UNH Options History — January 2016

In January 2016, UNH traded between $109.25 and $116.74. ATM implied volatility averaged 28.8%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.5% (HV 20d: 23.2%). Max pain ranged from $113.00 to $120.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-01-29: Highest Volume — 28,931 contracts
  • 2016-01-19: Largest IV drop — 13.0% change
  • 2016-01-15: Highest IV Rank — 68.8%
  • 2016-01-15: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.80$109.25$116.74$116.22$115.16
Max Pain$115.11$113.00$120.00$120.00$113.00
ATM IV28.8%25.1%32.2%27.0%25.1%
Expected Move8.1%7.1%9.1%7.7%7.1%
HV 20d23.2%17.4%28.1%19.7%28.1%
HV 60d27.5%26.9%28.5%27.5%28.1%
IV Rank53.2%36.9%68.8%45.4%36.9%
IV Percentile85.7%62.7%96.0%83.7%62.7%
Term Structure-0.4%-1.3%0.7%-0.8%0.1%
VWIV30.2%24.6%36.7%27.4%24.6%
Skew 25d6.2%5.1%8.2%5.4%5.2%
Skew 10d13.5%10.7%15.9%15.1%13.4%
Call IV 25d26.5%23.2%29.8%25.0%23.2%
Put IV 25d32.7%28.4%38.0%30.4%28.4%
Bid-Ask Spread %19.6014.1426.9625.0518.09
Gamma HHI0.100.060.180.130.06
Net GEX-3.9M-18.4M3.8M-249.2K1.7M
Net DEX77.8M-81.2M255.0M-54.0M8.2M
Net VEX-1.6M-1.9M-1.4M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.442.501.380.46
Total Volume15,993.8957,97328,93110,40028,931
Total OI154,291.05382,290203,522179,894131,417

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$116.22$120.0027.0%7.7%19.7%45.4%27.4%5.4%-0.8%-249.2K-54.0M-1.6M1.3825.054,3676,03374,845105,049
2016-01-05$116.74$120.0026.3%7.4%17.7%41.9%26.5%5.1%-0.8%1.9M-81.2M-1.6M0.6619.425,9293,93075,849106,698
2016-01-06$115.28$120.0028.1%7.7%17.4%50.0%26.0%6.0%-0.7%-4.3M-3.4M-1.6M0.9322.664,1313,84277,936107,603
2016-01-07$112.24$115.0030.9%8.7%19.7%63.0%32.4%6.4%-1.1%-10.0M118.9M-1.5M1.4318.466,8109,76478,580108,181
2016-01-08$109.91$115.0031.8%8.7%20.7%66.6%29.1%6.5%-1.3%-18.4M223.8M-1.6M0.6619.487,5484,94680,995113,504
2016-01-11$109.69$115.0031.1%8.6%20.3%63.7%32.3%6.9%-1.1%-11.0M199.3M-1.5M2.1117.334,3839,22780,993111,952
2016-01-12$112.26$115.0029.1%8.4%22.3%54.8%28.5%5.9%0.0%-7.0M89.9M-1.5M2.2014.244,5089,90282,147112,101
2016-01-13$109.26$115.0031.2%8.6%24.1%64.0%30.9%7.0%-0.8%-11.4M221.1M-1.5M1.6818.503,8686,47982,969114,839
2016-01-14$110.65$115.0029.9%8.6%23.7%58.4%30.4%6.6%-0.1%-8.8M173.4M-1.4M1.5015.266,67110,00483,448116,916
2016-01-15$109.25$115.0032.2%9.1%23.4%68.8%35.0%8.2%-1.0%-3.9M255.0M-1.4M2.5014.144,54311,36484,909118,613
2016-01-19$112.63$115.0028.1%8.0%26.3%49.9%27.9%5.9%0.7%-1.3M45.3M-1.5M0.4415.4014,2156,23836,35845,932
2016-01-20$114.88$115.0030.1%8.6%25.6%59.3%32.3%6.2%-0.3%3.1M-9.7M-1.7M0.9421.677,4426,97046,44448,482
2016-01-21$113.92$113.0028.7%8.2%25.5%52.8%28.2%5.9%-0.1%3.1M12.0M-1.7M0.8720.079,4088,20448,76350,868
2016-01-22$114.21$113.0026.0%7.4%25.5%40.6%27.8%5.7%0.6%3.8M3.6M-1.7M0.8421.2212,88410,78154,73056,080
2016-01-25$113.39$113.0027.4%7.9%25.1%47.1%36.7%6.3%0.3%57.7K43.9M-1.8M1.5624.239,00914,02856,38558,561
2016-01-26$113.83$113.0026.5%7.6%25.2%42.9%32.1%5.8%-0.3%852.1K34.4M-1.8M1.1220.438,1469,13958,95364,494
2016-01-27$112.22$113.0028.1%8.1%25.5%50.3%32.8%6.5%-0.1%-3.7M82.5M-1.8M1.2726.967,5999,64259,65866,700
2016-01-28$111.47$114.0028.8%8.2%25.0%53.5%32.1%6.8%-0.6%-7.8M116.0M-1.8M0.9219.746,7886,21159,60469,974
2016-01-29$115.16$113.0025.1%7.1%28.1%36.9%24.6%5.2%0.1%1.7M8.2M-1.9M0.4618.0919,8299,10260,35371,064