UNH Options History — December 2014

In December 2014, UNH traded between $95.93 and $102.96. ATM implied volatility averaged 19.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.6% (HV 20d: 18.7%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2014-12-02: Highest Volume — 60,938 contracts
  • 2014-12-10: Largest IV spike — 19.3% change
  • 2014-12-31: Highest IV Rank — 55.4%
  • 2014-12-16: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.63$95.93$102.96$99.17$101.09
Max Pain$94.52$90.00$105.00$90.00$105.00
ATM IV19.2%15.4%23.0%16.6%23.0%
Expected Move6.0%5.4%7.0%5.4%6.5%
HV 20d18.7%13.7%22.9%15.9%22.9%
HV 60d21.4%20.4%22.8%20.5%22.0%
IV Rank33.9%11.8%55.4%18.7%55.4%
IV Percentile54.7%14.7%94.8%26.2%94.8%
Term Structure0.5%-1.5%3.2%-1.0%-1.2%
VWIV22.2%19.5%26.0%21.6%22.3%
Skew 25d2.5%1.1%3.8%2.1%2.1%
Skew 10d5.5%2.2%9.9%4.1%4.3%
Call IV 25d18.7%15.1%22.6%15.7%22.6%
Put IV 25d21.2%16.9%25.3%17.9%24.7%
Bid-Ask Spread %19.2610.0448.0916.6010.04
Gamma HHI0.180.110.300.150.20
Net GEX13.6M4.2M21.8M18.3M8.2M
Net DEX-333.9M-652.5M-113.2M-593.7M-284.1M
Net VEX-1.7M-1.8M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.172.170.431.19
Total Volume18,202.1821,44760,93819,3964,111
Total OI161,002.545140,467192,493185,716141,696

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$99.17$90.0016.6%5.4%15.9%18.7%21.6%2.1%-1.0%18.3M-593.7M-1.6M0.4316.6013,5475,84990,53995,177
2014-12-02$99.76$90.0016.0%5.4%15.9%15.2%19.9%1.1%0.7%21.8M-652.5M-1.6M0.1718.7452,2328,70694,44798,046
2014-12-03$101.09$90.0015.8%5.6%16.3%13.9%19.5%1.8%0.5%14.6M-370.4M-1.5M0.3919.1224,7449,61761,299101,488
2014-12-04$99.67$90.0016.2%5.6%17.3%16.5%20.3%2.6%0.3%18.0M-276.3M-1.7M1.0716.202,2732,42460,576105,117
2014-12-05$100.17$90.0015.4%5.5%17.3%11.8%20.5%2.3%0.7%20.6M-308.7M-1.8M0.4717.5815,4027,30662,511106,389
2014-12-08$99.95$90.0016.3%5.6%13.8%17.2%20.6%2.2%0.7%13.3M-287.6M-1.7M0.4615.9714,6406,71459,261102,260
2014-12-09$100.97$90.0016.0%5.7%13.7%15.4%19.8%2.4%1.3%14.6M-334.9M-1.6M0.2217.6416,0563,55759,703102,566
2014-12-10$99.03$90.0019.1%6.0%15.6%33.1%22.3%2.4%-0.3%13.0M-259.5M-1.7M0.3017.8617,7755,25461,377103,081
2014-12-11$99.59$90.0018.1%6.0%15.7%27.2%22.4%2.0%1.6%13.7M-280.0M-1.8M0.2821.3818,5415,16562,660104,361
2014-12-12$98.76$90.0019.6%6.3%16.1%35.7%25.0%2.3%0.6%4.2M-236.3M-1.8M0.2718.4416,8694,55163,057104,858
2014-12-15$98.45$90.0020.8%6.6%15.9%42.8%26.0%3.1%2.8%12.6M-212.2M-1.8M0.7816.6810,5488,21761,761103,527
2014-12-16$95.93$90.0022.7%7.0%18.0%53.4%24.9%3.8%0.8%7.0M-113.2M-1.8M0.6117.659,5195,78862,250105,570
2014-12-17$99.27$90.0020.4%6.4%20.8%40.6%23.2%2.5%3.2%17.5M-265.3M-1.8M0.6419.1312,2187,80162,416106,193
2014-12-18$102.00$92.5019.9%6.4%22.0%37.8%23.9%3.2%2.0%14.0M-377.2M-1.7M0.8718.7813,21811,49563,883106,754
2014-12-19$102.49$92.5020.0%6.2%21.9%38.2%23.5%2.6%0.9%16.6M-416.3M-1.6M0.7319.985,8084,24465,612108,846
2014-12-22$102.94$0.0020.1%5.7%21.9%38.5%21.7%3.2%-0.8%12.6M-353.1M-1.6M1.5315.735,1997,97057,62284,226
2014-12-23$102.96$105.0020.6%5.8%21.9%42.0%21.3%2.2%0.6%12.9M-353.4M-1.6M1.5948.095,0117,96558,17484,587
2014-12-24$102.68$105.0021.0%5.8%21.9%44.0%22.1%2.4%-0.3%13.5M-352.5M-1.6M1.6120.234,8607,84358,69585,580
2014-12-26$102.54$105.0021.5%5.7%21.9%47.0%21.4%3.3%-0.3%14.9M-350.6M-1.6M1.0019.504,2024,20358,87585,649
2014-12-29$102.40$105.0022.6%6.3%21.9%53.3%21.9%2.9%-1.5%9.2M-326.1M-1.6M0.9619.693,8623,69756,34084,127
2014-12-30$102.85$105.0021.8%5.8%21.9%48.4%23.4%3.3%-0.1%9.2M-341.9M-1.5M2.1718.7745699156,51584,385
2014-12-31$101.09$105.0023.0%6.5%22.9%55.4%22.3%2.1%-1.2%8.2M-284.1M-1.6M1.1910.041,8792,23256,62585,071