UNH Options History — January 2015

In January 2015, UNH traded between $98.92 and $113.94. ATM implied volatility averaged 22.4%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.0% (HV 20d: 26.3%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-01-21: Highest Volume — 22,093 contracts
  • 2015-01-21: Largest IV drop — 17.8% change
  • 2015-01-06: Highest IV Rank — 66.6%
  • 2015-01-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.67$98.92$113.94$100.89$106.28
Max Pain$102.75$100.00$105.00$105.00$105.00
ATM IV22.4%18.2%24.9%22.5%22.6%
Expected Move6.3%5.2%6.9%6.4%6.8%
HV 20d26.3%21.1%31.2%22.4%31.2%
HV 60d21.8%19.7%23.8%21.8%23.8%
IV Rank51.9%27.9%66.6%52.5%53.0%
IV Percentile81.9%41.7%98.8%90.5%88.9%
Term Structure-0.1%-1.4%1.8%0.1%-0.3%
VWIV23.1%20.3%25.8%21.6%25.7%
Skew 25d3.6%1.0%6.1%2.5%1.6%
Skew 10d7.4%3.1%12.8%5.5%3.5%
Call IV 25d21.8%17.1%25.6%22.7%22.8%
Put IV 25d25.4%20.4%28.9%25.2%24.3%
Bid-Ask Spread %20.0312.5127.7014.9619.09
Gamma HHI0.150.080.290.160.08
Net GEX9.2M4.6M17.5M6.1M4.6M
Net DEX-309.3M-455.8M-191.2M-269.1M-191.2M
Net VEX-1.7M-2.1M-1.5M-1.6M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.352.360.381.49
Total Volume12,549.22,64722,09314,8789,092
Total OI137,871.3595,599168,163144,019128,863

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$100.89$105.0022.5%6.4%22.4%52.5%21.6%2.5%0.1%6.1M-269.1M-1.6M0.3814.9610,7994,07957,55586,464
2015-01-05$99.12$105.0024.8%6.7%22.7%65.7%22.7%2.8%-1.0%9.4M-201.5M-1.7M0.8717.051,9951,73857,12285,811
2015-01-06$98.92$105.0024.9%6.8%22.6%66.6%24.5%3.4%-0.9%9.1M-195.8M-1.6M1.9413.942,8775,59357,57986,768
2015-01-07$99.93$100.0024.6%6.7%22.9%64.6%23.8%4.7%-0.7%10.9M-219.8M-1.7M0.9518.541,5841,50958,84590,888
2015-01-08$104.65$100.0022.3%6.5%28.0%51.2%22.7%4.4%1.8%10.4M-380.0M-1.6M0.4915.6211,1275,42059,23591,497
2015-01-09$103.89$100.0023.8%6.5%27.1%60.3%24.7%4.8%-0.2%12.5M-369.9M-1.7M0.5012.5112,0686,09262,56392,285
2015-01-12$102.67$100.0024.9%6.6%27.6%66.2%24.6%3.2%-1.0%10.8M-301.1M-1.7M0.4717.3113,1646,14165,95792,177
2015-01-13$102.89$100.0023.8%6.7%27.3%60.3%24.1%1.0%0.2%10.9M-314.6M-1.7M0.3523.2213,2054,66467,94394,792
2015-01-14$103.31$100.0024.5%6.9%27.3%63.8%25.7%5.3%0.3%11.7M-334.5M-1.7M0.5221.3910,1395,30069,21295,595
2015-01-15$104.40$100.0024.8%6.9%25.2%66.0%25.8%5.5%-1.4%13.8M-368.6M-1.7M0.4317.4113,0485,56168,95795,882
2015-01-16$105.77$100.0023.3%6.6%22.9%57.2%23.4%6.1%-0.4%17.5M-419.3M-1.7M0.3521.386,0162,12970,96897,195
2015-01-20$105.62$100.0023.6%6.7%21.1%58.9%24.1%4.1%-0.4%7.2M-232.2M-1.7M1.1323.566,3567,17346,48049,119
2015-01-21$109.32$105.0019.4%5.6%24.1%34.8%21.1%3.9%0.9%8.6M-320.3M-1.7M0.9627.7011,26510,82849,70653,041
2015-01-22$113.94$105.0018.2%5.2%27.6%27.9%20.3%3.3%0.8%8.1M-455.8M-1.5M1.0319.198,5788,85955,28358,143
2015-01-23$112.08$105.0018.4%5.2%28.6%28.8%20.3%3.2%0.3%7.4M-403.9M-1.8M2.3621.324,96011,68258,60361,242
2015-01-26$111.61$105.0019.0%5.4%28.7%32.7%20.3%3.0%0.4%8.1M-360.6M-1.8M2.1021.691,3202,77357,07463,476
2015-01-27$110.01$105.0020.6%5.9%29.4%41.5%23.0%2.7%-0.2%6.5M-311.2M-1.9M2.0725.898631,78457,21065,384
2015-01-28$108.72$105.0020.9%6.0%29.9%43.7%22.2%3.3%-0.3%5.5M-259.5M-2.0M1.5125.993,2394,87857,60966,037
2015-01-29$109.40$105.0020.6%6.1%29.9%41.7%21.1%3.5%0.6%5.5M-277.7M-2.0M1.0222.936,4846,60258,21966,648
2015-01-30$106.28$105.0022.6%6.8%31.2%53.0%25.7%1.6%-0.3%4.6M-191.2M-2.1M1.4919.093,6485,44460,21568,648