.5M0.759.158,8176,630107,65595,115
2013-09-20$70.57$70.0023.5%6.7%17.6%22.7%23.5%3.2%-0.4%-1.3M-275.8M-1.5M0.808.748,8537,053110,13697,367
2013-09-23$71.82$70.0022.5%6.4%18.6%20.9%23.2%3.1%-0.6%8.7M-336.4M-1.5M0.436.945,4432,35893,48165,782
2013-09-24$72.32$70.0022.9%6.6%18.8%21.6%23.0%2.8%-1.0%10.1M-360.8M-1.5M0.7210.693,1602,26395,80367,083
2013-09-25$71.98$72.5022.6%6.5%18.3%21.1%23.3%3.3%-0.6%9.7M-344.3M-1.5M0.727.721,29792896,97368,520
2013-09-26$72.16$72.5022.4%6.4%18.3%20.8%23.0%3.0%-0.7%10.5M-353.3M-1.5M1.4510.812,8184,09997,47368,962
2013-09-27$71.99$72.5018.8%6.5%17.8%14.6%22.8%3.2%-0.8%-4.5M-344.8M-1.5M0.649.182,0211,28898,68471,334
2013-09-30$71.61$72.5022.3%6.8%17.6%20.7%24.5%3.0%-1.5%8.8M-327.5M-1.5M0.707.851,8481,30296,18167,536