UNH Options History — September 2014

In September 2014, UNH traded between $86.03 and $88.56. ATM implied volatility averaged 18.6%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.8% (HV 20d: 12.7%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.09.

Notable Days

  • 2014-09-09: Highest Volume — 63,792 contracts
  • 2014-09-23: Largest IV spike — 8.2% change
  • 2014-09-30: Highest IV Rank — 57.4%
  • 2014-09-15: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.08$86.03$88.56$86.39$86.25
Max Pain$86.07$85.00$87.50$85.00$87.50
ATM IV18.6%14.9%22.5%15.3%22.5%
Expected Move5.7%5.5%5.9%5.6%5.7%
HV 20d12.7%9.1%16.6%16.6%15.5%
HV 60d16.0%15.6%17.1%16.0%16.7%
IV Rank32.9%10.0%57.4%12.3%57.4%
IV Percentile46.0%8.3%91.7%12.7%91.7%
Term Structure0.3%-1.7%2.9%0.2%-1.7%
VWIV20.2%18.9%22.2%21.8%20.0%
Skew 25d2.2%0.5%3.6%2.3%2.8%
Skew 10d5.1%2.4%7.8%3.8%6.1%
Call IV 25d18.3%14.4%21.4%14.4%21.4%
Put IV 25d20.5%16.4%24.8%16.7%24.2%
Bid-Ask Spread %16.7313.8619.7519.0813.86
Gamma HHI0.130.080.250.130.09
Net GEX6.9M-15.3M18.1M14.0M2.0M
Net DEX-222.6M-437.8M-88.8M-347.6M-117.1M
Net VEX-1.6M-1.8M-1.4M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0415.211.340.65
Total Volume7,572.9522,10763,7923,1214,444
Total OI149,473.476126,992165,678161,241141,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$86.39$85.0015.3%5.6%16.6%12.3%21.8%2.3%0.2%14.0M-347.6M-1.5M1.3419.081,3341,78776,99084,251
2014-09-03$86.79$85.0015.2%5.6%15.1%11.5%21.0%1.5%0.1%13.9M-369.7M-1.4M1.2018.581,5161,82577,01485,247
2014-09-04$87.06$85.0015.3%5.7%15.1%12.2%20.2%1.3%0.3%13.4M-375.3M-1.5M0.6015.102,4391,45977,81886,597
2014-09-05$87.75$85.0014.9%5.6%9.7%10.0%19.0%1.9%-0.1%15.5M-404.9M-1.5M0.3818.272,57598078,64987,029
2014-09-08$87.91$85.0015.5%5.7%9.5%13.6%18.9%1.6%2.6%12.5M-397.8M-1.4M0.2617.622,31359477,50885,948
2014-09-09$88.56$85.0015.9%5.7%9.1%15.9%19.4%1.6%2.6%12.3M-437.8M-1.4M0.0416.5261,2922,50078,28686,205
2014-09-10$87.25$85.0016.5%5.7%11.5%20.1%20.9%0.5%1.7%6.8M-184.8M-1.5M0.6715.762,0531,37457,04687,367
2014-09-11$87.08$85.0016.9%5.7%10.8%22.6%20.5%2.8%1.7%6.4M-178.5M-1.5M3.9017.101,2294,79657,54087,793
2014-09-12$86.18$85.0017.9%5.8%11.9%29.0%20.6%0.9%2.9%2.9M-137.8M-1.6M0.8816.401,4501,27957,92290,861
2014-09-15$86.03$85.0019.4%5.9%11.7%37.9%22.1%2.4%-0.7%2.7M-129.8M-1.5M0.4016.971,50859957,88187,382
2014-09-16$87.16$85.0018.9%5.7%12.0%35.1%19.1%2.3%1.1%9.0M-180.0M-1.5M1.3317.701,3221,75358,93987,702
2014-09-17$86.99$85.0019.0%5.6%11.4%35.7%19.3%2.2%0.8%9.2M-177.0M-1.5M0.9819.751,8961,84959,37688,753
2014-09-18$87.63$87.5020.0%5.6%11.5%41.7%19.3%2.5%-0.4%14.5M-200.1M-1.5M0.5518.053,5961,98459,47589,669
2014-09-19$87.80$87.5019.2%5.5%11.5%37.0%22.2%2.4%-0.4%18.1M-210.3M-1.6M0.4917.663,2901,60661,69191,019
2014-09-22$87.77$87.5019.8%5.6%11.5%40.6%19.4%2.2%-0.5%7.6M-193.9M-1.6M15.2117.336229,45958,01768,975
2014-09-23$86.59$87.5021.4%5.5%12.7%50.8%20.0%2.5%-1.3%-7.6M-119.5M-1.7M1.7615.713,4556,06858,21177,650
2014-09-24$88.21$87.5021.1%5.6%13.8%48.6%19.4%2.8%-0.3%191.7K-196.1M-1.7M1.7014.382,0543,49260,50381,249
2014-09-25$86.18$87.5022.1%5.8%15.5%54.8%21.5%3.6%-0.8%-15.3M-88.8M-1.8M3.5815.241,0623,80461,45383,295
2014-09-26$86.60$87.5021.4%5.6%15.6%50.8%20.3%3.2%-1.0%3.1M-101.3M-1.8M6.8014.808825,99662,21685,286
2014-09-29$86.51$87.5021.7%5.6%15.6%52.8%20.2%3.2%-0.4%2.8M-125.7M-1.8M1.2115.402,4843,01260,96977,403
2014-09-30$86.25$87.5022.5%5.7%15.5%57.4%20.0%2.8%-1.7%2.0M-117.1M-1.8M0.6513.862,6961,74862,35479,404