UNH Options History — November 2015

In November 2015, UNH traded between $110.55 and $118.70. ATM implied volatility averaged 25.6%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.3% (HV 20d: 28.8%). Max pain ranged from $118.00 to $120.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2015-11-19: Highest Volume — 36,184 contracts
  • 2015-11-19: Largest IV spike — 17.1% change
  • 2015-11-19: Highest IV Rank — 59.2%
  • 2015-11-13: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.46$110.55$118.70$118.70$112.71
Max Pain$119.75$118.00$120.00$120.00$118.00
ATM IV25.6%22.3%29.4%26.5%22.6%
Expected Move7.4%6.6%8.5%7.7%6.8%
HV 20d28.8%24.2%33.7%28.0%32.9%
HV 60d29.4%27.8%30.8%28.8%29.8%
IV Rank43.0%29.3%59.2%46.8%30.4%
IV Percentile73.5%48.4%91.7%82.5%52.0%
Term Structure-0.2%-1.2%0.8%-0.8%-0.2%
VWIV26.7%23.3%31.6%30.0%24.2%
Skew 25d4.5%2.9%6.7%6.7%3.7%
Skew 10d9.5%4.6%13.1%12.5%5.3%
Call IV 25d24.1%21.4%28.3%24.2%21.6%
Put IV 25d28.6%24.6%33.4%31.0%25.3%
Bid-Ask Spread %25.1210.0346.2521.2342.44
Gamma HHI0.090.060.150.060.10
Net GEX-7.5M-22.8M4.7M4.7M-4.3M
Net DEX-154.0M-320.6M66.0M-320.6M-140.7M
Net VEX-2.4M-2.8M-2.0M-2.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.363.031.310.36
Total Volume14,920.655,23636,18413,91824,576
Total OI226,571.95213,437247,243222,328213,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$118.70$120.0026.5%7.7%28.0%46.8%30.0%6.7%-0.8%4.7M-320.6M-2.8M1.3121.236,0327,886103,490118,838
2015-11-03$117.82$120.0026.0%7.6%25.7%44.6%29.1%5.2%-0.3%2.2M-284.6M-2.8M1.7120.344,8608,323106,401119,308
2015-11-04$114.53$119.0027.6%8.1%27.7%51.5%28.5%4.0%-1.0%-8.2M-138.1M-2.7M1.4923.385,6368,424107,603120,226
2015-11-05$116.44$120.0026.5%7.7%28.3%46.9%26.9%5.5%-0.4%-4.3M-214.5M-2.8M1.3020.024,2675,527108,105121,453
2015-11-06$114.81$120.0026.3%7.6%27.1%46.0%26.3%4.3%-0.2%-8.6M-146.8M-2.6M3.0317.161,5704,750108,347121,779
2015-11-09$114.26$120.0026.4%7.5%24.5%46.1%26.9%4.8%-0.3%-9.5M-126.3M-2.6M1.4913.925,0537,506105,210118,671
2015-11-10$115.83$120.0024.8%7.3%24.6%39.4%25.0%3.9%0.6%-7.1M-210.5M-2.4M1.2512.097,2799,110103,565120,024
2015-11-11$116.25$120.0024.9%7.3%24.2%39.8%25.9%4.2%0.8%-3.1M-240.5M-2.4M1.6633.955,4699,064105,827119,920
2015-11-12$112.79$120.0025.8%7.3%25.9%43.8%26.9%4.2%-0.3%-13.4M-67.4M-2.4M1.9514.515,39610,527105,990120,108
2015-11-13$111.51$120.0029.3%8.5%26.0%58.5%29.5%5.1%0.8%-12.2M2.4M-2.6M2.0613.668,43717,408106,130121,689
2015-11-16$113.82$120.0026.2%7.5%27.3%45.5%25.2%5.7%-0.1%-12.4M-99.1M-2.5M1.8510.033,5136,503106,128122,916
2015-11-17$114.54$120.0025.7%7.4%27.5%43.5%26.7%5.1%-0.5%-12.6M-140.7M-2.4M1.7920.784,1007,330107,388125,308
2015-11-18$117.43$120.0025.2%7.2%28.4%41.1%23.5%5.2%-0.9%-830.5K-304.0M-2.3M0.6413.609,0095,781107,700125,969
2015-11-19$110.55$120.0029.4%8.5%33.4%59.2%31.6%5.1%-1.2%-22.8M66.0M-2.4M1.9315.9012,36023,824109,675126,023
2015-11-20$112.94$120.0026.1%7.4%33.7%45.1%29.4%4.3%0.4%-19.3M-63.5M-2.4M1.8228.579,42017,190115,101132,142
2015-11-23$112.16$120.0024.3%7.1%33.6%37.6%25.6%3.5%-0.0%-10.6M-94.0M-2.2M0.8042.883,9493,160100,515115,285
2015-11-24$113.19$120.0023.4%6.8%32.5%33.9%25.5%3.6%-0.1%-6.2M-132.8M-2.3M1.3145.782,2622,974102,547116,049
2015-11-25$114.48$120.0022.5%6.6%32.9%29.8%23.4%3.6%-0.2%-496.1K-209.6M-2.1M1.1345.854,7235,329103,477116,771
2015-11-27$114.34$118.0022.3%6.6%32.9%29.3%23.3%2.9%0.1%-661.7K-214.8M-2.1M1.3146.254,2725,614104,400117,924
2015-11-30$112.71$118.0022.6%6.8%32.9%30.4%24.2%3.7%-0.2%-4.3M-140.7M-2.0M0.3642.4418,0596,517102,761110,676