UNH Options History — July 2015

In July 2015, UNH traded between $117.84 and $125.59. ATM implied volatility averaged 22.3%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.8% (HV 20d: 21.5%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2015-07-16: Highest Volume — 23,457 contracts
2015-07-16: Largest IV drop — 16.4% change
2015-07-08: Highest IV Rank — 76.8%
2015-07-02: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.57	$117.84	$125.59	$123.40	$121.35
Max Pain	$120.00	$120.00	$120.00	$120.00	$120.00
ATM IV	22.3%	18.9%	26.9%	25.6%	19.6%
Expected Move	6.4%	5.4%	8.1%	8.1%	5.6%
HV 20d	21.5%	17.5%	23.8%	21.8%	19.3%
HV 60d	20.2%	18.4%	21.6%	21.1%	18.9%
IV Rank	49.4%	28.9%	76.8%	68.9%	33.2%
IV Percentile	67.4%	33.7%	98.4%	96.4%	40.9%
Term Structure	-0.4%	-1.5%	1.2%	-1.0%	1.2%
VWIV	22.6%	18.9%	28.4%	27.6%	19.5%
Skew 25d	3.0%	2.1%	4.0%	3.2%	2.4%
Skew 10d	6.0%	3.2%	10.1%	7.0%	7.2%
Call IV 25d	21.4%	17.6%	25.8%	25.2%	19.2%
Put IV 25d	24.4%	20.6%	29.3%	28.4%	21.6%
Bid-Ask Spread %	39.62	16.33	60.33	60.33	19.05
Gamma HHI	0.13	0.09	0.32	0.13	0.12
Net GEX	10.7M	-3.6M	36.3M	15.8M	10.1M
Net DEX	-323.9M	-495.9M	-164.3M	-398.6M	-335.1M
Net VEX	-2.8M	-3.1M	-2.6M	-2.9M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.50	1.37	1.02	0.52
Total Volume	11,307.091	7,761	23,457	11,271	9,762
Total OI	172,208.682	158,558	183,484	173,967	173,086

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
2015-07-01	$123.40	$120.00	25.6%	8.1%	21.8%	68.9%	27.6%	3.2%	-1.0%	15.8M	-398.6M	-2.9M	1.02	60.33	5,589	5,682	82,927	91,040
2015-07-02	$121.60	$120.00	25.4%	8.1%	21.8%	67.8%	28.4%	3.9%	-0.5%	10.3M	-311.4M	-3.0M	1.37	57.18	4,736	6,500	83,474	92,115
2015-07-06	$122.07	$120.00	25.8%	7.1%	21.8%	70.2%	25.5%	3.3%	-1.5%	11.4M	-320.5M	-2.9M	0.67	48.35	8,648	5,755	80,851	88,726
2015-07-07	$120.50	$120.00	26.2%	7.2%	22.5%	72.6%	25.3%	3.5%	-0.9%	7.4M	-276.0M	-3.0M	0.80	52.55	8,838	7,034	84,598	90,584
2015-07-08	$119.07	$120.00	26.9%	7.3%	23.0%	76.8%	25.4%	3.7%	-1.0%	3.5M	-216.4M	-3.1M	0.66	55.42	8,992	5,936	86,408	92,626
2015-07-09	$119.62	$120.00	26.4%	7.2%	22.6%	74.0%	25.6%	2.6%	-0.9%	4.8M	-243.8M	-3.1M	0.68	54.28	6,320	4,288	87,448	94,039
2015-07-10	$122.22	$120.00	25.1%	7.0%	23.7%	66.1%	23.9%	3.5%	-0.8%	10.1M	-381.6M	-2.9M	0.55	49.65	7,484	4,096	87,763	94,086
2015-07-13	$122.53	$120.00	23.7%	6.7%	23.1%	57.5%	23.5%	3.0%	-0.2%	12.5M	-369.0M	-2.8M	0.91	55.37	4,325	3,941	83,068	88,785
2015-07-14	$124.95	$120.00	22.9%	6.6%	23.8%	52.9%	22.9%	3.4%	-0.7%	19.0M	-477.9M	-2.7M	0.74	46.47	4,686	3,458	83,891	89,314
2015-07-15	$125.59	$120.00	22.6%	6.5%	22.7%	51.0%	22.5%	3.1%	-0.1%	21.4M	-495.9M	-2.8M	0.79	42.50	7,894	6,225	85,198	89,625
2015-07-16	$124.78	$120.00	18.9%	5.4%	22.0%	28.9%	19.7%	2.1%	-0.2%	36.3M	-483.3M	-2.6M	1.26	31.45	10,357	13,100	87,244	92,255
2015-07-17	$123.97	$120.00	19.3%	5.4%	22.0%	31.4%	18.9%	3.1%	-0.6%	20.8M	-416.5M	-2.7M	0.96	33.94	5,321	5,113	89,167	94,317
2015-07-20	$122.70	$120.00	19.3%	5.5%	22.4%	31.3%	19.7%	2.4%	0.8%	10.0M	-342.7M	-2.7M	0.78	42.42	5,059	3,925	73,572	84,986
2015-07-21	$120.97	$120.00	19.7%	5.6%	23.0%	33.8%	20.5%	2.8%	-0.1%	8.1M	-279.4M	-2.8M	1.01	37.08	4,619	4,668	75,509	86,467
2015-07-22	$120.55	$120.00	20.1%	5.8%	22.1%	36.4%	20.6%	2.5%	-0.2%	7.9M	-265.7M	-2.7M	0.95	40.40	4,295	4,062	76,926	87,818
2015-07-23	$119.24	$120.00	20.6%	5.9%	20.0%	39.0%	21.0%	2.6%	-0.3%	3.3M	-210.0M	-2.8M	0.70	40.78	5,070	3,526	78,116	88,368
2015-07-24	$118.04	$120.00	20.8%	6.0%	17.7%	40.6%	21.1%	2.7%	-0.7%	-3.6M	-164.3M	-2.9M	0.55	22.81	7,075	3,906	79,773	89,047
2015-07-27	$117.84	$120.00	22.0%	6.4%	17.5%	47.8%	22.6%	2.7%	-0.8%	398.1K	-177.9M	-2.8M	0.50	16.33	5,521	2,763	77,148	87,083
2015-07-28	$121.40	$120.00	20.6%	6.0%	20.3%	39.0%	21.6%	4.0%	-0.7%	7.3M	-315.7M	-2.8M	0.50	22.09	9,623	4,771	78,892	87,991
2015-07-29	$121.48	$120.00	19.9%	5.8%	20.1%	35.0%	20.7%	2.6%	-0.1%	9.8M	-337.5M	-2.8M	0.84	25.39	4,356	3,676	82,267	89,574
2015-07-30	$120.69	$120.00	19.6%	5.7%	19.9%	33.0%	20.9%	2.2%	0.0%	8.7M	-306.9M	-2.8M	1.10	17.84	3,697	4,064	82,571	89,848
2015-07-31	$121.35	$120.00	19.6%	5.6%	19.3%	33.2%	19.5%	2.4%	1.2%	10.1M	-335.1M	-2.7M	0.52	19.05	6,428	3,334	82,549	90,537