UNH Options History — September 2020

In September 2020, UNH traded between $292.48 and $320.31. ATM implied volatility averaged 32.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.2% (HV 20d: 23.0%). Max pain ranged from $300.00 to $320.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-09-10: Highest Volume — 23,084 contracts
  • 2020-09-21: Largest IV spike — 25.7% change
  • 2020-09-04: Highest IV Rank — 21.0%
  • 2020-09-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$306.01$292.48$320.31$312.23$311.80
Max Pain$307.26$300.00$320.00$300.00$305.00
ATM IV32.2%27.0%35.5%31.6%31.0%
Expected Move9.3%7.5%10.4%8.5%9.3%
HV 20d23.0%16.8%29.8%16.8%29.8%
HV 60d22.8%21.4%26.7%26.0%23.1%
IV Rank16.9%10.5%21.0%16.2%15.4%
IV Percentile63.1%36.5%73.8%63.9%57.5%
Term Structure0.8%-1.6%3.4%0.6%2.6%
VWIV32.3%27.4%36.1%29.5%32.5%
Skew 25d7.9%5.7%10.3%8.1%7.3%
Skew 10d14.7%9.5%19.0%16.8%13.6%
Call IV 25d28.7%23.9%31.1%27.2%27.9%
Put IV 25d36.6%32.0%40.9%35.3%35.2%
Bid-Ask Spread %60.8116.7075.9216.7050.24
Gamma HHI0.090.050.290.110.06
Net GEX17.9M-9.3M55.8M19.8M30.8M
Net DEX-350.4M-963.5M113.1M-569.0M-560.1M
Net VEX-6.1M-6.6M-5.7M-6.4M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.272.490.620.65
Total Volume12,6706,81023,0848,63112,046
Total OI175,699.571137,471196,255185,088162,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$312.23$300.0031.6%8.5%16.8%16.2%29.5%8.1%0.6%19.8M-569.0M-6.4M0.6216.705,3313,30087,44097,648
2020-09-02$320.31$300.0032.5%8.2%17.5%17.3%29.3%8.4%1.5%55.8M-963.5M-6.6M0.2744.0712,1763,32889,18499,059
2020-09-03$315.26$310.0035.2%10.3%18.4%20.7%35.2%9.8%0.4%33.8M-735.2M-6.6M0.7170.658,2965,92991,32199,670
2020-09-04$312.69$310.0035.5%10.4%18.1%21.0%36.1%8.0%0.4%25.3M-601.4M-6.6M1.1172.605,3575,96491,907102,020
2020-09-08$308.70$310.0033.5%9.9%18.5%18.5%35.4%7.5%1.9%25.4M-470.7M-6.2M2.4965.153,9549,86388,65989,613
2020-09-09$313.14$300.0030.9%9.4%19.2%15.4%32.8%7.0%1.8%37.5M-638.4M-6.1M0.5469.666,0833,27389,74296,689
2020-09-10$305.16$300.0031.6%9.0%19.8%16.2%29.6%8.5%-0.5%5.3M-312.5M-5.9M0.3770.5216,7976,28790,76797,633
2020-09-11$300.86$320.0031.6%9.3%20.2%16.2%31.1%9.2%1.3%-6.2M-85.1M-6.0M0.8970.046,1155,44091,61998,993
2020-09-14$308.86$310.0030.0%8.7%22.6%14.2%30.3%6.5%0.2%29.9M-436.6M-5.8M0.5268.456,7973,53088,21196,302
2020-09-15$307.05$310.0030.5%8.8%22.6%14.8%33.1%7.7%0.1%18.2M-333.8M-5.8M0.7172.245,4443,87088,81597,214
2020-09-16$307.45$310.0029.9%8.6%22.2%14.1%31.0%8.1%1.8%21.3M-362.2M-5.7M0.4875.736,1072,91689,86399,265
2020-09-17$304.53$310.0033.1%9.5%22.4%18.0%32.8%7.8%-0.8%10.7M-253.0M-5.7M0.8775.926,4525,62591,343100,416
2020-09-18$309.48$310.0027.0%7.5%23.1%10.5%27.4%8.1%1.3%49.0M-440.1M-5.7M0.8972.377,5336,67392,796103,459
2020-09-21$297.34$310.0033.9%10.0%27.0%19.0%34.1%10.3%-1.3%-3.2M-34.5M-5.7M0.9057.3111,72210,56562,97274,499
2020-09-22$295.19$310.0032.5%9.8%26.6%17.3%32.9%8.5%1.7%-7.1M35.0M-5.9M0.8058.216,2394,99166,95981,667
2020-09-23$292.48$307.5034.6%9.9%26.4%19.9%32.8%7.8%-0.9%-9.3M112.5M-6.0M0.8260.765,4844,49170,12984,623
2020-09-24$292.77$305.0035.3%10.0%26.3%20.8%34.1%7.9%-1.6%-8.0M113.1M-6.1M0.5258.958,0894,18272,70786,243
2020-09-25$302.25$305.0032.9%9.1%28.5%17.8%31.8%5.7%0.1%14.1M-261.3M-6.3M0.3557.8511,5474,00175,48987,651
2020-09-28$304.48$305.0031.2%9.6%28.5%15.7%33.3%6.8%3.4%16.9M-292.2M-6.1M0.6449.058,2235,24071,02783,826
2020-09-29$304.22$305.0031.6%9.5%28.5%16.2%33.4%6.7%2.9%15.0M-269.8M-6.2M0.9040.543,5783,23273,48386,298
2020-09-30$311.80$305.0031.0%9.3%29.8%15.4%32.5%7.3%2.6%30.8M-560.1M-6.1M0.6550.247,2794,76774,66287,808