UNH Options History — June 2009

In June 2009, UNH traded between $23.51 and $28.10. ATM implied volatility averaged 48.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 6.8% (HV 20d: 42.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-06-18: Highest Volume — 102,292 contracts
  • 2009-06-11: Largest IV spike — 10.4% change
  • 2009-06-08: Highest IV Rank — 35.5%
  • 2009-06-16: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.44$23.51$28.10$27.50$24.98
Max Pain$25.18$25.00$26.00$26.00$25.00
ATM IV48.9%43.5%57.4%46.5%43.5%
Expected Move14.1%12.5%16.4%13.3%12.5%
HV 20d42.0%31.9%52.8%52.8%40.7%
HV 60d50.4%48.5%56.0%56.0%48.5%
IV Rank23.2%9.6%35.5%29.8%9.6%
IV Percentile34.8%16.3%54.4%31.0%16.3%
Term Structure1.6%-3.6%7.1%2.5%6.7%
VWIV49.0%42.6%56.7%45.9%43.0%
Skew 25d5.7%3.5%7.8%5.2%5.5%
Skew 10d11.2%2.3%19.7%15.8%10.5%
Call IV 25d46.5%40.6%55.7%43.0%40.6%
Put IV 25d52.2%46.1%60.7%48.2%46.1%
Bid-Ask Spread %14.0110.0419.6611.3015.88
Gamma HHI0.160.120.230.130.15
Net GEX2.6M-3.4M6.2M5.0M6.1M
Net DEX-33.3M-177.6M127.9M-141.6M-57.1M
Net VEX-1.3M-1.5M-1.1M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.101.630.310.52
Total Volume27,407.0913,470102,2925,4853,849
Total OI416,229.182331,939530,422376,255407,853

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$27.50$26.0046.5%13.3%52.8%29.8%45.9%5.2%2.5%5.0M-141.6M-1.3M0.3111.304,1751,310214,487161,768
2009-06-02$28.10$26.0044.7%12.8%52.3%27.8%42.6%5.1%1.9%5.8M-177.6M-1.3M0.1010.8616,3861,631213,725162,303
2009-06-03$27.50$26.0048.2%13.8%47.0%31.7%47.4%6.1%2.0%5.0M-137.3M-1.3M0.8411.875,8944,945214,825163,071
2009-06-04$27.27$26.0048.2%13.8%47.1%31.7%48.0%5.1%2.2%4.7M-123.5M-1.3M1.6312.331,5312,497214,861165,191
2009-06-05$27.10$25.0047.3%14.2%33.6%30.7%51.2%7.4%0.4%4.6M-108.1M-1.3M0.5314.367,4603,950214,977166,304
2009-06-08$26.05$25.0051.7%15.0%35.3%35.5%52.2%5.5%-1.5%2.7M-42.7M-1.2M0.5610.0422,74512,820216,474167,847
2009-06-09$25.98$25.0048.6%14.8%31.9%31.9%52.5%6.3%-1.7%2.6M-34.0M-1.2M1.1911.287,4408,853228,049179,113
2009-06-10$25.73$25.0047.9%14.9%31.9%28.0%52.7%5.0%-2.1%2.0M-18.2M-1.2M1.1712.5811,89613,919231,098183,790
2009-06-11$24.05$25.0052.9%15.2%38.7%26.1%53.5%4.0%-0.4%-2.5M98.3M-1.1M1.2319.6637,88546,661239,499195,199
2009-06-12$24.21$25.0053.7%15.4%38.8%26.6%53.2%4.6%-1.4%-1.7M78.2M-1.3M0.4915.543,9651,940259,236217,132
2009-06-15$23.51$25.0054.5%15.6%39.6%27.1%54.7%4.4%-0.9%-3.4M127.9M-1.1M0.8713.636,1375,331261,530215,666
2009-06-16$24.02$25.0057.4%16.4%40.4%30.9%56.7%5.1%-3.6%-2.0M88.6M-1.2M0.9116.5528,68826,078262,201217,496
2009-06-17$24.02$25.0052.0%14.9%40.4%23.8%51.8%3.5%-1.4%-3.0M94.6M-1.2M0.5610.9129,64716,489270,503220,143
2009-06-18$25.45$25.0050.8%14.6%46.1%20.5%50.0%7.8%-0.4%2.9M-43.0M-1.4M0.6215.9063,26939,023290,034220,154
2009-06-19$25.43$25.0049.0%14.1%45.0%17.2%48.7%5.9%1.0%3.3M-80.9M-1.4M0.6215.4129,65018,359311,019219,403
2009-06-22$24.56$25.0049.7%14.3%45.9%18.1%49.9%6.4%1.8%2.5M-8.1M-1.3M0.2213.3930,5216,701202,767129,172
2009-06-23$24.54$25.0049.7%14.2%43.8%18.0%48.6%6.9%3.5%3.4M-30.9M-1.4M0.9412.634,7884,495229,987132,632
2009-06-24$24.81$25.0045.5%13.0%43.8%12.3%45.1%7.2%6.0%3.8M-42.4M-1.5M0.6317.3310,1756,436235,562135,414
2009-06-25$24.99$25.0044.9%12.9%44.0%11.6%43.3%7.2%7.1%4.5M-53.5M-1.5M0.4317.8029,90612,945242,149138,136
2009-06-26$24.77$25.0044.5%12.7%43.5%10.9%44.5%6.1%6.8%5.3M-48.4M-1.5M0.1613.677,8531,243257,296142,942
2009-06-29$25.12$25.0044.3%12.7%41.9%10.7%43.3%4.5%6.0%6.2M-72.1M-1.5M0.5815.302,1921,278263,138142,896
2009-06-30$24.98$25.0043.5%12.5%40.7%9.6%43.0%5.5%6.7%6.1M-57.1M-1.5M0.5215.882,5251,324264,159143,694