UNH Options History — June 2015 In June 2015, UNH traded between $116.58 and $123.09. ATM implied volatility averaged 22.9%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.9% (HV 20d: 17.0%). Max pain ranged from $112.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.00.
Notable Days 2015-06-12 : Highest Volume — 28,365 contracts2015-06-15 : Largest IV spike — 17.8% change2015-06-29 : Highest IV Rank — 84.0%2015-06-29 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $119.61 $116.58 $123.09 $119.84 $122.24 Max Pain $116.95 $112.00 $120.00 $112.00 $120.00 ATM IV 22.9% 19.0% 28.1% 19.0% 26.3% Expected Move 6.8% 5.4% 9.1% 5.4% 8.2% HV 20d 17.0% 13.8% 22.7% 14.0% 21.7% HV 60d 20.6% 19.8% 21.6% 21.6% 21.0% IV Rank 53.1% 29.7% 84.0% 30.3% 73.5% IV Percentile 77.5% 44.0% 99.6% 47.2% 98.4% Term Structure 0.3% -2.3% 3.0% 0.8% -1.4% VWIV 24.3% 19.5% 31.9% 19.5% 28.8% Skew 25d 2.4% -0.5% 5.1% 2.2% 3.2% Skew 10d 4.6% 0.6% 8.3% 4.1% 5.5% Call IV 25d 22.1% 17.9% 26.3% 19.1% 24.8% Put IV 25d 24.5% 19.9% 30.5% 21.4% 28.0% Bid-Ask Spread % 40.05 11.01 78.83 23.56 57.08 Gamma HHI 0.12 0.09 0.18 0.15 0.12 Net GEX 11.0M 2.8M 23.7M 13.8M 10.1M Net DEX -308.5M -418.8M -203.5M -382.1M -337.2M Net VEX -2.9M -3.0M -2.8M -2.9M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.38 2.00 0.76 1.12 Total Volume 14,073.182 5,264 28,365 9,117 14,937 Total OI 182,288.545 154,020 197,235 186,585 167,246
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 2015-06-01 $119.84 $112.00 19.0% 5.4% 14.0% 30.3% 19.5% 2.2% 0.8% 13.8M -382.1M -2.9M 0.76 23.56 5,182 3,935 86,526 100,059 2015-06-02 $117.75 $113.00 20.5% 5.7% 15.3% 39.0% 20.1% 2.4% 0.1% 8.4M -294.6M -2.9M 1.42 25.10 2,174 3,090 88,051 100,600 2015-06-03 $118.32 $113.00 19.7% 5.5% 14.7% 34.4% 19.6% 2.2% -0.3% 9.5M -314.2M -2.8M 1.22 21.10 4,556 5,578 88,236 101,093 2015-06-04 $116.58 $115.00 20.3% 6.5% 15.9% 38.2% 22.9% 2.0% -0.3% 2.8M -229.1M -2.9M 0.87 12.06 5,339 4,632 89,037 102,878 2015-06-05 $116.58 $115.00 20.5% 6.5% 15.3% 38.9% 22.9% 1.6% -0.3% 2.9M -219.9M -2.9M 0.74 14.55 5,452 4,016 89,489 103,064 2015-06-08 $117.00 $115.00 20.3% 6.6% 15.1% 37.2% 21.6% 2.6% 3.0% 6.2M -260.1M -2.9M 0.71 14.43 5,638 4,020 88,557 101,867 2015-06-09 $117.00 $115.00 19.9% 6.5% 14.8% 34.8% 23.8% 1.9% 3.0% 6.6M -256.5M -2.8M 2.00 11.01 3,239 6,490 91,212 102,881 2015-06-10 $118.57 $115.00 19.5% 6.1% 15.4% 32.6% 21.5% 2.0% 2.6% 12.6M -326.0M -2.8M 0.43 11.48 15,639 6,696 91,590 105,645 2015-06-11 $119.19 $115.00 19.0% 6.1% 15.2% 29.7% 21.8% 2.0% 2.4% 16.9M -284.8M -2.8M 0.72 13.41 8,320 5,960 84,615 105,158 2015-06-12 $117.66 $115.00 20.5% 6.3% 13.8% 38.4% 23.3% 2.7% 2.6% 4.2M -203.5M -2.8M 1.34 13.03 12,144 16,221 85,817 107,080 2015-06-15 $118.94 $115.00 24.1% 6.9% 14.1% 60.2% 24.8% 2.9% 3.0% 10.6M -271.9M -3.0M 0.38 67.80 18,341 7,004 79,783 103,043 2015-06-16 $121.51 $115.00 25.6% 7.4% 16.0% 68.9% 26.5% 2.3% -0.5% 22.7M -400.6M -3.0M 0.63 49.87 10,737 6,719 85,915 104,214 2015-06-17 $119.62 $120.00 27.5% 7.9% 16.9% 80.4% 27.9% 3.5% -0.5% 17.4M -310.1M -2.9M 1.08 57.88 7,107 7,673 87,485 105,679 2015-06-18 $120.81 $120.00 27.2% 7.9% 17.1% 78.4% 27.5% 2.6% -2.3% 23.7M -370.6M -2.9M 1.23 51.50 5,162 6,364 87,277 108,949 2015-06-19 $120.60 $120.00 23.8% 6.8% 16.9% 58.3% 23.9% 3.0% 0.7% 7.7M -363.9M -2.9M 1.18 49.78 6,022 7,115 87,341 109,472 2015-06-22 $120.41 $120.00 24.1% 7.1% 16.7% 60.4% 24.9% 2.4% -0.5% 7.9M -280.6M -2.9M 1.49 62.93 3,298 4,918 71,400 82,620 2015-06-23 $122.59 $120.00 23.4% 7.0% 17.3% 55.7% 24.6% 3.8% -0.7% 11.9M -363.6M -2.8M 0.82 66.72 5,380 4,432 72,423 84,866 2015-06-24 $119.23 $120.00 24.8% 7.2% 19.9% 64.4% 25.5% 0.9% -1.3% 4.9M -235.3M -2.9M 1.17 61.96 5,580 6,540 74,676 86,118 2015-06-25 $122.44 $120.00 25.8% 7.0% 22.1% 70.5% 25.8% -0.5% -1.2% 12.4M -355.6M -3.0M 0.74 78.83 12,605 9,313 76,062 88,987 2015-06-26 $123.09 $120.00 23.9% 7.1% 22.1% 59.2% 25.3% 2.4% -1.0% 21.3M -418.8M -2.9M 0.81 54.32 9,446 7,626 80,137 89,840 2015-06-29 $121.39 $120.00 28.1% 9.1% 22.7% 84.0% 31.9% 5.1% -0.5% 8.4M -308.7M -3.0M 1.13 62.69 7,032 7,938 77,334 86,026 2015-06-30 $122.24 $120.00 26.3% 8.2% 21.7% 73.5% 28.8% 3.2% -1.4% 10.1M -337.2M -3.0M 1.12 57.08 7,036 7,901 78,288 88,958
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