UNH Options History — July 2008 In July 2008, UNH traded between $22.16 and $28.08. ATM implied volatility averaged 42.7%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 5.7% (HV 20d: 48.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.45.
Notable Days 2008-07-16 : Highest Volume — 147,927 contracts2008-07-03 : Largest IV spike — 15.0% change2008-07-14 : Highest IV Rank — 90.4%2008-07-14 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $24.75 $22.16 $28.08 $25.63 $28.08 Max Pain $25.68 $25.00 $30.00 $30.00 $25.00 ATM IV 42.7% 36.4% 49.8% 39.6% 40.1% Expected Move 12.3% 10.4% 14.3% 11.3% 11.5% HV 20d 48.4% 33.4% 60.0% 33.5% 59.3% HV 60d 40.0% 34.8% 43.4% 38.1% 43.4% IV Rank 72.5% 56.5% 90.4% 64.4% 65.7% IV Percentile 90.6% 81.3% 99.2% 88.9% 82.9% Term Structure -1.6% -5.6% 3.5% 0.9% -1.4% VWIV 42.2% 36.6% 48.2% 39.5% 40.6% Skew 25d 3.5% -2.7% 10.7% -0.9% -0.9% Skew 10d 8.1% -14.2% 20.1% 1.4% 1.4% Call IV 25d 42.4% 39.4% 47.1% 43.3% 41.1% Put IV 25d 45.9% 37.6% 54.6% 42.5% 40.3% Bid-Ask Spread % 10.59 5.35 17.21 7.41 8.07 Gamma HHI 0.29 0.18 0.58 0.20 0.20 Net GEX -734.5K -6.5M 4.4M 388.5K 4.4M Net DEX 139.1M -253.5M 425.1M 227.0M -253.5M Net VEX -1.7M -2.3M -832.8K -1.7M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.13 10.72 1.19 0.14 Total Volume 37,690.136 6,411 147,927 36,117 43,038 Total OI 636,049.955 438,811 758,746 587,668 658,817
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-07-01 $25.63 $30.00 39.6% 11.3% 33.5% 64.4% 39.5% -0.9% 0.9% 388.5K 227.0M -1.7M 1.19 7.41 16,463 19,654 345,629 242,039 2008-07-02 $25.12 $30.00 36.4% 10.4% 33.4% 56.5% 36.6% -2.2% 3.5% 328.6K 243.2M -1.7M 1.96 6.97 15,883 31,104 356,086 243,626 2008-07-03 $22.96 $30.00 41.9% 12.0% 41.9% 70.3% 41.8% 4.7% 2.3% -657.6K 349.7M -1.4M 1.01 14.55 28,288 28,513 356,471 253,016 2008-07-07 $23.31 $25.00 45.2% 12.5% 43.6% 78.8% 41.9% 5.4% -1.0% -667.2K 322.3M -1.4M 5.81 13.29 18,077 105,053 372,277 250,940 2008-07-08 $23.28 $25.00 42.0% 12.4% 43.7% 70.8% 42.4% 4.7% -1.4% -4.0M 363.2M -1.5M 0.64 11.17 13,680 8,810 381,605 280,116 2008-07-09 $22.93 $25.00 41.6% 12.7% 43.6% 69.5% 44.4% 4.7% -2.4% -3.3M 330.5M -1.4M 0.64 12.04 8,719 5,613 386,558 256,962 2008-07-10 $22.58 $25.00 44.9% 12.9% 43.6% 78.1% 42.6% 7.0% -2.0% -2.0M 330.6M -1.3M 0.13 11.27 22,189 2,972 388,785 249,168 2008-07-11 $22.16 $25.00 48.1% 13.8% 43.3% 86.1% 47.3% 6.7% -4.2% -845.7K 338.3M -1.3M 1.42 16.46 9,361 13,300 406,344 249,736 2008-07-14 $22.18 $25.00 49.8% 14.3% 43.7% 90.4% 48.2% 7.6% -4.5% -742.6K 259.4M -832.8K 0.24 11.22 5,159 1,252 249,592 189,219 2008-07-15 $22.33 $25.00 47.6% 13.7% 44.5% 84.9% 46.2% 9.4% -2.2% 23.4K 303.5M -1.3M 1.01 16.64 13,716 13,831 411,017 235,586 2008-07-16 $22.53 $25.00 48.7% 14.0% 45.2% 87.7% 44.0% 10.7% -5.6% 507.1K 294.3M -1.4M 10.72 17.21 12,621 135,306 417,688 235,722 2008-07-17 $23.58 $25.00 46.1% 13.2% 49.4% 81.0% 42.1% 8.7% -2.5% -6.5M 425.1M -1.7M 1.15 13.39 14,703 16,855 422,258 336,488 2008-07-18 $23.90 $25.00 41.8% 12.0% 43.2% 70.1% 43.7% 7.0% -0.9% -4.1M 290.6M -1.8M 0.58 13.58 6,591 3,849 429,560 291,416 2008-07-21 $23.83 $25.00 42.8% 12.3% 42.5% 72.7% 44.8% 9.0% -1.7% -3.9M 173.7M -1.8M 0.41 7.75 17,721 7,199 366,868 235,675 2008-07-22 $26.21 $25.00 41.4% 11.9% 55.0% 69.1% 42.4% 2.2% -2.7% -2.3M -15.2M -2.1M 0.20 8.01 45,622 9,228 375,636 238,476 2008-07-23 $27.76 $25.00 41.4% 11.9% 58.7% 69.2% 42.1% 1.1% -2.9% 1.1M -155.5M -2.2M 0.44 5.35 42,325 18,775 386,170 241,490 2008-07-24 $27.02 $25.00 41.1% 11.8% 59.4% 68.4% 41.5% -0.9% -0.6% 590.2K -121.8M -2.3M 0.47 7.11 11,017 5,126 401,896 242,975 2008-07-25 $27.45 $25.00 39.5% 11.3% 58.5% 64.2% 39.7% -0.9% -1.0% 1.6M -178.8M -2.3M 0.39 7.24 8,166 3,194 405,471 244,837 2008-07-28 $26.78 $25.00 41.7% 11.9% 59.3% 69.8% 39.6% -2.7% -3.0% 192.0K -107.8M -2.2M 2.53 6.40 6,608 16,704 403,048 245,215 2008-07-29 $27.53 $25.00 39.5% 11.3% 60.0% 64.3% 38.0% -2.3% -0.5% 2.1M -188.6M -2.2M 0.31 7.44 9,156 2,808 408,086 245,687 2008-07-30 $27.28 $25.00 39.1% 11.2% 59.3% 63.2% 38.0% -1.1% -0.4% 1.7M -170.2M -2.2M 0.56 10.30 7,029 3,905 407,804 247,044 2008-07-31 $28.08 $25.00 40.1% 11.5% 59.3% 65.7% 40.6% -0.9% -1.4% 4.4M -253.5M -2.2M 0.14 8.07 37,889 5,149 410,571 248,246
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