UNH Options History — January 2017

In January 2017, UNH traded between $157.40 and $162.93. ATM implied volatility averaged 20.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 9.0% (HV 20d: 10.9%). Max pain ranged from $140.00 to $160.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2017-01-19: Highest Volume — 21,660 contracts
  • 2017-01-17: Largest IV drop — 17.3% change
  • 2017-01-13: Highest IV Rank — 51.5%
  • 2017-01-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.17$157.40$162.93$161.41$162.04
Max Pain$155.50$140.00$160.00$140.00$160.00
ATM IV20.0%16.8%23.1%22.5%16.9%
Expected Move5.8%5.0%7.0%6.9%5.1%
HV 20d10.9%10.0%14.1%14.1%10.7%
HV 60d19.7%17.7%22.8%22.8%17.7%
IV Rank35.2%19.0%51.5%48.1%19.5%
IV Percentile51.5%22.2%82.5%75.4%23.8%
Term Structure-0.2%-1.4%0.5%-0.7%0.1%
VWIV20.4%15.0%26.0%25.6%17.6%
Skew 25d3.4%2.5%4.6%4.0%3.5%
Skew 10d7.7%5.7%11.2%9.2%8.1%
Call IV 25d18.9%15.8%22.0%21.3%15.8%
Put IV 25d22.3%18.3%25.3%25.3%19.3%
Bid-Ask Spread %40.9519.0665.4825.2464.71
Gamma HHI0.170.120.290.120.17
Net GEX17.0M-1.9M42.7M21.0M8.5M
Net DEX-479.8M-738.6M-59.1M-670.4M-171.6M
Net VEX-3.0M-3.2M-2.9M-3.1M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.762.541.450.84
Total Volume13,4239,51121,66012,50015,823
Total OI186,532.7121,613234,274205,491139,030

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$161.41$140.0022.5%6.9%14.1%48.1%25.6%4.0%-0.7%21.0M-670.4M-3.1M1.4525.245,1107,39085,388120,103
2017-01-04$161.99$140.0023.0%7.0%11.7%50.6%26.0%2.6%-1.4%22.0M-708.5M-3.1M2.0624.953,9988,22486,405121,424
2017-01-05$162.01$155.0022.4%6.3%11.7%47.6%24.1%3.1%-0.6%24.3M-717.8M-3.1M1.8821.753,6776,89987,098123,127
2017-01-06$162.45$155.0022.6%6.4%11.0%48.6%22.7%2.9%-0.4%32.4M-738.6M-3.1M1.1722.365,7946,75987,544124,333
2017-01-09$162.12$155.0022.6%6.4%11.0%48.9%23.7%2.9%-0.5%24.1M-712.9M-3.0M2.0637.893,8457,91087,361122,520
2017-01-10$161.82$155.0022.4%6.4%11.0%47.8%23.3%3.4%-0.1%23.9M-693.8M-3.0M1.6319.064,6887,63888,682124,965
2017-01-11$161.91$155.0022.8%6.4%10.9%49.7%24.0%3.3%-0.4%23.2M-697.3M-3.1M1.3122.224,1595,44089,559127,020
2017-01-12$162.42$155.0022.7%6.5%10.5%49.2%22.2%2.9%-0.4%29.9M-733.2M-3.0M1.1024.054,7575,25689,827127,432
2017-01-13$162.16$155.0023.1%6.4%10.3%51.5%21.7%3.2%-0.6%42.7M-720.0M-3.0M0.7620.019,4297,18590,262128,406
2017-01-17$160.33$155.0019.1%5.4%11.1%30.8%20.6%4.5%0.3%17.4M-602.2M-2.9M1.1444.557,4498,47289,488125,520
2017-01-18$157.40$155.0020.2%5.8%10.5%36.2%20.7%4.0%-1.3%5.9M-465.9M-2.9M0.8054.9210,5728,48191,294128,654
2017-01-19$158.57$155.0018.9%5.4%10.1%29.8%19.0%4.3%0.4%11.6M-526.6M-2.9M0.8133.1611,9599,70193,438131,296
2017-01-20$158.46$160.0018.0%5.1%10.0%24.9%18.7%4.6%0.5%-1.9M-477.5M-3.0M1.5647.795,6898,87698,382135,892
2017-01-23$159.17$160.0017.6%5.1%10.2%22.7%18.7%3.9%-0.0%-284.0K-59.1M-3.0M1.9754.224,6719,21547,12874,485
2017-01-24$160.43$160.0017.2%5.0%10.7%20.6%16.9%3.0%0.0%6.0M-109.1M-3.1M1.8155.453,9427,14149,90378,003
2017-01-25$161.17$160.0016.8%5.0%10.5%19.0%15.6%2.5%-0.3%10.4M-157.5M-3.0M2.5465.162,6896,82251,20478,910
2017-01-26$162.72$160.0017.0%5.0%11.1%19.7%15.0%2.7%0.3%12.1M-220.7M-3.0M1.2355.417,4889,22751,85580,220
2017-01-27$162.93$160.0016.9%5.0%10.8%19.4%16.4%2.6%0.1%17.7M-250.2M-3.1M1.5560.644,4476,88156,18283,039
2017-01-30$161.98$160.0017.0%5.1%10.9%19.8%16.1%3.3%0.1%9.9M-164.0M-3.2M2.1265.483,4497,30853,56581,710
2017-01-31$162.04$160.0016.9%5.1%10.7%19.5%17.6%3.5%0.1%8.5M-171.6M-3.2M0.8464.718,5887,23554,68684,344