UNH Options History — May 2012

In May 2012, UNH traded between $53.99 and $57.13. ATM implied volatility averaged 24.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.6% (HV 20d: 20.6%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-05-31: Highest Volume — 46,093 contracts
  • 2012-05-03: Largest IV spike — 10.3% change
  • 2012-05-31: Highest IV Rank — 26.7%
  • 2012-05-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.54$53.99$57.13$57.13$55.77
Max Pain$55.34$55.00$57.50$57.50$55.00
ATM IV24.2%20.2%27.6%20.4%27.6%
Expected Move7.0%5.8%7.8%5.8%7.8%
HV 20d20.6%17.4%22.2%20.7%17.7%
HV 60d20.8%20.1%21.6%20.1%21.3%
IV Rank19.0%9.9%26.7%10.2%26.7%
IV Percentile35.8%10.3%58.3%10.7%58.3%
Term Structure4.3%0.4%9.8%0.8%9.8%
VWIV24.6%20.6%28.4%21.2%27.8%
Skew 25d4.3%2.9%6.7%3.2%4.0%
Skew 10d9.6%4.9%14.6%7.6%8.7%
Call IV 25d23.0%19.7%26.2%19.7%26.2%
Put IV 25d27.3%23.0%30.4%23.0%30.2%
Bid-Ask Spread %9.376.9212.0511.0310.13
Gamma HHI0.190.160.270.200.25
Net GEX9.8M5.7M16.8M11.1M15.4M
Net DEX-139.0M-224.5M-26.3M-210.0M-207.9M
Net VEX-1.9M-2.0M-1.8M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.272.040.520.57
Total Volume10,561.3181,81746,0935,00646,093
Total OI251,816.773229,499280,247245,861280,247

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$57.13$57.5020.4%5.8%20.7%10.2%21.2%3.2%0.8%11.1M-210.0M-2.0M0.5211.033,2931,713128,371117,490
2012-05-02$56.66$57.5020.2%5.8%20.7%9.9%20.6%3.1%1.1%9.9M-187.4M-2.0M0.6410.041,107710129,313116,842
2012-05-03$55.72$57.5022.3%6.4%21.2%14.7%21.4%3.2%0.4%9.0M-138.4M-1.9M0.4110.433,1661,309127,667115,918
2012-05-04$54.72$55.0022.3%6.7%21.9%14.7%23.3%5.0%3.5%6.6M-77.5M-1.9M1.087.152,8873,109128,550116,390
2012-05-07$55.25$55.0024.1%6.8%22.0%18.6%24.1%4.2%2.9%7.8M-110.3M-1.9M0.628.541,9151,193128,816116,702
2012-05-08$55.82$55.0024.6%7.0%22.2%19.7%24.1%4.0%2.7%8.5M-140.0M-1.9M0.828.002,0951,719129,454116,494
2012-05-09$55.22$55.0023.7%6.9%22.2%17.8%23.4%4.4%3.0%7.0M-97.3M-1.8M1.1510.192,1242,444129,067116,511
2012-05-10$55.29$55.0023.4%6.7%21.9%17.2%22.2%4.8%3.9%7.0M-97.9M-1.8M0.477.003,7751,763129,814117,015
2012-05-11$55.20$55.0023.0%6.6%21.9%16.3%22.9%4.7%4.1%7.1M-93.1M-1.8M0.758.331,5851,185130,513116,863
2012-05-14$55.16$55.0024.3%7.0%21.6%19.1%24.2%5.3%3.7%7.4M-90.3M-1.8M2.048.181,6583,374131,408116,949
2012-05-15$54.94$55.0024.5%7.0%20.9%19.5%24.1%4.5%4.1%7.0M-87.1M-1.8M0.559.992,6261,456131,180118,416
2012-05-16$54.90$55.0024.3%7.0%20.5%19.1%24.8%5.4%4.7%6.7M-77.1M-1.8M1.856.921,0031,857131,942118,550
2012-05-17$54.88$55.0025.4%7.3%18.0%21.6%25.9%5.8%4.3%6.6M-78.0M-1.8M1.1710.551,6561,937132,005118,703
2012-05-18$53.99$55.0024.5%7.0%17.4%19.6%25.7%6.7%5.2%5.7M-26.3M-1.8M1.308.216,1728,005132,009118,565
2012-05-21$55.55$55.0023.8%6.8%21.1%17.9%24.8%4.9%5.3%9.0M-139.7M-1.8M0.708.2211,7438,169119,787109,712
2012-05-22$55.72$55.0024.6%7.1%21.1%19.8%24.4%3.9%4.8%9.5M-158.7M-1.9M0.318.2119,1635,975126,633116,369
2012-05-23$55.36$55.0025.4%7.3%21.1%21.5%25.7%3.5%5.6%11.6M-160.8M-1.9M0.279.609,7612,651134,359118,399
2012-05-24$56.22$55.0026.4%7.6%21.9%23.9%28.0%2.9%5.7%14.0M-218.0M-2.0M0.5012.0522,12711,001140,454118,262
2012-05-25$56.12$55.0025.3%7.3%21.8%21.5%25.6%3.0%6.1%15.6M-217.7M-2.0M0.3011.414,5241,367148,028123,919
2012-05-29$56.15$55.0025.5%7.3%18.9%21.9%27.9%3.6%6.6%16.7M-219.1M-1.9M0.6610.576,3954,217147,315121,205
2012-05-30$56.17$55.0027.3%7.8%17.7%26.0%28.4%3.8%6.8%16.8M-224.5M-2.0M0.6211.467,6164,711150,437123,326
2012-05-31$55.77$55.0027.6%7.8%17.7%26.7%27.8%4.0%9.8%15.4M-207.9M-2.0M0.5710.1329,41416,679155,014125,233