UNH Options History — September 2017

In September 2017, UNH traded between $191.69 and $199.70. ATM implied volatility averaged 16.8%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.9% (HV 20d: 11.9%). Max pain ranged from $185.00 to $200.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2017-09-06: Highest Volume — 24,788 contracts
  • 2017-09-19: Largest IV spike — 19.4% change
  • 2017-09-25: Highest IV Rank — 80.9%
  • 2017-09-25: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.57$191.69$199.70$199.70$195.60
Max Pain$198.00$185.00$200.00$185.00$200.00
ATM IV16.8%12.5%21.8%12.5%19.2%
Expected Move5.2%3.3%6.5%3.3%5.8%
HV 20d11.9%10.7%13.1%11.1%11.5%
HV 60d10.5%9.9%11.1%10.6%10.9%
IV Rank37.3%0.0%80.9%0.0%58.4%
IV Percentile44.2%0.0%90.5%0.0%75.4%
Term Structure0.8%-0.9%4.7%0.9%-0.5%
VWIV19.1%13.4%22.0%13.4%19.8%
Skew 25d2.7%1.7%3.6%1.7%3.1%
Skew 10d6.4%3.8%10.6%3.8%8.2%
Call IV 25d15.9%11.9%20.9%12.4%18.5%
Put IV 25d18.6%14.1%24.5%14.1%21.6%
Bid-Ask Spread %25.8014.2848.5318.7423.37
Gamma HHI0.200.110.300.300.13
Net GEX21.2M-3.8M61.0M61.0M17.5M
Net DEX-522.0M-968.5M-228.4M-968.5M-455.4M
Net VEX-3.1M-3.4M-2.8M-2.8M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.273.040.601.40
Total Volume12,047.856,47224,78812,0748,467
Total OI159,514.5137,896171,284169,553170,142

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$199.70$185.0012.5%3.3%11.1%0.0%13.4%1.7%0.9%61.0M-968.5M-2.8M0.6018.747,5554,51973,31796,236
2017-09-05$199.33$195.0014.2%5.0%11.1%14.4%17.9%2.5%0.8%42.7M-789.8M-3.1M1.1614.285,0615,85467,14394,695
2017-09-06$198.32$195.0014.1%4.9%11.4%14.2%17.7%2.3%0.2%38.5M-753.3M-2.9M0.2717.4419,4885,30066,94396,689
2017-09-07$198.23$195.0014.0%4.9%11.4%13.2%19.9%2.5%0.6%35.7M-626.8M-2.8M1.1421.074,7225,39459,65998,223
2017-09-08$197.82$195.0014.2%4.9%10.7%14.2%18.5%2.1%0.7%33.3M-584.8M-3.2M1.4420.234,1135,92360,32199,292
2017-09-11$199.54$195.0013.6%4.8%11.0%9.1%17.0%2.2%3.1%39.0M-700.1M-2.8M1.1317.387,3358,30459,65096,565
2017-09-12$197.35$200.0013.6%5.1%11.9%9.5%18.1%2.3%4.7%31.2M-564.4M-3.0M1.2619.023,8634,85262,666100,911
2017-09-13$198.18$200.0014.2%4.8%11.8%14.3%17.5%2.4%2.5%32.7M-609.8M-3.0M0.8519.796,9085,89463,038102,048
2017-09-14$197.54$200.0014.4%4.7%11.7%16.3%18.0%2.5%2.5%21.4M-564.1M-3.3M2.2516.943,1297,05364,513104,078
2017-09-15$198.08$200.0014.1%4.6%11.6%13.8%16.4%2.6%2.8%7.6M-614.1M-3.0M1.1820.683,6584,29865,002106,282
2017-09-18$197.92$200.0016.2%4.9%10.9%32.1%17.9%2.5%-0.0%16.7M-478.9M-3.0M2.1115.332,6905,68453,24184,655
2017-09-19$194.51$200.0019.3%5.6%12.8%59.4%20.4%2.8%-0.5%5.1M-349.1M-3.1M1.5147.016,5139,82654,17087,732
2017-09-20$195.74$200.0019.6%5.6%12.0%61.3%21.6%2.6%0.1%1.3M-370.6M-3.2M1.2646.253,6854,63855,69093,065
2017-09-21$195.13$200.0018.9%5.4%12.0%56.0%20.9%3.0%0.1%448.2K-339.4M-3.4M1.3528.442,7543,71856,76294,333
2017-09-22$193.21$200.0021.0%6.1%12.5%73.6%21.6%3.0%-0.7%-974.8K-262.4M-3.2M1.4848.537,74611,43157,34995,222
2017-09-25$191.69$200.0021.8%6.5%12.8%80.9%21.3%3.6%-0.0%-3.8M-228.4M-3.3M0.6544.6813,6608,87756,66495,770
2017-09-26$192.71$200.0021.6%6.4%12.8%79.5%22.0%3.5%-0.5%5.1M-299.3M-3.4M1.3841.644,4826,16366,51297,911
2017-09-27$194.52$200.0020.1%5.9%12.9%65.9%19.8%3.2%-0.9%14.9M-393.4M-3.4M1.4719.903,3714,94368,00898,330
2017-09-28$196.36$200.0019.3%5.8%13.1%59.2%21.6%3.1%-0.6%24.5M-487.0M-3.3M3.0415.352,2506,83668,49598,968
2017-09-29$195.60$200.0019.2%5.8%11.5%58.4%19.8%3.1%-0.5%17.5M-455.4M-3.3M1.4023.373,5324,93568,858101,284