UNH Options History — December 2016

In December 2016, UNH traded between $157.19 and $163.57. ATM implied volatility averaged 20.3%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.4% (HV 20d: 19.9%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-12-19: Highest Volume — 33,579 contracts
  • 2016-12-16: Largest IV spike — 7.2% change
  • 2016-12-30: Highest IV Rank — 53.0%
  • 2016-12-30: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.58$157.19$163.57$160.88$160.05
Max Pain$140.95$140.00$150.00$150.00$140.00
ATM IV20.3%18.1%23.4%19.0%23.4%
Expected Move6.3%5.8%6.8%5.8%6.8%
HV 20d19.9%13.8%25.3%24.1%13.8%
HV 60d23.3%22.9%23.7%23.4%22.9%
IV Rank36.9%25.7%53.0%30.4%53.0%
IV Percentile53.4%30.2%81.3%40.1%81.3%
Term Structure0.6%-0.6%2.9%-0.4%-0.5%
VWIV23.2%21.1%25.6%21.1%25.6%
Skew 25d3.3%2.3%4.2%3.2%4.1%
Skew 10d7.2%6.0%9.2%8.0%8.1%
Call IV 25d19.3%17.0%21.9%17.9%21.9%
Put IV 25d22.7%20.0%26.0%21.0%26.0%
Bid-Ask Spread %36.5416.3156.0543.8722.48
Gamma HHI0.210.120.380.230.12
Net GEX40.7M18.6M66.5M42.6M18.6M
Net DEX-812.9M-1.07B-592.9M-928.3M-592.9M
Net VEX-3.2M-3.3M-2.9M-3.0M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.291.250.871.19
Total Volume15,727.819,09733,57920,15212,688
Total OI213,495.714188,410226,100210,946205,931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$160.88$150.0019.0%5.8%24.1%30.4%21.1%3.2%-0.4%42.6M-928.3M-3.0M0.8743.8710,8029,35091,598119,348
2016-12-02$160.64$150.0019.4%5.9%23.3%32.0%21.3%3.4%-0.2%42.9M-924.6M-3.1M0.7631.0011,5938,81893,934122,246
2016-12-05$157.32$140.0018.9%6.5%25.3%29.5%23.0%3.4%0.9%47.6M-713.5M-3.2M0.7124.9512,2748,72392,943118,557
2016-12-06$157.19$140.0018.6%6.5%24.2%28.0%22.0%3.5%0.4%47.9M-715.5M-3.3M0.7918.419,3927,41496,038121,890
2016-12-07$159.15$140.0018.4%6.2%24.3%27.1%23.2%3.2%0.7%51.2M-848.4M-3.2M0.8916.318,0587,16496,870122,455
2016-12-08$159.30$140.0018.6%6.2%23.7%28.2%22.5%3.1%1.0%52.1M-861.9M-3.2M1.0044.605,9115,89597,308123,525
2016-12-09$159.79$140.0018.1%6.1%22.1%25.7%24.4%3.2%1.1%59.5M-905.0M-3.2M0.2940.6217,6755,16598,639124,385
2016-12-12$159.26$140.0019.4%6.4%22.2%32.2%23.1%3.6%2.5%55.7M-833.0M-3.1M0.7632.046,6035,01595,676122,488
2016-12-13$160.78$140.0019.4%6.3%18.0%32.3%22.6%3.4%2.2%56.5M-918.0M-3.2M0.9934.885,9865,94097,111123,863
2016-12-14$160.00$140.0019.3%6.3%18.1%31.8%21.9%3.2%2.5%66.5M-881.8M-3.1M0.9544.315,5345,24097,009125,517
2016-12-15$160.47$140.0019.0%6.1%18.0%30.4%21.9%2.3%2.9%65.7M-894.2M-3.1M0.7146.9412,3148,77597,292126,754
2016-12-16$163.57$140.0020.4%6.2%18.6%37.5%22.3%2.9%1.7%25.2M-1.07B-2.9M0.3742.8115,6155,84595,992130,108
2016-12-19$161.36$140.0020.6%6.1%19.2%38.4%25.0%3.7%0.0%29.9M-750.8M-2.9M0.9856.0516,93016,64983,634104,776
2016-12-20$161.46$140.0021.0%6.1%19.3%40.3%22.7%3.3%-0.3%28.5M-821.5M-3.3M0.6831.608,2635,61193,533117,159
2016-12-21$161.45$140.0021.5%6.2%19.1%43.0%23.4%3.1%-0.1%29.7M-830.4M-3.3M0.9640.666,8356,57095,631118,164
2016-12-22$161.56$140.0021.8%6.3%19.0%44.6%23.6%2.8%-0.1%29.9M-827.6M-3.3M1.2552.774,1285,15695,590119,559
2016-12-23$162.65$140.0021.9%6.3%18.8%45.3%23.4%3.0%0.2%39.9M-746.4M-3.2M0.9554.146,6736,31486,207120,791
2016-12-27$162.65$140.0022.4%6.5%18.6%47.8%25.4%3.7%-0.5%24.1M-706.7M-3.2M0.8530.604,9934,24284,701118,255
2016-12-28$161.51$140.0022.4%6.5%14.6%47.6%24.8%4.2%-0.4%21.3M-664.7M-3.2M1.2229.404,0945,00384,823118,449
2016-12-29$161.04$140.0022.9%6.7%14.4%50.4%23.3%3.7%-0.6%19.7M-639.9M-3.2M1.2228.894,9756,05984,760119,901
2016-12-30$160.05$140.0023.4%6.8%13.8%53.0%25.6%4.1%-0.5%18.6M-592.9M-3.3M1.1922.485,8026,88685,667120,264