UNH Options History — June 2007

In June 2007, UNH traded between $51.14 and $55.21. ATM implied volatility averaged 21.1%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 9.1% (HV 20d: 12.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-06-15: Highest Volume — 52,025 contracts
  • 2007-06-13: Largest IV spike — 54.0% change
  • 2007-06-25: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.84$51.14$55.21$55.21$51.14
Max Pain$53.81$50.00$55.00$55.00$50.00
ATM IV21.1%13.9%26.8%17.0%25.0%
Expected Move6.6%4.9%7.7%4.9%7.2%
HV 20d12.0%9.6%13.5%11.4%13.5%
HV 60d19.8%17.5%21.1%20.9%17.8%
Term Structure0.2%-1.9%4.8%4.8%-0.9%
VWIV22.9%17.2%26.0%17.2%24.8%
Skew 25d2.4%-5.9%4.8%-5.9%3.0%
Skew 10d6.2%-9.0%11.6%-9.0%7.9%
Call IV 25d22.0%18.5%23.7%21.8%23.7%
Put IV 25d24.4%15.9%27.6%15.9%26.7%
Bid-Ask Spread %4.972.9210.423.824.75
Gamma HHI0.300.240.400.380.24
Net GEX12.2M5.2M24.5M24.2M5.2M
Net DEX-267.8M-524.6M-173.0M-524.6M-186.5M
Net VEX-3.3M-3.5M-3.1M-3.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.241.890.510.91
Total Volume14,332.8574,13752,02510,07228,778
Total OI389,917.143299,558442,477428,946363,919

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$55.21$55.0017.0%4.9%11.4%0.0%17.2%-5.9%4.8%24.2M-524.6M-3.5M0.513.826,6873,385284,833144,113
2007-06-04$55.20$55.0018.5%6.3%11.2%0.0%21.9%2.2%0.9%24.5M-521.1M-3.5M0.474.133,2071,520287,238146,201
2007-06-05$54.70$55.0018.2%6.5%11.6%0.0%22.7%1.9%0.5%23.1M-449.7M-3.4M0.623.896,5044,041287,922146,528
2007-06-06$53.97$55.0016.8%6.4%12.6%0.0%22.6%2.4%0.4%21.1M-333.2M-3.4M0.246.2115,7403,791289,637148,387
2007-06-07$53.36$55.0017.7%6.5%13.4%0.0%23.3%2.3%0.3%16.9M-265.1M-3.4M0.577.735,7243,235293,078148,298
2007-06-08$53.67$55.0016.4%6.4%13.5%0.0%22.5%2.4%0.4%19.7M-287.9M-3.4M0.408.324,0831,653293,060147,685
2007-06-11$53.19$55.0017.7%6.5%13.3%0.0%22.9%2.9%0.4%15.4M-239.0M-3.2M0.269.839,8952,550294,229148,248
2007-06-12$52.99$55.0013.9%6.6%12.4%0.0%23.7%2.3%0.3%11.6M-191.6M-3.2M0.3110.424,4671,398290,212149,352
2007-06-13$53.11$55.0021.4%6.5%12.3%0.0%23.0%2.4%0.5%13.0M-233.3M-3.2M1.013.893,6883,707292,490149,662
2007-06-14$52.95$55.0022.1%6.4%9.7%0.0%23.7%1.9%0.8%11.1M-190.4M-3.2M1.293.122,2632,920292,590149,092
2007-06-15$52.90$55.0020.8%6.0%9.6%0.0%20.8%1.7%1.2%12.1M-211.3M-3.2M1.182.9223,85128,174292,761146,775
2007-06-18$52.87$55.0019.8%5.7%9.6%0.0%20.1%3.1%0.8%7.2M-245.6M-3.2M0.343.377,3412,478198,139101,419
2007-06-19$52.74$55.0019.4%5.6%9.6%0.0%19.7%2.3%1.2%7.6M-237.9M-3.2M0.703.622,4401,697202,134102,787
2007-06-20$51.50$55.0024.4%7.0%12.3%0.0%24.3%2.1%-0.9%6.3M-173.0M-3.1M0.773.0825,01319,201203,344104,011
2007-06-21$51.77$55.0024.6%7.1%12.5%0.0%24.0%3.2%-1.0%5.9M-208.5M-3.2M1.093.773,8134,147219,294117,182
2007-06-22$51.30$50.0023.8%6.8%12.4%0.0%23.4%4.0%-0.4%5.9M-198.1M-3.2M1.314.133,5524,641220,796118,685
2007-06-25$51.50$50.0026.8%7.7%12.5%0.0%25.7%4.1%-0.9%6.2M-218.4M-3.3M0.374.5015,6305,851223,444120,427
2007-06-26$51.79$50.0026.5%7.6%12.6%0.0%25.3%3.6%-1.9%6.2M-235.0M-3.4M1.725.444,3087,420229,933122,605
2007-06-27$51.75$55.0026.1%7.5%12.6%0.0%26.0%4.8%-1.3%5.7M-218.4M-3.4M1.893.603,0885,821229,566128,329
2007-06-28$52.10$50.0025.6%7.3%12.9%0.0%23.0%3.4%-1.8%7.0M-255.0M-3.4M0.383.769,6583,630232,174127,681
2007-06-29$51.14$50.0025.0%7.2%13.5%0.0%24.8%3.0%-0.9%5.2M-186.5M-3.4M0.914.7515,08713,691234,338129,581