UNH Options History — September 2016

In September 2016, UNH traded between $133.58 and $141.07. ATM implied volatility averaged 16.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.6% (HV 20d: 13.3%). Max pain ranged from $135.00 to $139.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-09-16: Highest Volume — 22,390 contracts
  • 2016-09-02: Largest IV drop — 12.9% change
  • 2016-09-29: Highest IV Rank — 26.3%
  • 2016-09-14: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$137.43$133.58$141.07$135.80$140.32
Max Pain$136.05$135.00$139.00$135.00$139.00
ATM IV16.9%14.4%18.7%16.5%17.9%
Expected Move5.1%3.8%5.7%4.6%5.4%
HV 20d13.3%9.7%16.6%9.7%15.9%
HV 60d11.5%10.5%12.3%10.7%12.3%
IV Rank14.7%4.6%26.3%12.8%22.7%
IV Percentile17.8%4.0%30.2%13.5%25.8%
Term Structure0.7%-0.5%2.7%0.1%-0.2%
VWIV19.4%15.2%24.5%17.1%22.9%
Skew 25d4.1%3.2%5.1%4.3%4.3%
Skew 10d9.7%6.3%15.8%10.3%10.9%
Call IV 25d15.3%12.9%17.1%15.2%15.9%
Put IV 25d19.4%16.6%21.9%19.5%20.2%
Bid-Ask Spread %26.479.4135.6522.1228.28
Gamma HHI0.120.080.290.090.11
Net GEX-4.6M-27.3M22.4M-22.8M22.4M
Net DEX27.1M-190.9M267.0M165.2M-190.9M
Net VEX-2.9M-3.1M-2.7M-3.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.562.800.692.03
Total Volume11,271.6677,75322,3908,7637,753
Total OI177,590.952150,319199,649190,576171,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$135.80$135.0016.5%4.6%9.7%12.8%17.1%4.3%0.1%-22.8M165.2M-3.0M0.6922.125,1913,57276,510114,066
2016-09-02$136.57$135.0014.4%3.8%10.0%4.6%15.2%3.4%0.3%-26.8M114.8M-3.0M1.0312.075,3015,48277,405114,102
2016-09-06$135.79$135.0015.0%5.4%10.0%7.0%19.0%3.9%1.2%-22.2M148.3M-2.9M0.569.4110,4945,85576,201113,327
2016-09-07$134.82$135.0014.5%5.2%10.2%5.2%19.4%3.8%1.5%-25.6M234.8M-2.8M0.8917.695,5514,91571,783115,332
2016-09-08$135.38$135.0014.6%5.1%10.3%5.5%19.7%3.7%1.6%-23.5M181.6M-2.8M0.9524.854,7364,47773,148114,721
2016-09-09$133.96$135.0016.3%5.3%10.4%12.0%16.7%4.6%1.2%-26.2M267.0M-2.9M0.6329.1911,9827,52273,376114,822
2016-09-12$135.55$135.0018.2%5.6%11.6%19.3%20.1%5.0%2.5%-15.7M136.9M-2.8M1.0135.654,0344,07677,212112,681
2016-09-13$133.76$135.0018.6%5.6%12.0%20.9%22.4%4.9%1.0%-22.0M237.7M-2.9M1.5233.733,5815,43377,910113,129
2016-09-14$133.58$135.0018.6%5.7%12.0%20.8%21.7%5.1%1.3%-22.1M244.4M-2.8M2.8027.983,1058,70478,590114,594
2016-09-15$135.81$135.0016.7%5.4%13.7%13.7%19.6%4.1%2.7%-27.3M145.0M-2.9M1.3429.673,4694,64579,123119,421
2016-09-16$138.39$135.0016.3%5.0%15.5%12.2%18.7%3.9%1.6%6.4M1.8M-2.9M0.5827.3714,1768,21479,511120,138
2016-09-19$137.74$135.0017.5%5.2%15.5%16.7%17.8%4.4%-0.3%1.2M-32.8M-2.8M0.8725.826,2525,42156,35593,964
2016-09-20$137.67$136.0018.3%5.3%15.5%19.8%19.0%4.4%-0.5%827.1K-21.4M-3.0M1.5925.303,1535,00159,44096,399
2016-09-21$139.78$136.0017.7%5.1%16.6%17.4%17.6%3.9%-0.2%7.7M-106.0M-3.0M1.9330.954,8729,40760,09297,951
2016-09-22$141.07$136.0016.6%4.8%16.2%13.2%17.6%3.5%-0.1%15.7M-190.0M-2.8M1.4628.313,8395,58761,87699,256
2016-09-23$140.58$136.0016.2%4.7%14.5%11.7%16.2%3.2%-0.1%16.8M-174.8M-2.8M1.1028.425,6746,25063,23899,957
2016-09-26$139.75$138.0017.4%5.1%14.6%16.5%21.4%3.9%0.2%14.6M-131.4M-2.8M2.5028.172,4506,12664,19396,682
2016-09-27$140.72$138.0016.9%4.9%14.7%14.2%19.0%3.3%0.3%19.8M-180.7M-2.7M0.8332.356,8315,69164,84698,221
2016-09-28$140.42$139.0017.2%5.1%14.7%16.7%22.6%3.8%-0.1%21.0M-189.6M-2.9M1.5731.253,6335,69369,49499,043
2016-09-29$138.59$139.0018.7%5.6%15.4%26.3%24.5%4.7%-0.2%11.8M-91.5M-3.1M2.6727.182,3296,22870,56699,310
2016-09-30$140.32$139.0017.9%5.4%15.9%22.7%22.9%4.3%-0.2%22.4M-190.9M-2.9M2.0328.282,5605,19370,787100,638