UNH Options History — July 2007

In July 2007, UNH traded between $48.43 and $53.58. ATM implied volatility averaged 25.3%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.1% (HV 20d: 20.2%). 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 8 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-07-20: Highest Volume — 68,302 contracts
  • 2007-07-09: Largest IV spike — 37.8% change
  • 2007-07-05: Highest IV Rank — 100.0%
  • 2007-07-05: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.60$48.43$53.58$52.22$48.43
Max Pain$50.95$50.00$55.00$50.00$50.00
ATM IV25.3%20.1%34.9%27.2%22.2%
Expected Move6.9%5.8%9.0%7.8%6.4%
HV 20d20.2%15.6%24.3%16.0%22.1%
HV 60d17.5%16.2%19.0%18.3%17.1%
IV Rank54.9%29.6%100.0%100.0%39.5%
IV Percentile59.9%16.1%100.0%100.0%42.4%
Term Structure-0.2%-5.5%3.2%-2.3%2.3%
VWIV23.9%20.9%29.3%27.1%22.9%
Skew 25d3.0%-3.4%6.3%2.9%5.6%
Skew 10d7.4%-6.1%17.7%13.8%10.3%
Call IV 25d22.5%18.3%25.1%24.0%21.6%
Put IV 25d25.5%18.5%31.0%26.9%27.2%
Bid-Ask Spread %5.052.919.984.126.16
Gamma HHI0.260.230.330.250.23
Net GEX8.5M1.4M17.0M7.8M1.4M
Net DEX-247.4M-473.0M-28.1M-273.9M-28.1M
Net VEX-3.3M-3.6M-1.8M-3.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.142.300.610.67
Total Volume20,570.9054,89568,30215,37750,618
Total OI396,786.571257,614443,712380,547401,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$52.22$50.0027.2%7.8%16.0%0.0%27.1%2.9%-2.3%7.8M-273.9M-3.5M0.614.129,5425,835244,325136,222
2007-07-03$52.14$50.0028.6%8.2%15.9%0.0%28.4%4.6%-3.7%7.6M-268.4M-3.5M1.324.272,1122,783244,500137,201
2007-07-05$52.45$50.0031.3%9.0%15.6%100.0%29.3%6.3%-5.5%7.9M-288.6M-3.4M0.143.8911,4151,596244,675139,288
2007-07-06$53.02$50.0024.0%6.2%15.7%58.2%22.9%3.5%0.7%10.7M-364.9M-3.5M0.603.235,4583,277253,740139,764
2007-07-09$51.97$50.0033.1%7.3%17.0%100.0%24.4%3.3%-0.6%8.1M-270.4M-3.4M0.386.5514,6355,587252,652141,112
2007-07-10$51.55$50.0034.0%7.3%16.9%100.0%24.5%3.2%-0.7%7.4M-232.2M-3.5M0.656.404,7013,065259,661143,534
2007-07-11$51.41$50.0034.9%7.2%16.9%100.0%24.7%3.5%-0.6%6.9M-203.5M-3.4M0.227.895,6801,229258,963141,701
2007-07-12$53.09$50.0023.7%6.8%20.7%46.6%25.1%4.1%-0.0%11.2M-384.4M-3.6M0.373.1028,71710,652261,484141,885
2007-07-13$52.98$50.0023.3%6.7%20.7%44.6%23.7%3.7%0.1%13.6M-399.2M-3.6M0.679.985,8733,918275,021145,349
2007-07-16$52.95$50.0024.6%7.1%20.7%50.9%25.5%2.2%-0.4%8.2M-234.8M-1.8M0.356.1914,1825,035161,24296,372
2007-07-17$53.00$50.0023.8%6.8%20.7%47.1%24.8%2.5%-0.2%15.4M-417.4M-3.6M2.303.092,8566,566283,389147,685
2007-07-18$53.58$50.0023.2%6.7%21.0%44.3%23.4%2.4%-0.0%17.0M-473.0M-3.5M0.296.0929,0518,322281,123146,513
2007-07-19$51.89$50.0022.8%6.5%22.4%42.4%22.4%1.8%-0.5%12.1M-298.5M-3.3M0.934.3620,39418,894285,537148,638
2007-07-20$51.32$50.0023.2%6.7%22.7%44.3%21.2%2.8%0.4%9.4M-259.0M-3.4M1.034.4633,59834,704288,127155,585
2007-07-23$51.17$55.0023.0%6.6%22.5%43.3%22.6%2.7%-0.0%6.7M-190.4M-3.4M0.494.393,7431,817251,326134,702
2007-07-24$51.00$55.0023.3%6.7%22.5%44.7%22.7%3.7%-0.5%6.9M-189.2M-3.4M1.185.272,9153,429253,219135,866
2007-07-25$51.21$55.0022.0%6.3%22.4%38.7%22.0%3.0%0.2%7.0M-185.4M-3.4M1.356.053,9785,373254,006137,471
2007-07-26$50.21$55.0021.6%6.2%23.4%36.5%21.6%-3.4%0.9%5.8M-122.4M-3.3M0.534.0719,76110,402254,985137,556
2007-07-27$49.13$50.0020.9%6.0%24.3%33.2%21.0%-0.4%2.4%5.2M-66.7M-3.2M0.673.639,5276,342267,725141,131
2007-07-30$48.94$50.0020.1%5.8%23.6%29.6%20.9%5.1%3.2%2.5M-45.7M-3.1M0.462.919,8604,547263,705143,858
2007-07-31$48.43$50.0022.2%6.4%22.1%39.5%22.9%5.6%2.3%1.4M-28.1M-3.1M0.676.1630,30020,318260,075141,605