UNH Options History — June 2010

In June 2010, UNH traded between $28.40 and $31.50. ATM implied volatility averaged 29.4%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.5% (HV 20d: 21.9%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-06-04: Highest Volume — 28,142 contracts
  • 2010-06-04: Largest IV spike — 20.1% change
  • 2010-06-04: Highest IV Rank — 20.8%
  • 2010-06-04: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.31$28.40$31.50$28.98$28.40
Max Pain$29.95$29.00$31.00$30.00$30.00
ATM IV29.4%24.8%34.7%34.2%32.0%
Expected Move8.5%7.1%10.1%9.8%9.2%
HV 20d21.9%17.6%25.9%24.7%19.3%
HV 60d25.5%24.6%26.6%25.6%25.1%
IV Rank8.6%0.0%20.8%19.4%18.7%
IV Percentile8.2%0.0%27.4%22.6%19.0%
Term Structure2.6%-0.4%5.5%1.9%3.3%
VWIV29.4%24.2%34.2%34.1%30.2%
Skew 25d4.7%2.1%6.2%3.4%5.9%
Skew 10d9.7%5.1%12.8%6.2%12.8%
Call IV 25d27.8%22.7%33.3%33.3%28.6%
Put IV 25d32.5%26.7%37.8%36.7%34.5%
Bid-Ask Spread %5.673.337.485.644.83
Gamma HHI0.160.100.250.150.10
Net GEX7.4M-746.0K14.7M5.2M-746.0K
Net DEX-79.8M-231.3M87.8M18.2M87.8M
Net VEX-2.0M-2.2M-1.8M-2.0M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.161.461.030.35
Total Volume12,225.8644,37028,1426,3954,370
Total OI409,423.091290,729485,840431,865332,993

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$28.98$30.0034.2%9.8%24.7%19.4%34.1%3.4%1.9%5.2M18.2M-2.0M1.035.643,1433,252287,749144,116
2010-06-02$29.91$30.0030.1%8.6%25.8%8.1%31.3%2.4%2.4%8.0M-43.6M-2.1M0.403.3313,3545,275287,159145,974
2010-06-03$30.46$30.0028.9%8.3%25.9%4.8%28.9%2.1%2.4%10.2M-98.8M-2.2M0.423.665,5332,320292,976150,350
2010-06-04$30.34$29.0034.7%10.1%24.1%20.8%34.2%5.2%-0.4%9.6M-99.0M-2.2M0.627.2717,37210,770293,814150,473
2010-06-07$30.46$29.0034.3%10.0%23.8%19.8%33.7%5.2%-0.2%9.4M-103.1M-2.2M0.577.1013,4617,714296,472156,116
2010-06-08$30.89$29.0031.9%9.5%22.1%12.9%33.6%4.7%0.7%10.9M-145.9M-2.2M0.806.1010,2998,200298,124159,949
2010-06-09$30.53$30.0030.8%9.4%22.6%10.0%32.3%5.1%0.8%10.2M-104.0M-2.2M0.295.9210,1572,943302,752163,967
2010-06-10$30.70$30.0030.3%8.7%22.0%8.6%30.9%5.0%1.3%11.4M-122.5M-2.1M0.636.8415,99910,032302,874164,988
2010-06-11$30.67$30.0029.7%8.5%21.9%7.0%30.3%5.3%1.8%11.8M-124.7M-2.2M0.846.752,9062,446312,897171,992
2010-06-14$30.59$30.0029.3%8.4%21.8%5.9%30.0%4.9%1.6%11.5M-112.1M-2.1M1.205.392,4132,902311,794172,360
2010-06-15$31.19$30.0027.3%7.8%22.9%0.5%27.2%4.6%2.6%13.9M-192.0M-2.1M0.815.407,8376,351311,463171,202
2010-06-16$31.39$30.0027.5%7.9%22.6%0.9%26.8%4.4%2.2%14.7M-219.3M-2.1M1.156.993,3853,896312,831171,690
2010-06-17$31.50$30.0026.6%7.6%22.4%0.0%26.8%4.3%2.9%14.5M-231.3M-2.1M0.166.787,8501,275312,982172,783
2010-06-18$31.33$30.0024.8%7.1%17.9%0.0%24.2%4.0%3.6%7.7M-226.2M-2.0M0.434.573,5761,542313,341172,499
2010-06-21$31.15$30.0026.0%7.4%17.6%3.1%25.0%4.4%3.0%3.9M-73.5M-2.0M0.727.487,5695,435172,269118,460
2010-06-22$30.64$31.0027.0%7.7%19.1%5.8%27.1%4.6%3.5%3.5M-50.8M-2.0M0.216.907,1911,499177,109120,249
2010-06-23$30.21$31.0027.8%8.0%20.0%7.9%28.4%4.5%3.8%2.9M-25.8M-1.9M1.275.223,8664,906177,940120,295
2010-06-24$29.76$30.0028.1%8.1%20.9%8.7%28.6%5.4%4.9%2.1M-1.7M-1.9M1.463.795,3537,802179,981123,885
2010-06-25$29.88$30.0026.4%7.6%20.0%4.1%26.4%5.5%5.5%2.0M-3.2M-1.9M1.325.029,59812,690183,176129,397
2010-06-28$29.19$30.0027.7%7.9%21.5%7.6%26.4%5.5%5.0%-27.7K48.5M-1.9M0.945.122,8132,638190,810143,355
2010-06-29$28.63$30.0030.7%8.8%22.6%15.4%31.3%6.2%3.7%-143.4K68.3M-1.8M0.824.653,8763,160191,259140,443
2010-06-30$28.40$30.0032.0%9.2%19.3%18.7%30.2%5.9%3.3%-746.0K87.8M-1.8M0.354.833,2301,140190,421142,572