UNH Options History — September 2015

In September 2015, UNH traded between $112.63 and $123.99. ATM implied volatility averaged 29.8%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.1% (HV 20d: 29.9%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-09-28: Highest Volume — 24,628 contracts
  • 2015-09-25: Largest IV spike — 16.0% change
  • 2015-09-28: Highest IV Rank — 100.0%
  • 2015-09-28: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.87$112.63$123.99$112.63$116.15
Max Pain$117.33$115.00$120.00$117.00$120.00
ATM IV29.8%24.8%39.2%34.6%34.1%
Expected Move8.9%7.1%12.6%10.4%10.7%
HV 20d29.9%24.7%32.9%31.2%27.8%
HV 60d24.9%24.0%26.2%24.5%26.2%
IV Rank62.8%41.4%100.0%84.5%78.5%
IV Percentile94.9%83.7%100.0%99.2%97.6%
Term Structure-0.5%-3.3%3.0%-3.3%-0.9%
VWIV31.7%25.5%43.8%37.6%39.9%
Skew 25d6.6%5.0%9.1%8.4%8.0%
Skew 10d14.2%9.3%25.4%14.3%12.6%
Call IV 25d27.3%23.9%35.9%30.5%31.1%
Put IV 25d34.0%29.1%43.4%38.9%39.1%
Bid-Ask Spread %35.5519.5863.7027.7146.43
Gamma HHI0.110.080.270.080.09
Net GEX4.7M-4.7M27.8M-3.4M-1.7M
Net DEX-289.9M-593.8M-62.4M-62.4M-186.0M
Net VEX-3.1M-3.4M-2.8M-3.4M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.621.981.380.95
Total Volume13,992.6198,67624,6289,20410,419
Total OI209,827.571189,993229,515206,117218,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$112.63$117.0034.6%10.4%31.2%84.5%37.6%8.4%-3.3%-3.4M-62.4M-3.4M1.3827.713,8735,33197,047109,070
2015-09-02$114.03$117.0030.1%8.9%29.9%65.3%30.4%9.1%-0.5%-3.2M-105.7M-3.4M1.0126.885,3895,42297,383109,517
2015-09-03$114.15$115.0028.5%8.4%29.7%58.4%30.3%6.3%-0.3%-3.2M-113.7M-3.3M1.6928.273,7556,34398,546109,540
2015-09-04$112.81$115.0030.4%8.5%29.8%66.5%30.2%7.6%-0.2%-4.7M-67.1M-3.3M0.8722.556,8845,98999,015110,600
2015-09-08$116.09$115.0027.3%8.3%31.8%52.2%28.9%8.1%1.3%-54.2K-208.8M-3.1M0.9225.164,8784,48998,823110,117
2015-09-09$115.07$115.0027.8%8.4%31.9%54.6%29.3%5.8%1.8%-2.2M-164.0M-3.2M0.9024.905,8075,20998,482111,498
2015-09-10$116.63$115.0028.2%8.8%32.3%56.5%29.3%7.2%3.0%822.4K-235.0M-3.2M0.6223.028,0824,97198,735111,250
2015-09-11$118.48$115.0027.7%8.1%32.9%54.1%31.5%6.7%0.5%5.3M-329.9M-3.2M0.9621.485,7765,567100,315111,861
2015-09-14$117.60$115.0028.6%8.3%32.9%58.1%32.2%6.6%-0.0%3.1M-293.2M-3.0M1.0719.584,1874,48998,868111,430
2015-09-15$120.03$115.0027.0%7.8%32.7%50.8%30.3%5.3%0.1%10.5M-416.6M-2.9M1.0124.429,7249,79899,216111,565
2015-09-16$121.21$115.0026.3%7.5%32.5%47.9%26.4%5.5%0.0%15.6M-475.7M-2.9M0.9128.196,1945,639106,329118,579
2015-09-17$123.07$115.0024.8%7.1%32.4%41.4%27.7%5.0%0.6%27.8M-593.8M-2.9M1.0330.067,5577,764107,973119,030
2015-09-18$122.40$120.0026.7%7.8%31.0%49.5%25.5%5.6%-1.5%11.3M-538.3M-3.0M0.7340.598,8166,452108,863120,652
2015-09-21$123.99$120.0026.5%7.6%29.2%48.9%27.9%5.8%-1.7%13.0M-527.1M-2.8M1.1847.926,6027,80889,953100,040
2015-09-22$122.96$120.0028.9%8.5%24.8%59.2%28.9%6.2%-0.8%9.7M-473.2M-3.0M1.9846.686,41712,67792,207103,177
2015-09-23$123.31$120.0028.4%8.2%24.7%57.0%26.7%5.2%-1.4%13.3M-504.5M-3.0M1.2947.989,39312,15394,941101,912
2015-09-24$121.09$120.0029.3%8.9%25.7%61.3%29.7%5.5%-0.7%10.1M-412.9M-3.1M1.2051.908,41610,085100,414102,322
2015-09-25$116.39$120.0034.1%10.6%27.1%82.0%37.0%5.6%-1.2%1.8M-185.2M-3.2M1.6863.705,6979,589104,613103,969
2015-09-28$112.95$120.0039.2%12.6%29.0%100.0%43.8%7.6%-1.8%-2.6M-78.3M-3.2M1.8152.738,77015,858102,692102,575
2015-09-29$114.28$120.0037.2%11.8%29.2%91.8%42.4%8.8%-2.6%-3.1M-117.3M-3.3M0.8846.426,1665,410105,416109,456
2015-09-30$116.15$120.0034.1%10.7%27.8%78.5%39.9%8.0%-0.9%-1.7M-186.0M-3.3M0.9546.435,3425,077107,309111,079