UNH Options History — March 2015 In March 2015, UNH traded between $112.46 and $120.95. ATM implied volatility averaged 21.5%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.2% (HV 20d: 21.7%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.90.
Notable Days 2015-03-10 : Highest Volume — 25,772 contracts2015-03-10 : Largest IV spike — 9.0% change2015-03-31 : Highest IV Rank — 65.6%2015-03-31 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $116.47 $112.46 $120.95 $114.35 $118.41 Max Pain $112.95 $100.00 $115.00 $100.00 $115.00 ATM IV 21.5% 19.2% 24.8% 19.3% 24.8% Expected Move 6.4% 5.5% 7.8% 5.5% 7.8% HV 20d 21.7% 18.7% 24.3% 18.7% 24.3% HV 60d 24.5% 23.8% 25.0% 24.5% 25.0% IV Rank 46.9% 33.4% 65.6% 34.3% 65.6% IV Percentile 76.5% 57.5% 97.2% 59.5% 97.2% Term Structure 0.6% -1.2% 3.2% 0.8% 3.2% VWIV 23.0% 19.3% 28.2% 19.3% 28.2% Skew 25d 2.8% 1.2% 4.1% 2.5% 2.5% Skew 10d 6.1% 1.5% 9.8% 5.0% 5.8% Call IV 25d 20.9% 18.6% 23.8% 18.8% 23.7% Put IV 25d 23.7% 21.0% 27.1% 21.3% 26.2% Bid-Ask Spread % 14.71 8.64 20.87 20.87 20.84 Gamma HHI 0.17 0.12 0.31 0.16 0.15 Net GEX 13.7M -2.0M 31.2M 13.3M 11.2M Net DEX -369.0M -524.2M -225.4M -390.3M -311.2M Net VEX -2.4M -2.6M -2.2M -2.3M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.18 1.95 1.00 0.86 Total Volume 12,418.182 3,241 25,772 11,231 15,897 Total OI 148,705.273 135,005 166,433 145,310 152,041
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-03-02 $114.35 $100.00 19.3% 5.5% 18.7% 34.3% 19.3% 2.5% 0.8% 13.3M -390.3M -2.3M 1.00 20.87 5,622 5,609 69,523 75,787 2015-03-03 $113.01 $100.00 19.2% 5.6% 19.4% 33.4% 20.7% 1.2% -0.2% 13.2M -355.7M -2.3M 1.50 18.26 4,963 7,468 70,888 76,233 2015-03-04 $113.91 $100.00 19.6% 5.5% 19.4% 36.0% 20.4% 3.3% 0.6% 13.5M -383.3M -2.3M 1.64 16.39 5,396 8,851 71,178 77,776 2015-03-05 $114.77 $115.00 19.5% 6.1% 19.5% 35.3% 21.6% 3.0% 0.4% 16.0M -414.3M -2.3M 1.29 11.44 6,643 8,546 71,680 78,915 2015-03-06 $112.81 $115.00 19.4% 6.2% 20.7% 35.0% 22.0% 2.7% 0.4% 12.4M -347.3M -2.3M 1.33 9.95 6,747 9,007 73,244 79,389 2015-03-09 $114.90 $115.00 20.0% 6.3% 20.8% 38.2% 22.2% 3.5% 1.6% 15.2M -410.4M -2.2M 0.18 13.11 8,650 1,557 70,789 78,610 2015-03-10 $112.46 $115.00 21.8% 6.9% 22.1% 48.4% 24.1% 3.1% 2.1% 11.3M -322.2M -2.4M 0.21 11.65 21,265 4,507 72,300 79,447 2015-03-11 $112.72 $115.00 20.5% 6.4% 20.6% 41.1% 23.0% 3.3% 2.5% 12.1M -225.4M -2.3M 0.63 18.15 1,985 1,256 64,118 82,054 2015-03-12 $114.88 $115.00 20.4% 6.4% 21.4% 40.8% 23.7% 2.0% 2.0% 17.7M -304.3M -2.3M 0.37 17.15 5,233 1,938 64,726 82,656 2015-03-13 $115.25 $115.00 21.1% 6.5% 21.4% 44.6% 23.6% 3.1% 1.8% 20.9M -338.8M -2.4M 0.71 15.81 3,385 2,415 68,164 83,416 2015-03-16 $118.52 $115.00 21.3% 6.3% 23.1% 46.0% 23.2% 3.3% -0.4% 18.1M -456.6M -2.3M 0.38 8.64 9,435 3,579 66,713 80,919 2015-03-17 $117.60 $115.00 21.9% 6.3% 23.5% 49.2% 23.4% 3.2% 0.2% 19.9M -417.7M -2.3M 1.95 11.53 2,298 4,478 67,985 82,762 2015-03-18 $119.96 $115.00 22.1% 6.3% 24.2% 50.5% 22.6% 2.7% 0.3% 19.5M -498.8M -2.3M 1.27 10.46 5,726 7,284 68,635 84,474 2015-03-19 $120.76 $115.00 21.6% 6.2% 24.2% 47.7% 22.5% 2.2% 0.3% 17.8M -524.2M -2.3M 0.76 13.03 14,416 10,930 69,821 86,977 2015-03-20 $119.14 $115.00 21.6% 6.1% 23.9% 47.3% 21.8% 2.5% 0.5% 9.7M -460.7M -2.3M 0.61 11.94 9,188 5,570 73,735 92,698 2015-03-23 $119.04 $115.00 22.4% 6.1% 21.3% 52.1% 21.3% 2.7% -1.2% 10.4M -365.4M -2.3M 1.29 17.45 3,113 4,016 64,630 70,375 2015-03-24 $118.12 $115.00 22.4% 6.5% 21.3% 52.2% 23.3% 2.3% -0.2% 4.8M -317.0M -2.5M 1.17 15.08 1,810 2,115 65,661 73,377 2015-03-25 $116.54 $115.00 23.2% 6.8% 21.4% 56.8% 24.1% 2.9% 0.3% 1.0M -258.2M -2.5M 0.81 12.49 3,448 2,806 66,444 74,620 2015-03-26 $116.32 $115.00 23.9% 7.1% 21.4% 60.4% 25.0% 3.5% -1.0% -2.0M -246.3M -2.6M 0.57 13.02 9,950 5,665 68,004 76,164 2015-03-27 $118.01 $115.00 23.6% 7.1% 21.9% 58.7% 25.0% 4.1% -0.2% 31.2M -356.1M -2.5M 0.52 15.56 5,666 2,935 73,622 77,763 2015-03-30 $120.95 $115.00 23.5% 7.2% 23.3% 58.2% 25.7% 1.8% -0.7% 14.4M -414.0M -2.5M 0.67 20.83 13,075 8,757 69,083 74,120 2015-03-31 $118.41 $115.00 24.8% 7.8% 24.3% 65.6% 28.2% 2.5% 3.2% 11.2M -311.2M -2.6M 0.86 20.84 8,525 7,372 74,785 77,256
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