UNH Options History — February 2015

In February 2015, UNH traded between $106.40 and $116.30. ATM implied volatility averaged 21.4%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.5% (HV 20d: 25.9%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-02-20: Highest Volume — 29,932 contracts
  • 2015-02-23: Largest IV drop — 7.9% change
  • 2015-02-09: Highest IV Rank — 59.4%
  • 2015-02-09: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.45$106.40$116.30$107.29$113.70
Max Pain$99.08$95.00$105.00$105.00$100.00
ATM IV21.4%18.2%23.7%23.3%18.2%
Expected Move6.1%5.3%7.0%6.7%5.3%
HV 20d25.9%20.4%31.2%31.2%22.0%
HV 60d23.7%23.0%24.5%23.8%24.5%
IV Rank46.5%28.0%59.4%56.9%28.0%
IV Percentile75.6%41.3%94.4%91.7%41.3%
Term Structure0.0%-1.2%1.2%-0.4%0.7%
VWIV22.3%18.9%25.2%25.2%18.9%
Skew 25d3.2%1.2%4.8%4.8%2.0%
Skew 10d7.6%2.3%12.2%8.5%3.5%
Call IV 25d20.8%18.4%22.8%21.3%18.8%
Put IV 25d24.0%20.0%26.1%26.1%20.7%
Bid-Ask Spread %18.6713.7724.4322.0416.35
Gamma HHI0.160.080.620.080.62
Net GEX6.7M-56.4M16.2M5.3M-56.4M
Net DEX-324.6M-478.6M-202.5M-213.2M-389.7M
Net VEX-2.1M-2.3M-1.9M-2.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.581.930.581.16
Total Volume13,637.8955,25129,9327,05914,473
Total OI143,562.211126,993155,234126,993153,989

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$107.29$105.0023.3%6.7%31.2%56.9%25.2%4.8%-0.4%5.3M-213.2M-2.1M0.5822.044,4562,60359,20267,791
2015-02-03$107.80$105.0023.4%6.4%30.3%57.7%24.1%3.0%0.1%6.2M-242.2M-2.1M1.0123.825,1825,25861,13868,881
2015-02-04$108.04$105.0022.7%6.3%30.2%53.5%22.1%2.6%-0.1%7.1M-252.4M-2.1M1.1923.954,8005,70561,74169,381
2015-02-05$108.79$95.0022.1%6.2%30.1%50.3%22.5%2.6%0.6%8.0M-289.0M-2.0M0.6522.876,9994,57262,84670,375
2015-02-06$107.44$95.0022.2%6.8%26.2%50.7%23.4%1.7%0.1%8.2M-257.4M-2.1M0.9624.437,3767,10865,50670,654
2015-02-09$106.40$95.0023.7%7.0%26.4%59.4%24.8%3.3%1.0%7.2M-202.5M-2.2M1.9319.265,44410,50864,15070,261
2015-02-10$109.05$97.5022.4%6.3%27.1%51.9%24.0%3.8%-0.5%7.8M-290.7M-2.2M1.6817.415,1148,57966,33076,790
2015-02-11$109.77$97.5022.5%6.4%27.2%52.3%22.9%3.9%-0.4%10.8M-325.0M-2.2M1.8320.873,7936,94468,18578,952
2015-02-12$109.75$97.5022.2%6.2%27.2%51.1%22.2%3.5%-0.9%12.6M-337.1M-2.2M1.4814.654,0315,97669,24679,639
2015-02-13$109.35$97.5022.1%6.2%27.1%50.4%24.1%4.2%-1.2%11.7M-307.8M-2.2M0.8314.717,2686,01870,54981,037
2015-02-17$109.53$97.5021.8%6.2%26.8%48.5%22.3%4.6%-0.3%11.6M-301.0M-2.1M1.6818.883,5776,00668,35279,717
2015-02-18$109.73$97.5022.0%6.3%26.8%49.6%24.2%4.5%-0.4%11.9M-304.1M-2.2M1.1516.924,9035,61469,48282,017
2015-02-19$110.03$97.5021.8%6.2%23.9%48.3%23.1%4.3%0.3%14.8M-320.2M-2.1M0.8015.462,9182,33370,27682,444
2015-02-20$112.62$100.0020.8%5.7%20.4%42.6%21.1%3.9%1.2%16.2M-435.7M-2.1M1.0119.9014,86215,07071,23783,997
2015-02-23$116.30$100.0019.1%5.5%22.6%33.2%20.0%3.6%-0.1%13.3M-478.6M-1.9M1.2517.3312,59515,77064,37170,832
2015-02-24$115.35$100.0019.4%5.5%22.8%35.0%19.7%2.2%-0.5%12.4M-449.1M-2.1M1.4913.775,8068,63268,42476,791
2015-02-25$114.00$100.0018.6%5.4%22.5%30.5%19.6%1.2%0.7%9.8M-391.0M-2.2M0.9516.097,0986,75870,39179,157
2015-02-26$113.66$100.0019.1%5.4%22.0%32.9%20.3%1.4%0.8%9.1M-381.1M-2.3M0.8716.087,9876,98473,33080,221
2015-02-27$113.70$100.0018.2%5.3%22.0%28.0%18.9%2.0%0.7%-56.4M-389.7M-2.2M1.1616.356,7027,77173,06680,923