UNH Options History — November 2016

In November 2016, UNH traded between $137.76 and $158.66. ATM implied volatility averaged 19.9%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 6.1% (HV 20d: 26.0%). Max pain ranged from $135.00 to $150.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2016-11-29: Highest Volume — 36,634 contracts
  • 2016-11-09: Largest IV drop — 12.1% change
  • 2016-11-04: Highest IV Rank — 46.2%
  • 2016-11-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$147.94$137.76$158.66$139.70$158.66
Max Pain$139.52$135.00$150.00$140.00$150.00
ATM IV19.9%17.6%22.1%20.5%18.8%
Expected Move5.8%5.0%6.5%6.2%5.6%
HV 20d26.0%22.3%32.2%27.8%24.2%
HV 60d21.6%19.4%23.4%19.4%23.3%
IV Rank34.7%22.9%46.2%37.8%29.0%
IV Percentile43.9%26.6%59.1%48.0%36.9%
Term Structure-0.2%-1.8%1.0%0.1%-0.2%
VWIV21.9%17.5%27.4%25.5%21.3%
Skew 25d4.9%3.6%7.2%5.2%3.6%
Skew 10d11.5%7.4%16.5%12.5%7.4%
Call IV 25d18.0%16.3%19.7%18.1%17.1%
Put IV 25d22.9%20.3%26.3%23.3%20.7%
Bid-Ask Spread %30.456.9152.3116.8325.32
Gamma HHI0.190.070.450.090.21
Net GEX28.1M-11.3M66.4M-837.1K48.0M
Net DEX-456.7M-931.0M87.3M-16.7M-852.0M
Net VEX-3.1M-3.3M-2.9M-2.9M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.452.712.711.11
Total Volume16,641.8579,77036,63414,36821,785
Total OI205,314.905188,819221,663193,521207,514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$139.70$140.0020.5%6.2%27.8%37.8%25.5%5.2%0.1%-837.1K-16.7M-2.9M2.7116.833,87210,49674,682118,839
2016-11-02$139.38$140.0020.8%6.5%27.8%39.3%24.4%6.0%0.2%-3.7M3.7M-3.1M1.5218.415,3728,16374,948122,698
2016-11-03$137.76$140.0022.1%6.0%27.9%46.2%21.6%6.8%0.0%-10.1M87.3M-3.1M2.166.915,63612,16376,691124,942
2016-11-04$137.81$135.0022.1%6.0%27.9%46.2%22.1%7.2%-0.5%-11.3M83.9M-3.1M1.4717.875,1637,58577,803125,324
2016-11-07$141.58$135.0020.7%6.1%29.4%38.9%23.1%6.2%0.8%7.2M-133.4M-3.0M0.4514.2314,2056,37177,313121,149
2016-11-08$143.27$135.0021.9%5.8%28.1%45.1%22.4%5.7%-1.8%16.4M-245.6M-3.3M1.7130.984,9498,45388,217122,891
2016-11-09$141.94$135.0019.2%5.8%28.4%31.4%21.1%4.4%1.0%15.9M-208.3M-3.1M2.6440.185,14013,55789,105124,417
2016-11-10$146.13$140.0019.8%5.8%29.7%34.2%22.2%4.4%0.2%34.3M-460.6M-3.1M1.8035.174,4958,10289,685123,428
2016-11-11$146.47$140.0019.9%5.9%29.7%34.7%20.2%5.2%0.8%36.9M-463.1M-3.2M1.0026.565,9395,92290,130122,217
2016-11-14$152.40$140.0021.9%6.3%32.2%44.9%23.2%5.8%-1.3%34.8M-716.7M-3.2M0.7819.1811,3358,84888,358119,462
2016-11-15$152.03$140.0021.2%6.1%22.9%41.7%20.5%4.3%-1.4%40.4M-759.4M-3.0M0.5928.3415,1288,87891,852122,388
2016-11-16$151.49$140.0020.2%5.8%23.0%36.2%20.8%4.7%-1.0%51.4M-752.3M-3.0M1.2921.935,2626,81197,474124,189
2016-11-17$150.69$140.0018.9%5.4%23.1%29.4%20.3%4.6%-0.0%42.2M-654.9M-3.0M1.6520.764,5047,44794,054124,778
2016-11-18$149.63$140.0018.5%5.3%23.3%27.6%27.4%5.2%0.1%66.4M-582.1M-3.0M2.3627.634,0309,51094,950126,287
2016-11-21$150.35$140.0017.6%5.0%23.3%22.9%17.5%3.9%-0.1%32.1M-516.5M-2.9M1.2549.644,3395,43183,616105,203
2016-11-22$152.08$140.0017.8%5.2%23.3%24.1%19.4%3.9%0.4%34.9M-603.1M-2.9M1.3046.025,5167,19684,580105,888
2016-11-23$153.44$140.0018.6%5.4%22.8%27.9%20.9%3.7%0.2%35.1M-641.6M-3.1M1.0342.596,8477,03386,696107,603
2016-11-25$152.81$140.0018.9%5.5%22.9%29.7%22.7%3.9%-0.5%36.4M-648.3M-3.0M1.1652.315,2166,07188,627108,789
2016-11-28$151.89$140.0019.5%5.9%22.3%32.8%21.1%3.9%-0.2%34.1M-579.9M-3.0M0.5150.3917,2158,86087,425106,289
2016-11-29$157.32$140.0018.8%5.6%24.9%29.1%22.1%3.8%-0.3%50.2M-931.0M-3.1M0.5248.2724,07412,560100,129110,983
2016-11-30$158.66$150.0018.8%5.6%24.2%29.0%21.3%3.6%-0.2%48.0M-852.0M-3.0M1.1125.3210,32711,45891,657115,857