UNH Options History — October 2015

In October 2015, UNH traded between $113.85 and $124.02. ATM implied volatility averaged 27.9%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.4% (HV 20d: 30.3%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-10-22: Highest Volume — 37,582 contracts
  • 2015-10-22: Largest IV spike — 21.7% change
  • 2015-10-01: Highest IV Rank — 78.7%
  • 2015-10-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.69$113.85$124.02$115.27$118.10
Max Pain$118.64$115.00$120.00$120.00$120.00
ATM IV27.9%22.3%34.1%34.1%27.3%
Expected Move8.1%6.4%11.0%11.0%7.9%
HV 20d30.3%27.7%33.3%27.7%28.2%
HV 60d27.9%26.2%29.3%26.2%28.8%
IV Rank52.6%29.1%78.7%78.7%50.0%
IV Percentile85.5%58.7%98.0%98.0%85.7%
Term Structure-0.3%-1.7%1.6%-1.1%0.4%
VWIV29.0%23.1%40.6%40.6%26.3%
Skew 25d6.7%4.0%11.3%6.6%5.1%
Skew 10d14.7%10.2%21.7%15.0%13.3%
Call IV 25d25.5%20.3%32.4%30.9%25.7%
Put IV 25d32.2%25.0%39.3%37.5%30.8%
Bid-Ask Spread %38.9517.1959.2352.8125.24
Gamma HHI0.100.060.200.100.06
Net GEX2.2M-10.6M17.2M-2.9M1.4M
Net DEX-307.3M-577.7M-67.4M-158.6M-293.7M
Net VEX-2.9M-3.2M-2.6M-3.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.742.180.900.74
Total Volume16,386.1826,17737,5828,89222,706
Total OI214,191.227188,042224,942219,215224,113

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$115.27$120.0034.1%11.0%27.7%78.7%40.6%6.6%-1.1%-2.9M-158.6M-3.2M0.9052.814,6854,207107,710111,505
2015-10-02$118.46$120.0031.0%9.6%29.3%65.6%34.2%9.2%0.8%3.4M-296.8M-3.1M0.8759.235,6124,902108,162111,933
2015-10-05$119.65$120.0027.9%7.9%29.0%52.6%26.9%6.1%-0.3%7.6M-366.7M-2.9M0.8239.793,3972,780106,448108,440
2015-10-06$115.97$115.0031.7%8.9%29.7%68.7%30.7%6.7%-1.7%-3.0M-196.9M-3.0M1.5337.614,9727,618107,893109,544
2015-10-07$116.25$115.0030.9%8.7%29.5%65.3%30.9%6.4%-0.8%-3.9M-202.2M-3.0M1.1044.585,1505,665108,673112,699
2015-10-08$115.96$115.0030.4%8.5%29.2%63.3%30.4%6.9%-0.7%-6.0M-187.3M-3.0M1.7643.344,5508,024109,034112,991
2015-10-09$118.93$115.0027.0%7.5%30.0%48.7%26.3%5.8%-0.7%3.2M-344.1M-2.8M0.8018.0110,0198,027107,060109,271
2015-10-12$122.45$115.0025.8%7.4%31.6%43.8%24.8%8.3%-0.5%12.6M-483.8M-2.8M0.8617.197,1866,173100,665105,538
2015-10-13$124.02$115.0025.9%7.1%31.1%44.3%26.1%5.1%-0.9%17.2M-577.7M-2.6M1.2022.329,11510,938102,346106,539
2015-10-14$121.91$120.0026.4%8.0%31.6%46.5%27.0%6.0%1.6%9.3M-428.1M-2.9M1.5524.947,91612,234105,581110,993
2015-10-15$120.23$120.0024.3%6.9%31.5%37.7%25.2%5.4%-0.5%1.2M-348.6M-2.9M1.4529.906,94510,080108,162114,487
2015-10-16$119.96$120.0023.4%6.6%31.4%33.6%23.1%4.0%-0.2%-10.6M-323.9M-2.8M1.6919.275,3028,965109,110115,832
2015-10-19$120.52$120.0022.3%6.4%31.1%29.1%23.6%4.7%0.3%6.7M-392.9M-2.6M1.2327.744,6525,73589,55098,492
2015-10-20$120.18$120.0022.8%6.5%31.0%31.0%24.2%4.4%-0.4%5.9M-371.1M-2.7M1.3125.003,9725,22390,717100,158
2015-10-21$118.02$120.0027.5%7.9%31.5%50.9%30.1%6.8%-0.8%2.3M-259.6M-2.9M2.1854.355,78712,63191,538100,909
2015-10-22$113.85$120.0033.5%9.7%33.3%76.0%37.6%7.0%-0.7%-5.8M-67.4M-3.0M2.0056.0412,54525,03793,738108,475
2015-10-23$115.92$120.0031.5%9.1%31.1%67.8%33.0%7.7%-1.0%-6.6M-163.5M-3.1M1.5048.549,66614,53199,869123,746
2015-10-26$116.69$120.0029.3%8.6%29.1%58.4%31.4%8.4%-0.5%-2.9M-207.4M-3.1M1.7251.778,52214,65297,843120,193
2015-10-27$119.42$120.0028.0%8.2%29.9%52.9%28.5%11.3%0.4%5.6M-345.2M-3.1M1.2848.009,08711,610100,911118,372
2015-10-28$119.71$120.0026.8%8.5%29.5%47.9%28.8%10.4%0.3%6.4M-367.4M-3.0M1.1454.496,7547,732101,762119,187
2015-10-29$119.72$120.0026.0%7.7%29.3%44.7%27.8%4.6%0.4%6.9M-377.4M-3.0M1.3956.696,3668,826102,119119,899
2015-10-30$118.10$120.0027.3%7.9%28.2%50.0%26.3%5.1%0.4%1.4M-293.7M-2.9M0.7425.2413,0529,654102,756121,357