UNH Options History — May 2015

In May 2015, UNH traded between $113.23 and $121.36. ATM implied volatility averaged 19.3%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.8% (HV 20d: 23.1%). Max pain ranged from $110.00 to $116.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-05-08: Highest Volume — 43,260 contracts
  • 2015-05-26: Largest IV spike — 12.2% change
  • 2015-05-06: Highest IV Rank — 49.1%
  • 2015-05-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.39$113.23$121.36$113.23$120.35
Max Pain$110.35$110.00$116.00$116.00$111.00
ATM IV19.3%17.0%21.9%21.7%18.6%
Expected Move5.5%4.9%6.3%6.3%5.6%
HV 20d23.1%14.5%26.2%25.1%14.5%
HV 60d22.3%21.6%23.1%23.0%21.6%
IV Rank34.0%20.8%49.1%47.8%27.5%
IV Percentile50.4%25.4%76.2%73.8%41.7%
Term Structure0.2%-1.0%0.9%-0.1%-0.5%
VWIV20.1%17.8%22.5%22.5%19.6%
Skew 25d2.6%0.7%3.8%2.3%0.7%
Skew 10d5.0%-4.1%8.8%5.1%-4.1%
Call IV 25d18.5%16.0%20.9%20.9%19.5%
Put IV 25d21.2%18.5%24.2%23.2%20.2%
Bid-Ask Spread %15.859.0474.6210.6374.62
Gamma HHI0.120.090.190.090.19
Net GEX-1.6M-25.5M17.9M-19.1M17.9M
Net DEX-246.7M-465.7M50.7M50.7M-413.3M
Net VEX-3.1M-3.4M-2.9M-3.3M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.482.491.640.51
Total Volume13,203.85,01043,26014,01514,592
Total OI201,077.8188,850213,549209,376195,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$113.23$116.0021.7%6.3%25.1%47.8%22.5%2.3%-0.1%-19.1M50.7M-3.3M1.6410.635,3028,71392,960116,416
2015-05-04$114.56$110.0020.7%6.1%25.5%42.2%22.2%2.2%0.9%-16.7M-85.0M-3.3M0.6911.403,5602,45990,046110,910
2015-05-05$113.34$110.0021.6%6.2%25.7%47.4%22.2%3.1%0.6%-19.3M-9.3M-3.3M1.1411.475,0265,70991,018111,892
2015-05-06$113.31$110.0021.9%6.2%25.5%49.1%22.4%3.4%0.4%-20.3M-3.7M-3.3M1.0011.464,8544,84991,258112,974
2015-05-07$114.79$110.0021.2%6.1%26.0%45.0%22.5%2.5%0.3%-18.5M-90.7M-3.2M1.1411.616,2857,18390,759113,725
2015-05-08$115.68$110.0020.0%5.8%26.2%38.5%21.7%2.8%0.6%-25.5M-150.6M-3.2M0.8711.3923,13820,12292,359115,910
2015-05-11$114.77$110.0020.1%5.8%26.2%39.1%20.6%3.8%0.2%-17.2M-97.1M-3.3M0.9013.912,6382,37292,817117,492
2015-05-12$114.72$110.0020.8%5.9%26.1%43.0%20.8%2.8%-0.3%-16.9M-92.2M-3.4M0.4812.889,7874,70893,345116,921
2015-05-13$115.84$110.0019.4%5.7%25.4%34.9%19.4%2.9%0.3%-15.3M-172.7M-3.2M0.6413.1310,4796,67395,167118,048
2015-05-14$118.47$110.0018.5%5.2%23.4%29.5%19.5%2.7%-1.0%4.3M-332.8M-3.2M0.549.0411,3696,19395,051118,423
2015-05-15$119.28$110.0017.7%5.1%22.3%25.1%19.1%2.4%-0.4%13.2M-385.1M-3.1M1.3511.538,68311,76195,207118,342
2015-05-18$119.80$110.0017.3%5.0%22.3%22.8%18.3%2.6%0.5%12.9M-399.1M-2.9M1.2112.752,4722,99584,052104,798
2015-05-19$120.55$110.0017.0%4.9%22.3%20.8%17.8%2.6%0.5%15.2M-436.7M-2.9M1.0412.843,4293,58184,399104,910
2015-05-20$121.36$110.0017.0%4.9%21.9%21.3%18.7%2.4%0.4%14.9M-465.7M-2.9M2.0113.644,4078,86385,289105,164
2015-05-21$120.46$110.0017.3%4.9%22.1%22.7%18.7%2.3%0.5%15.2M-426.4M-2.9M2.4915.073,2838,18286,053106,885
2015-05-22$119.67$110.0017.8%5.0%22.2%25.5%18.3%2.4%0.5%11.8M-385.1M-2.9M0.9314.707,5797,06286,245107,873
2015-05-26$118.40$110.0019.9%5.6%21.1%37.9%19.8%2.9%0.4%6.7M-306.1M-3.0M1.0614.844,8685,13785,358106,277
2015-05-27$119.55$110.0019.0%5.2%21.1%29.9%19.0%2.8%0.0%11.8M-366.9M-2.9M1.1816.843,6084,25485,936107,540
2015-05-28$119.76$110.0019.0%5.3%16.7%30.2%18.9%3.0%0.8%13.4M-366.6M-2.9M0.9613.314,0303,87186,399107,862
2015-05-29$120.35$111.0018.6%5.6%14.5%27.5%19.6%0.7%-0.5%17.9M-413.3M-2.9M0.5174.629,6644,92887,236108,240