UNH Options History — June 2011

In June 2011, UNH traded between $47.97 and $52.22. ATM implied volatility averaged 25.1%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.6% (HV 20d: 24.5%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2011-06-02: Highest Volume — 201,968 contracts
  • 2011-06-15: Largest IV spike — 9.4% change
  • 2011-06-23: Highest IV Rank — 49.3%
  • 2011-06-23: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.06$47.97$52.22$48.35$51.58
Max Pain$48.82$46.00$50.00$46.00$50.00
ATM IV25.1%22.3%27.3%23.3%23.0%
Expected Move7.3%6.5%7.8%6.7%6.6%
HV 20d24.5%16.0%28.0%16.0%26.3%
HV 60d25.6%24.0%26.3%24.0%26.2%
IV Rank35.1%17.2%49.3%23.4%22.0%
IV Percentile40.6%8.7%70.2%13.9%14.7%
Term Structure2.4%0.7%4.3%0.7%4.3%
VWIV27.1%24.0%41.4%24.7%25.3%
Skew 25d3.6%2.3%5.3%2.8%2.3%
Skew 10d9.4%5.5%15.7%9.7%6.8%
Call IV 25d23.7%19.8%26.5%22.3%20.8%
Put IV 25d27.4%23.1%30.5%25.2%23.1%
Bid-Ask Spread %7.025.2111.157.365.88
Gamma HHI0.210.130.930.140.16
Net GEX5.1M-1.6M87.4M21.8K1.6M
Net DEX-222.0M-321.4M-107.1M-273.5M-245.0M
Net VEX-1.6M-1.7M-1.6M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.024.371.263.12
Total Volume16,9802,645201,9688,5693,789
Total OI243,014.545186,520283,539280,272220,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$48.35$46.0023.3%6.7%16.0%23.4%24.7%2.8%0.7%21.8K-273.5M-1.7M1.267.363,7924,777132,216148,056
2011-06-02$49.39$46.0022.8%6.5%17.9%20.6%41.4%5.3%1.0%82.6K-321.4M-1.7M0.026.33197,9264,042132,763150,776
2011-06-03$48.85$48.0022.3%6.9%18.3%17.2%25.4%3.4%2.1%-723.0K-173.1M-1.7M1.286.152,9903,815108,055149,564
2011-06-06$48.15$48.0023.6%7.1%18.4%25.4%24.7%3.0%1.9%-1.3M-137.7M-1.7M1.155.403,8044,392108,906150,829
2011-06-07$47.97$48.0022.5%7.0%18.1%18.3%24.0%3.1%2.1%-1.6M-107.1M-1.6M1.335.213,5404,699109,502148,068
2011-06-08$48.20$48.0022.8%7.0%18.2%20.7%24.5%3.5%2.2%-709.7K-130.6M-1.7M0.655.393,9902,601110,558148,987
2011-06-09$50.60$48.0023.7%6.8%25.4%26.0%25.0%3.3%2.1%2.5M-305.3M-1.6M1.065.217,3977,844111,721149,610
2011-06-10$49.41$49.0025.4%7.3%26.9%37.2%26.1%3.4%2.1%626.6K-210.4M-1.7M1.856.154,3648,080113,063153,704
2011-06-13$49.11$49.0025.8%7.4%26.9%39.4%25.8%3.5%1.9%740.1K-182.5M-1.7M0.566.203,8562,149114,080155,841
2011-06-14$49.60$49.0024.1%6.9%27.1%28.6%24.8%3.1%2.5%2.1M-228.8M-1.6M0.337.742,034661114,868156,225
2011-06-15$49.35$49.0026.3%7.5%27.2%43.0%26.4%3.2%1.7%1.8M-205.0M-1.6M0.227.708,5431,840114,852156,392
2011-06-16$49.66$49.0027.0%7.8%26.9%47.7%28.3%4.0%1.7%9.4M-241.7M-1.7M0.687.253,9642,709120,258155,984
2011-06-17$49.96$49.0026.5%7.6%27.0%44.2%27.1%4.2%2.5%87.4M-274.0M-1.6M0.677.019,4066,255121,330156,959
2011-06-20$51.27$49.0027.0%7.7%27.9%47.5%27.5%4.3%2.8%1.2M-225.9M-1.6M0.768.527,7115,85187,60998,911
2011-06-21$52.22$49.0027.1%7.8%28.0%47.8%26.8%3.8%2.3%1.8M-256.3M-1.6M1.987.493,4456,81392,496102,866
2011-06-22$51.78$50.0026.2%7.5%26.4%42.3%25.4%4.0%3.2%1.3M-241.3M-1.6M0.758.092,9472,21794,401106,086
2011-06-23$51.15$50.0027.3%7.8%27.0%49.3%26.4%5.1%2.7%1.1M-220.7M-1.7M0.7211.154,5973,31495,505106,952
2011-06-24$50.46$50.0026.7%7.6%27.6%45.3%30.4%4.4%3.0%889.2K-197.4M-1.7M1.638.201,8272,97798,230108,331
2011-06-27$51.03$50.0027.2%7.8%27.5%48.9%32.4%4.1%2.9%1.1M-216.4M-1.7M4.377.041,0894,76298,693110,485
2011-06-28$51.77$50.0026.5%7.6%27.6%44.2%27.9%3.5%2.6%1.4M-242.5M-1.6M1.077.184,8715,23598,983113,529
2011-06-29$51.54$50.0024.9%7.1%27.1%33.8%25.8%2.4%3.5%1.4M-248.2M-1.6M1.077.741,2751,370102,669117,071
2011-06-30$51.58$50.0023.0%6.6%26.3%22.0%25.3%2.3%4.3%1.6M-245.0M-1.6M3.125.889192,870103,028117,308