UNH Options History — July 2012

In July 2012, UNH traded between $51.09 and $56.35. ATM implied volatility averaged 26.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.8% (HV 20d: 27.9%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-07-19: Highest Volume — 51,130 contracts
  • 2012-07-31: Largest IV spike — 17.6% change
  • 2012-07-31: Highest IV Rank — 41.7%
  • 2012-07-05: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.75$51.09$56.35$56.26$51.09
Max Pain$56.90$55.00$57.50$57.50$55.00
ATM IV26.0%22.5%34.7%23.4%34.7%
Expected Move7.3%6.4%8.4%7.6%8.0%
HV 20d27.9%26.4%30.6%27.9%30.6%
HV 60d23.3%22.4%25.6%22.4%25.6%
IV Rank22.0%13.6%41.7%17.1%41.7%
IV Percentile42.4%19.4%77.4%25.4%77.4%
Term Structure0.1%-2.9%1.4%-1.3%-0.6%
VWIV25.9%22.6%28.7%27.7%26.1%
Skew 25d4.1%3.4%5.8%4.1%5.8%
Skew 10d10.9%8.2%14.0%8.6%10.5%
Call IV 25d24.2%21.2%27.8%25.7%25.6%
Put IV 25d28.4%24.6%31.6%29.8%31.4%
Bid-Ask Spread %8.345.5614.117.0810.93
Gamma HHI0.200.150.530.230.17
Net GEX-714.0K-20.2M10.7M10.7M-1.6M
Net DEX3.6M-67.0M90.8M-67.0M90.8M
Net VEX-1.7M-1.9M-1.5M-1.9M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.383.151.090.44
Total Volume12,6703,22351,13025,90910,675
Total OI256,546.333209,968305,368278,431226,367

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$56.26$57.5023.4%7.6%27.9%17.1%27.7%4.1%-1.3%10.7M-67.0M-1.9M1.097.0812,42513,484155,974122,457
2012-07-03$54.88$57.5024.1%8.1%28.4%18.8%28.3%3.8%-1.8%-1.3M50.2M-1.8M0.707.684,5283,164141,130124,373
2012-07-05$55.81$57.5025.9%8.4%26.9%22.7%28.7%3.8%-2.9%1.5M-21.4M-1.8M0.436.596,8672,964142,165123,858
2012-07-06$55.82$57.5024.4%7.4%26.9%19.4%26.7%4.1%0.2%2.4M-30.0M-1.8M0.755.564,2213,170144,062123,658
2012-07-09$56.09$57.5028.3%7.5%26.7%27.0%25.5%4.0%0.1%2.3M-34.7M-1.8M0.446.153,0521,348142,821123,164
2012-07-10$55.70$57.5028.2%7.6%26.6%26.7%26.7%4.1%0.1%763.0K-1.8M-1.8M0.716.343,4192,431143,723123,928
2012-07-11$56.04$57.5030.6%7.5%26.6%32.2%27.1%3.8%0.2%945.4K-26.0M-1.8M0.576.482,0481,175144,687125,183
2012-07-12$54.57$57.5026.1%7.5%28.0%22.0%27.2%5.0%0.5%-1.7M68.2M-1.8M0.968.183,4893,344144,762125,126
2012-07-13$55.20$57.5025.8%7.4%27.1%21.2%25.4%4.2%0.1%-1.4M35.4M-1.8M0.708.844,2172,932145,153125,725
2012-07-16$55.16$57.5025.1%7.2%27.1%19.8%25.3%4.5%0.5%-1.2M30.2M-1.7M0.517.966,9943,600144,853125,459
2012-07-17$55.90$57.5025.7%7.4%27.4%21.0%25.8%4.3%-0.3%-1.8M-1.0M-1.7M3.158.515,61117,651144,002127,431
2012-07-18$56.35$57.5024.1%6.9%27.0%17.4%25.2%4.1%-0.3%-2.6M-45.7M-1.7M0.3814.116,8032,559146,791137,476
2012-07-19$54.99$57.5022.7%6.5%27.9%14.1%23.6%3.5%1.1%-20.2M79.0M-1.6M0.799.7628,49522,635144,916134,882
2012-07-20$55.41$57.5022.5%6.4%27.4%13.6%22.6%3.4%1.4%-7.6M-50.9M-1.7M1.5710.015,5948,757166,461138,907
2012-07-23$54.51$57.5023.2%6.7%27.2%15.3%25.5%4.2%1.4%2.8M-44.0M-1.7M1.947.543,6907,171115,46094,508
2012-07-24$54.90$57.5023.6%6.8%26.4%16.2%23.5%4.2%1.3%2.7M-51.7M-1.7M0.477.256,3823,010116,42799,441
2012-07-25$52.48$55.0026.5%7.6%29.2%22.9%26.5%4.3%0.4%-798.0K46.4M-1.6M0.608.7814,1258,427118,814101,386
2012-07-26$52.01$55.0026.4%7.6%28.7%22.6%27.1%4.5%0.6%-847.9K53.8M-1.6M0.479.224,8292,263124,173102,313
2012-07-27$53.34$55.0025.5%7.0%30.6%20.5%25.6%3.5%0.9%1.3M-8.2M-1.7M0.659.095,6083,659125,616101,770
2012-07-30$53.26$55.0029.5%7.1%30.3%29.7%23.9%3.9%0.4%743.1K3.2M-1.7M0.509.016,1803,074124,958103,113
2012-07-31$51.09$55.0034.7%8.0%30.6%41.7%26.1%5.8%-0.6%-1.6M90.8M-1.5M0.4410.937,3893,286124,168102,199