UNH Options History — July 2011

In July 2011, UNH traded between $49.63 and $53.13. ATM implied volatility averaged 25.1%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.9% (HV 20d: 22.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2011-07-29: Highest Volume — 20,025 contracts
  • 2011-07-08: Largest IV spike — 63.0% change
  • 2011-07-14: Highest IV Rank — 77.6%
  • 2011-07-14: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.71$49.63$53.13$53.13$49.63
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV25.1%15.9%30.9%18.4%28.0%
Expected Move7.5%5.3%8.9%5.3%8.0%
HV 20d22.1%19.0%27.5%27.5%21.5%
HV 60d24.3%21.1%27.2%26.8%21.9%
IV Rank46.6%0.0%77.6%0.0%62.8%
IV Percentile48.7%0.0%94.8%0.0%78.6%
Term Structure0.1%-1.5%4.8%4.8%-0.6%
VWIV27.1%20.9%30.7%20.9%29.3%
Skew 25d3.7%1.9%5.1%4.1%3.3%
Skew 10d8.3%4.9%10.7%7.8%9.5%
Call IV 25d24.7%19.5%28.4%19.5%27.8%
Put IV 25d28.4%23.6%31.9%23.6%31.1%
Bid-Ask Spread %6.444.228.266.007.31
Gamma HHI0.240.150.330.260.15
Net GEX2.2M-212.2K3.9M3.3M-212.2K
Net DEX-248.5M-308.3M-150.5M-308.2M-150.5M
Net VEX-1.6M-1.7M-1.5M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.275.220.805.22
Total Volume7,948.72,77420,0257,14320,025
Total OI228,571.45214,860242,442221,577230,607

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$53.13$50.0018.4%5.3%27.5%0.0%20.9%4.1%4.8%3.3M-308.2M-1.5M0.806.003,9773,166103,244118,333
2011-07-05$52.85$50.0016.5%6.9%26.9%0.0%29.9%5.1%0.2%3.1M-301.0M-1.5M1.917.091,9603,735103,890120,515
2011-07-06$53.13$50.0020.2%6.9%26.7%20.1%28.1%4.7%-0.0%3.5M-308.3M-1.5M4.585.331,7578,052104,523121,696
2011-07-07$52.63$50.0015.9%6.9%27.2%0.0%25.6%4.6%0.1%2.6M-286.0M-1.6M0.307.927,1112,112105,284124,816
2011-07-08$52.08$50.0025.9%7.8%22.0%51.6%28.4%4.7%-0.6%2.5M-269.3M-1.6M0.775.752,5801,984108,241124,995
2011-07-11$50.94$50.0028.4%8.0%21.8%64.6%29.8%4.8%-0.6%1.4M-222.3M-1.6M1.714.222,8854,929109,330125,400
2011-07-12$51.41$50.0028.5%8.1%21.8%65.3%30.4%4.7%-0.3%1.8M-253.4M-1.6M0.524.532,4201,268110,373125,990
2011-07-13$51.73$50.0029.4%8.6%21.6%70.1%28.6%3.6%-1.4%2.3M-262.7M-1.6M0.576.1710,4545,921110,105125,882
2011-07-14$52.27$50.0030.9%8.9%21.6%77.6%30.7%3.5%-1.5%2.9M-301.7M-1.6M0.705.492,5241,762116,438125,679
2011-07-15$51.97$50.0030.6%8.8%21.8%76.0%29.1%3.5%-0.9%2.6M-283.8M-1.6M0.276.114,8881,321116,435126,007
2011-07-18$51.95$50.0030.9%8.9%21.8%77.6%29.7%3.8%-1.5%2.5M-242.4M-1.6M0.706.047,8155,479103,622111,238
2011-07-19$51.45$50.0024.4%7.0%20.2%44.1%24.5%3.3%0.4%2.0M-219.6M-1.6M1.077.279,3759,992102,517112,572
2011-07-20$51.51$50.0024.5%7.0%19.0%44.5%24.4%3.5%0.6%2.5M-238.5M-1.6M1.045.691,4931,547106,819114,927
2011-07-21$52.15$50.0024.6%7.1%19.3%45.1%23.8%2.7%0.6%3.1M-266.3M-1.6M0.387.033,8631,455107,161115,832
2011-07-22$52.75$50.0021.5%6.2%19.1%29.2%24.5%3.5%1.1%3.9M-276.7M-1.6M2.588.261,8944,890107,854116,001
2011-07-25$51.63$50.0025.6%7.3%20.1%50.2%25.6%3.2%0.3%1.9M-233.0M-1.6M1.107.172,2122,444107,634119,408
2011-07-26$51.26$50.0025.1%7.2%20.0%47.5%25.4%3.0%0.6%1.4M-217.7M-1.6M1.847.511,4602,681108,346120,354
2011-07-27$49.89$50.0025.9%7.4%21.4%52.1%26.9%2.6%0.2%81.6K-167.0M-1.5M0.517.273,1521,617108,795120,427
2011-07-28$49.92$50.0026.4%7.6%21.4%54.5%27.4%1.9%0.1%81.7K-162.3M-1.7M0.436.661,934840109,165120,974
2011-07-29$49.63$50.0028.0%8.0%21.5%62.8%29.3%3.3%-0.6%-212.2K-150.5M-1.7M5.227.313,22016,805109,397121,210