UNH Options History — December 2012

In December 2012, UNH traded between $53.54 and $55.46. ATM implied volatility averaged 21.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.1% (HV 20d: 18.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2012-12-06: Highest Volume — 23,996 contracts
  • 2012-12-06: Largest IV drop — 28.7% change
  • 2012-12-05: Highest IV Rank — 25.4%
  • 2012-12-31: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.37$53.54$55.46$53.89$54.24
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV21.9%18.0%29.2%23.2%22.5%
Expected Move6.1%5.3%7.0%5.4%7.0%
HV 20d18.8%14.4%25.4%25.4%14.6%
HV 60d19.8%19.3%20.6%20.6%19.3%
IV Rank11.3%3.6%25.4%13.6%12.4%
IV Percentile37.9%4.0%88.9%45.2%45.2%
Term Structure0.4%-1.9%2.1%1.6%-1.9%
VWIV22.6%19.2%28.6%19.7%28.6%
Skew 25d3.7%2.6%4.6%2.6%4.5%
Skew 10d9.5%4.6%13.4%4.6%13.4%
Call IV 25d20.7%18.6%23.9%18.9%23.9%
Put IV 25d24.4%21.4%28.4%21.6%28.4%
Bid-Ask Spread %8.894.3915.8412.046.96
Gamma HHI0.260.190.880.200.21
Net GEX7.2M617.4K70.3M3.3M2.4M
Net DEX-51.9M-129.2M-6.8M-56.7M-38.4M
Net VEX-959.5K-1.1M-896.7K-1.0M-907.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.033.591.071.36
Total Volume6,273.82,08723,9963,1003,853
Total OI219,129.6159,713243,108239,255168,174

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$53.89$55.0023.2%5.4%25.4%13.6%19.7%2.6%1.6%3.3M-56.7M-1.0M1.0712.041,4981,602138,881100,374
2012-12-04$53.54$55.0024.5%5.8%25.1%16.2%20.0%3.0%1.4%1.4M-32.2M-1.0M1.2615.221,4231,788139,319100,405
2012-12-05$53.84$55.0029.2%5.3%23.9%25.4%19.2%2.6%1.8%2.5M-48.2M-1.0M0.9615.841,3111,260139,716101,212
2012-12-06$53.65$55.0020.8%5.6%19.8%9.1%20.3%2.8%2.1%617.4K-27.6M-981.8K0.0313.5123,219777139,789101,370
2012-12-07$53.87$55.0018.0%5.8%19.0%3.6%21.9%4.1%1.6%1.8M-6.8M-1.0M0.468.201,425662131,000101,343
2012-12-10$54.19$55.0018.8%5.8%18.7%5.2%21.2%3.5%1.2%3.7M-38.4M-949.8K0.706.291,4651,026130,910100,856
2012-12-11$54.76$55.0019.6%5.8%18.2%6.7%22.4%3.6%1.2%5.4M-59.3M-968.6K1.368.812,4703,364130,785100,941
2012-12-12$55.25$55.0018.5%5.9%18.3%4.7%20.9%3.1%1.1%7.9M-95.3M-958.2K0.918.434,3283,920131,172101,902
2012-12-13$54.38$55.0020.8%6.0%17.9%9.1%21.5%3.2%1.0%5.3M-47.6M-946.4K1.608.041,1671,872132,033102,250
2012-12-14$54.05$55.0021.2%6.1%18.2%9.8%21.2%3.6%0.9%3.7M-19.3M-954.6K3.597.303,09811,133131,994102,602
2012-12-17$54.36$55.0021.3%6.1%17.9%10.1%25.2%4.2%0.6%1.8M-20.8M-933.5K0.827.493,1492,573132,806108,215
2012-12-18$54.95$55.0022.1%6.3%17.0%11.6%22.6%4.0%-0.4%12.4M-129.2M-1.1M0.517.636,4843,309133,265107,043
2012-12-19$54.49$55.0022.4%6.4%17.4%12.2%22.9%4.4%-0.4%5.5M-32.9M-956.4K1.618.391,8252,943135,061108,047
2012-12-20$55.46$55.0022.5%6.4%18.2%12.4%22.6%3.8%-0.7%8.6M-117.6M-923.8K0.607.872,2741,367132,628106,682
2012-12-21$55.03$55.0022.8%6.5%18.4%12.9%22.4%3.9%-0.5%70.3M-106.6M-915.4K0.537.597,0543,705132,865106,605
2012-12-24$54.85$55.0022.8%6.5%18.2%12.9%26.3%4.5%-0.9%2.6M-55.2M-908.3K1.024.392,5392,59675,26384,450
2012-12-26$54.22$55.0023.0%6.6%17.5%13.4%24.1%4.6%-1.0%1.8M-36.2M-905.4K0.486.792,03197877,08085,500
2012-12-27$54.44$55.0023.0%6.6%17.5%13.3%23.3%4.1%-0.7%2.4M-45.0M-896.7K0.677.903,9812,65978,10184,654
2012-12-28$53.86$55.0021.7%6.9%14.4%10.8%25.6%4.4%-1.2%1.5M-24.5M-905.9K0.259.062,68366580,71586,584
2012-12-31$54.24$55.0022.5%7.0%14.6%12.4%28.6%4.5%-1.9%2.4M-38.4M-907.9K1.366.961,6302,22382,06586,109