UNH Options History — June 2008

In June 2008, UNH traded between $25.97 and $33.99. ATM implied volatility averaged 33.1%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.6% (HV 20d: 28.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.44.

Notable Days

  • 2008-06-18: Highest Volume — 112,650 contracts
  • 2008-06-11: Largest IV spike — 38.3% change
  • 2008-06-20: Highest IV Rank — 76.5%
  • 2008-06-20: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.06$25.97$33.99$33.99$26.25
Max Pain$33.57$30.00$35.00$35.00$30.00
ATM IV33.1%19.6%44.3%25.4%38.4%
Expected Move9.9%6.5%12.7%7.3%11.0%
HV 20d28.4%23.2%34.8%25.0%33.6%
HV 60d40.7%36.0%54.2%54.2%38.0%
IV Rank48.2%14.3%76.5%29.1%61.6%
IV Percentile74.7%20.6%95.6%66.3%88.5%
Term Structure1.1%-2.4%7.9%6.1%1.1%
VWIV33.4%22.6%42.6%25.8%38.4%
Skew 25d4.0%-3.3%12.0%12.0%0.4%
Skew 10d7.5%-6.1%18.3%18.3%4.8%
Call IV 25d34.4%22.6%42.7%23.9%38.7%
Put IV 25d38.3%29.8%46.1%35.8%39.1%
Bid-Ask Spread %9.785.3719.066.965.37
Gamma HHI0.360.170.560.490.17
Net GEX-1.7M-6.7M1.9M-4.7M824.1K
Net DEX211.9M90.8M353.6M119.6M198.0M
Net VEX-1.9M-2.3M-1.5M-2.3M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.3725.651.213.49
Total Volume35,645.4293,296112,6503,29631,558
Total OI521,706.905468,102585,612492,342577,671

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$33.99$35.0025.4%7.3%25.0%29.1%25.8%12.0%6.1%-4.7M119.6M-2.3M1.216.961,4891,807291,201201,141
2008-06-03$33.95$35.0023.9%6.9%24.6%25.3%23.9%10.8%7.3%-5.4M90.8M-2.2M25.6512.721,94149,788290,575187,529
2008-06-04$33.82$35.0023.7%6.8%24.4%24.8%23.9%10.6%7.1%-6.2M109.3M-2.2M6.5812.151,84112,106289,772190,476
2008-06-05$33.94$35.0022.6%6.5%24.3%21.9%22.6%10.8%7.9%-6.7M107.9M-2.2M2.495.961,3993,485290,415190,689
2008-06-06$33.03$35.0019.6%9.1%26.2%14.3%34.9%3.0%-0.3%-4.0M150.1M-2.1M1.1319.067,8668,914290,693189,703
2008-06-09$32.93$35.0019.8%9.0%26.2%14.9%32.9%2.5%0.3%-3.0M153.5M-2.1M2.1312.053,4867,420296,189194,750
2008-06-10$32.60$35.0023.6%8.8%26.4%24.6%30.9%5.8%1.1%-2.7M184.9M-2.0M9.495.953,28531,173296,434200,610
2008-06-11$31.95$35.0032.7%9.4%27.2%47.4%32.9%0.8%0.4%-567.3K232.9M-1.9M1.955.794,8829,518298,856202,737
2008-06-12$31.01$35.0033.3%9.6%28.6%48.7%32.4%-3.3%0.4%-269.2K286.6M-1.8M1.315.734,1585,462300,654210,512
2008-06-13$30.74$35.0034.4%9.9%28.6%51.5%34.7%2.5%0.4%-259.3K287.7M-1.7M2.2212.9518,84541,913301,279207,122
2008-06-16$30.20$35.0035.6%10.2%28.0%54.3%35.8%2.8%0.2%-1.7M283.2M-1.7M0.437.895,1292,231316,160216,851
2008-06-17$30.00$35.0033.8%9.7%24.3%49.9%34.4%2.7%1.2%-1.8M280.0M-1.7M0.6511.514,3432,833317,907213,956
2008-06-18$30.22$35.0035.5%10.2%23.2%54.1%27.6%7.0%0.3%-2.3M186.3M-1.8M2.719.7430,38082,270319,819193,210
2008-06-19$27.89$35.0040.2%11.5%34.8%66.0%41.1%4.3%-2.2%299.4K352.6M-1.5M0.9716.5033,99432,847346,713238,899
2008-06-20$27.12$30.0044.3%12.7%31.4%76.5%38.5%4.4%-2.3%1.9M277.7M-1.5M1.8310.7618,28633,419364,645212,853
2008-06-23$26.39$30.0043.4%12.4%31.7%74.1%27.6%3.7%-2.4%1.8M193.0M-1.5M5.1710.1917,53690,664289,883178,219
2008-06-24$26.43$35.0040.6%11.6%31.3%67.0%40.5%1.2%-1.7%-423.2K353.6M-1.6M1.169.0738,79344,983297,066254,030
2008-06-25$26.79$30.0040.6%11.6%32.5%67.0%39.0%1.5%-1.7%-827.6K184.6M-1.8M0.406.9815,1966,070326,854239,156
2008-06-26$25.97$30.0041.1%11.8%32.3%68.4%39.9%0.1%0.9%529.2K211.3M-1.7M0.968.6414,86014,320335,084230,224
2008-06-27$26.01$30.0041.7%12.0%32.7%69.9%42.6%0.4%-0.8%361.2K206.5M-1.7M0.379.345,9022,162335,084230,224
2008-06-30$26.25$30.0038.4%11.0%33.6%61.6%38.4%0.4%1.1%824.1K198.0M-1.7M3.495.377,02424,534344,288233,383