UNH Options History — October 2016

In October 2016, UNH traded between $134.22 and $145.31. ATM implied volatility averaged 19.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.4% (HV 20d: 21.9%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2016-10-20: Highest Volume — 31,653 contracts
  • 2016-10-18: Largest IV drop — 21.5% change
  • 2016-10-13: Highest IV Rank — 53.4%
  • 2016-10-17: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.55$134.22$145.31$138.42$141.23
Max Pain$139.62$135.00$140.00$139.00$140.00
ATM IV19.5%15.6%24.0%19.7%18.7%
Expected Move5.6%4.6%6.5%6.1%5.7%
HV 20d21.9%14.9%28.5%16.7%27.6%
HV 60d15.7%12.4%19.3%12.5%19.3%
IV Rank31.4%12.8%53.4%32.2%28.7%
IV Percentile37.5%10.3%71.4%36.9%34.5%
Term Structure-0.2%-2.6%1.4%0.5%-0.2%
VWIV21.1%17.1%24.8%23.9%19.2%
Skew 25d4.8%1.8%5.6%5.3%4.6%
Skew 10d11.1%7.9%13.7%11.1%11.3%
Call IV 25d17.6%14.0%22.5%17.2%16.5%
Put IV 25d22.3%18.2%26.9%22.5%21.1%
Bid-Ask Spread %21.8211.7384.1924.2111.73
Gamma HHI0.120.080.290.090.10
Net GEX13.3M-13.9M72.2M9.4M4.9M
Net DEX-111.0M-460.2M141.2M-80.6M-105.8M
Net VEX-2.8M-2.9M-2.6M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.673.502.021.63
Total Volume14,696.0957,14631,6537,14612,805
Total OI180,237.476166,842197,845166,842190,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$138.42$139.0019.7%6.1%16.7%32.2%23.9%5.3%0.5%9.4M-80.6M-2.9M2.0224.212,3664,78068,93397,909
2016-10-04$137.92$139.0019.7%6.1%16.6%32.1%23.9%5.0%0.6%7.2M-63.0M-2.8M1.9729.412,4404,81269,69699,097
2016-10-05$137.56$139.0017.9%6.2%16.4%23.4%24.8%1.8%1.4%5.6M-37.3M-2.8M3.5084.191,8746,55070,328100,324
2016-10-06$136.26$140.0021.4%6.2%16.7%40.8%20.1%5.5%1.0%-4.8M34.6M-2.9M2.1841.512,9826,50470,575102,294
2016-10-07$136.79$140.0021.0%6.2%16.3%38.8%22.2%5.0%1.2%-1.9M3.7M-2.9M1.8125.094,2427,66170,962102,914
2016-10-10$137.99$140.0020.9%5.5%16.0%38.4%21.8%5.3%-2.4%1.5M-42.7M-2.7M1.3915.143,1134,34068,853101,537
2016-10-11$134.81$140.0022.4%6.2%17.5%45.8%21.7%5.4%-0.5%-11.0M105.8M-2.7M2.2317.013,6748,19269,599101,526
2016-10-12$135.13$140.0022.6%6.3%17.5%46.3%21.8%5.2%-0.6%-9.5M86.6M-2.7M2.2219.163,3687,48170,498102,262
2016-10-13$134.32$140.0024.0%6.3%16.6%53.4%23.4%4.4%-2.6%-13.5M129.2M-2.7M1.7116.252,8554,87470,992103,343
2016-10-14$134.22$140.0023.1%6.2%15.0%49.0%22.6%4.6%-2.6%-13.9M141.2M-2.7M1.2716.713,7554,77771,155104,365
2016-10-17$134.25$140.0023.0%6.5%14.9%48.5%21.8%5.6%-0.7%-9.8M121.4M-2.7M0.9914.015,7515,66970,010101,350
2016-10-18$143.54$135.0018.1%5.1%28.5%24.2%22.2%5.0%-0.3%46.4M-359.6M-2.6M0.9318.8316,14015,02872,004104,070
2016-10-19$144.66$140.0018.4%5.3%28.1%25.9%19.9%4.4%-0.7%61.7M-438.8M-2.6M1.2616.9112,19115,42075,633109,716
2016-10-20$145.21$140.0017.8%5.1%28.0%22.9%17.9%5.2%-0.9%72.2M-460.2M-2.7M0.7316.0918,34613,30778,070115,950
2016-10-21$145.31$140.0016.6%4.8%27.9%17.0%17.1%4.2%-0.4%43.8M-440.4M-2.7M0.6717.3717,33211,57478,481119,364
2016-10-24$144.77$140.0016.0%4.7%27.9%14.8%20.4%4.2%0.5%29.8M-317.8M-2.7M2.5415.544,71311,98574,084108,330
2016-10-25$143.76$140.0015.6%4.6%28.0%12.8%17.8%4.5%1.0%28.6M-267.3M-2.7M2.2316.164,89710,94275,027112,972
2016-10-26$142.31$140.0016.7%5.0%28.2%18.3%20.1%4.9%0.2%19.0M-157.4M-2.9M2.0412.424,7609,72476,191115,060
2016-10-27$142.01$140.0016.6%5.0%27.8%17.5%18.5%4.5%0.6%15.8M-144.8M-2.8M1.9114.334,4578,49177,025117,476
2016-10-28$140.14$140.0018.8%5.7%27.9%29.1%21.7%5.3%0.0%-2.7M-37.7M-2.9M1.5816.125,5908,85677,392118,980
2016-10-31$141.23$140.0018.7%5.7%27.6%28.7%19.2%4.6%-0.2%4.9M-105.8M-2.9M1.6311.734,8657,94073,361117,279