UNH Options History — June 2013

In June 2013, UNH traded between $61.75 and $66.09. ATM implied volatility averaged 23.3%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.6% (HV 20d: 20.6%). Max pain ranged from $57.50 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-06-12: Highest Volume — 27,992 contracts
  • 2013-06-10: Largest IV spike — 17.9% change
  • 2013-06-05: Highest IV Rank — 30.2%
  • 2013-06-25: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.93$61.75$66.09$62.80$65.48
Max Pain$61.88$57.50$65.00$57.50$65.00
ATM IV23.3%18.4%27.8%27.7%18.4%
Expected Move6.5%6.1%7.0%6.3%6.3%
HV 20d20.6%18.9%23.1%23.1%18.9%
HV 60d22.2%20.5%23.0%22.0%21.0%
IV Rank22.3%13.8%30.2%30.1%13.8%
IV Percentile65.2%18.7%86.9%86.9%18.7%
Term Structure0.4%-0.6%1.8%1.3%0.5%
VWIV23.2%21.3%25.9%22.9%21.7%
Skew 25d3.5%2.7%4.3%3.0%2.9%
Skew 10d7.7%5.4%9.6%6.4%6.1%
Call IV 25d21.6%20.2%22.7%20.9%20.6%
Put IV 25d25.0%23.1%26.9%23.9%23.5%
Bid-Ask Spread %8.544.0714.1411.2710.14
Gamma HHI0.300.230.380.290.24
Net GEX13.2M8.0M18.6M13.4M11.8M
Net DEX-322.0M-393.6M-253.3M-346.7M-339.3M
Net VEX-2.0M-2.1M-1.9M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.101.431.350.83
Total Volume7,169.42,59427,9925,9402,594
Total OI198,948.85171,631214,569197,909178,724

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$62.80$57.5027.7%6.3%23.1%30.1%22.9%3.0%1.3%13.4M-346.7M-1.9M1.3511.272,5273,413119,82778,082
2013-06-04$62.36$57.5026.7%6.3%22.3%28.2%25.9%2.7%1.7%12.7M-321.7M-1.9M0.719.218,5666,116120,63379,592
2013-06-05$61.75$57.5027.8%6.5%22.7%30.2%25.8%3.9%1.4%11.6M-253.3M-2.0M0.4912.632,8471,396125,41485,293
2013-06-06$61.92$57.5023.8%6.4%19.4%23.3%23.2%3.8%1.8%11.9M-261.4M-2.0M0.6611.762,8071,847125,84685,628
2013-06-07$62.57$62.5022.3%6.6%19.5%20.6%23.2%3.8%-0.0%8.0M-312.8M-2.0M1.4314.141,1891,704125,84784,410
2013-06-10$63.68$62.5026.2%6.7%19.8%27.5%23.1%3.5%-0.6%14.9M-366.2M-1.9M0.1712.5210,1771,690124,44882,857
2013-06-11$63.93$62.5024.1%6.6%19.6%23.8%23.7%3.6%-0.4%15.4M-393.6M-2.0M1.095.573,1533,442128,36983,080
2013-06-12$63.83$62.5020.4%6.6%19.1%17.4%23.5%3.6%-0.1%15.3M-386.8M-2.0M0.105.3925,3992,593128,89283,924
2013-06-13$64.15$62.5023.1%6.6%19.1%22.0%23.9%3.6%0.2%14.1M-300.7M-2.0M0.835.392,0651,708111,67785,418
2013-06-14$63.80$62.5022.4%6.4%19.1%20.9%22.7%3.6%0.4%14.3M-279.8M-2.0M0.734.072,1331,547112,07686,020
2013-06-17$64.37$62.5021.4%6.1%19.0%19.2%21.9%3.8%0.9%16.2M-317.9M-1.9M0.586.167,7254,478112,58886,295
2013-06-18$65.68$62.5021.6%6.2%20.0%19.4%22.1%3.0%0.6%16.2M-393.6M-2.0M0.556.108,7554,785117,30188,922
2013-06-19$65.26$65.0021.5%6.2%20.2%19.2%21.3%3.3%0.5%18.6M-380.0M-2.1M0.718.382,1161,497122,48091,995
2013-06-20$63.80$65.0023.3%6.7%21.7%22.4%25.1%4.3%0.2%14.8M-287.1M-2.1M0.587.094,8782,837121,45891,711
2013-06-21$63.90$62.5022.6%6.5%21.7%21.2%23.1%3.8%0.5%10.5M-292.1M-2.1M0.818.182,4912,013122,03992,530
2013-06-24$64.65$62.5023.5%6.8%21.8%22.8%23.7%3.7%-0.3%10.4M-293.0M-2.1M0.488.921,917926106,36865,263
2013-06-25$63.73$62.5024.3%7.0%21.4%24.1%24.0%3.9%-0.0%10.3M-253.6M-2.0M1.167.141,4011,629107,35865,932
2013-06-26$64.78$62.5021.8%6.3%22.2%19.8%21.9%3.1%0.1%11.3M-302.2M-2.0M0.757.991,8821,415107,40166,894
2013-06-27$66.09$62.5021.9%6.3%22.1%19.9%21.7%2.9%0.1%11.6M-358.2M-2.0M0.318.792,854876108,60867,777
2013-06-28$65.48$65.0018.4%6.3%18.9%13.8%21.7%2.9%0.5%11.8M-339.3M-2.0M0.8310.141,4141,180110,54968,175