UNH Options History — February 2016

In February 2016, UNH traded between $110.05 and $121.52. ATM implied volatility averaged 27.0%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 0.1% (HV 20d: 26.9%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2016-02-11: Highest Volume — 25,744 contracts
  • 2016-02-16: Largest IV drop — 11.9% change
  • 2016-02-08: Highest IV Rank — 70.1%
  • 2016-02-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.85$110.05$121.52$115.92$119.30
Max Pain$114.80$113.00$115.00$114.00$115.00
ATM IV27.0%22.2%32.5%25.8%23.3%
Expected Move7.7%6.3%9.2%7.3%7.0%
HV 20d26.9%25.1%28.5%28.1%25.5%
HV 60d26.7%24.6%28.1%28.1%24.7%
IV Rank45.1%23.5%70.1%39.7%28.8%
IV Percentile68.5%33.7%96.0%67.1%40.5%
Term Structure-0.2%-1.6%1.5%-0.3%0.4%
VWIV28.3%23.6%34.2%27.1%25.2%
Skew 25d6.4%5.3%7.3%5.9%5.3%
Skew 10d14.6%8.6%17.5%14.6%8.6%
Call IV 25d24.5%20.4%29.3%23.7%21.3%
Put IV 25d31.0%26.0%36.5%29.6%26.7%
Bid-Ask Spread %20.1812.8428.2921.4021.21
Gamma HHI0.100.060.160.080.11
Net GEX6.6M-6.0M23.2M10.9M11.3M
Net DEX-38.3M-243.9M144.0M-52.0M-111.8M
Net VEX-2.2M-2.4M-2.0M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.662.490.740.95
Total Volume13,497.957,49925,74421,5087,499
Total OI148,229.95129,993163,696138,745133,467

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$115.92$114.0025.8%7.3%28.1%39.7%27.1%5.9%-0.3%10.9M-52.0M-2.0M0.7421.4012,3929,11667,93270,813
2016-02-02$113.85$113.0027.4%7.8%28.3%47.2%30.5%6.8%-0.0%4.9M18.1M-2.1M1.2128.297,8019,41073,17573,952
2016-02-03$112.74$114.0028.1%8.1%28.4%50.2%33.0%6.3%0.1%-973.7K75.7M-2.1M0.8226.108,4876,94773,86075,486
2016-02-04$114.09$115.0027.9%7.8%28.5%49.3%27.6%6.6%-0.1%5.5M10.2M-2.2M1.2812.844,9796,39374,58476,004
2016-02-05$111.46$115.0030.9%8.7%28.1%63.0%30.4%7.1%-0.7%-5.5M111.7M-2.1M0.9216.595,9885,52274,76576,482
2016-02-08$110.05$115.0032.5%9.1%27.4%70.1%32.4%7.2%-0.7%-6.0M144.0M-2.0M1.6522.544,4237,31169,93275,191
2016-02-09$111.13$115.0032.1%9.1%27.6%68.0%34.2%7.3%-0.3%-4.9M120.2M-2.1M2.3620.223,9659,35270,68777,881
2016-02-10$112.54$115.0030.4%8.3%26.7%60.8%31.4%7.3%-1.1%-2.8M77.9M-2.2M1.4114.794,3946,18471,27279,605
2016-02-11$110.92$115.0031.8%9.2%25.4%67.0%33.9%7.2%0.0%-5.5M132.6M-2.1M2.4919.977,36818,37671,85079,126
2016-02-12$111.75$115.0030.2%8.7%25.1%59.6%31.5%6.8%0.2%-3.6M109.7M-2.3M1.2218.114,6085,60475,59585,776
2016-02-16$114.98$115.0026.6%7.6%26.5%43.4%27.5%6.5%-0.1%5.8M-14.6M-2.3M0.9819.086,3016,18374,37584,213
2016-02-17$118.25$115.0023.9%6.9%26.1%31.5%26.7%6.5%1.0%14.2M-132.3M-2.3M1.4318.244,3476,22774,96785,568
2016-02-18$117.31$115.0026.3%7.6%25.6%42.1%27.0%6.8%-1.6%10.6M-94.3M-2.3M1.3315.914,8496,46075,32886,648
2016-02-19$117.56$115.0024.4%6.9%25.3%33.8%27.2%6.6%1.5%8.5M-111.2M-2.3M1.1620.398,1249,44276,35887,338
2016-02-22$121.25$115.0023.4%6.7%27.4%29.0%23.6%5.6%-0.3%16.1M-208.7M-2.2M0.6626.499,3326,13760,92269,071
2016-02-23$121.22$115.0023.8%6.9%27.1%30.7%24.0%5.7%-0.4%19.1M-217.8M-2.3M1.4722.185,3117,78566,62070,834
2016-02-24$120.10$115.0024.1%7.1%27.5%32.3%25.5%5.7%-0.5%17.7M-168.5M-2.4M1.1021.394,2784,71568,68570,922
2016-02-25$120.99$115.0023.9%6.8%26.8%31.3%24.1%6.1%-0.6%23.2M-211.5M-2.3M1.1916.584,5605,42369,47972,592
2016-02-26$121.52$115.0022.2%6.3%26.5%23.5%23.7%5.6%0.1%14.2M-243.9M-2.3M0.7621.238,1526,21469,88173,363
2016-02-29$119.30$115.0023.3%7.0%25.5%28.8%25.2%5.3%0.4%11.3M-111.8M-2.3M0.9521.213,8433,65666,11667,351