UNH Options History — August 2015

In August 2015, UNH traded between $111.78 and $125.50. ATM implied volatility averaged 24.8%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.4% (HV 20d: 22.4%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2015-08-25: Highest Volume — 33,759 contracts
2015-08-24: Largest IV spike — 24.5% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.71	$111.78	$125.50	$120.89	$115.89
Max Pain	$119.52	$116.00	$120.00	$120.00	$116.00
ATM IV	24.8%	19.3%	38.2%	19.9%	30.4%
Expected Move	7.3%	5.5%	11.2%	5.7%	9.3%
HV 20d	22.4%	18.3%	29.8%	19.3%	29.8%
HV 60d	20.6%	18.7%	23.9%	18.8%	23.8%
IV Rank	54.3%	31.7%	100.0%	34.9%	67.7%
IV Percentile	69.6%	36.1%	100.0%	44.8%	98.4%
Term Structure	-0.4%	-4.3%	0.6%	0.0%	-0.8%
VWIV	25.7%	19.7%	39.5%	20.5%	33.7%
Skew 25d	3.9%	1.6%	10.1%	2.2%	4.9%
Skew 10d	8.2%	3.2%	15.4%	4.0%	12.5%
Call IV 25d	23.6%	18.7%	38.7%	19.3%	27.9%
Put IV 25d	27.5%	20.5%	42.9%	21.5%	32.8%
Bid-Ask Spread %	23.80	10.81	59.13	19.66	22.20
Gamma HHI	0.12	0.09	0.17	0.12	0.09
Net GEX	7.1M	-3.9M	19.1M	8.3M	123.4K
Net DEX	-266.2M	-492.5M	29.2M	-313.2M	-193.0M
Net VEX	-2.8M	-3.5M	-2.4M	-2.7M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.44	5.52	1.44	1.16
Total Volume	12,035.19	1,726	33,759	4,325	9,329
Total OI	177,845.905	168,685	207,244	168,872	205,529

Daily Data (21 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
2015-08-03	$120.89	$120.00	19.9%	5.7%	19.3%	34.9%	20.5%	2.2%	0.0%	8.3M	-313.2M	-2.7M	1.44	19.66	1,772	2,553	80,272	88,600
2015-08-04	$120.79	$120.00	20.1%	5.6%	18.7%	36.2%	19.7%	1.6%	0.0%	8.5M	-319.5M	-2.7M	0.60	16.78	5,381	3,229	81,088	89,318
2015-08-05	$123.96	$120.00	19.3%	5.5%	20.2%	31.7%	19.9%	1.7%	0.0%	18.5M	-466.2M	-2.6M	0.48	10.81	7,049	3,400	82,558	89,527
2015-08-06	$122.14	$120.00	20.8%	6.1%	21.1%	40.1%	21.1%	1.8%	0.1%	14.7M	-366.9M	-2.7M	1.04	17.17	3,457	3,605	82,516	90,142
2015-08-07	$121.80	$120.00	20.8%	6.1%	19.7%	40.5%	21.5%	3.1%	0.6%	12.0M	-332.7M	-2.8M	0.67	16.81	5,967	3,976	82,541	90,627
2015-08-10	$122.48	$120.00	20.6%	6.0%	19.7%	39.3%	21.1%	3.0%	0.4%	10.0M	-355.1M	-2.6M	0.86	13.87	3,863	3,310	79,384	89,301
2015-08-11	$122.26	$120.00	20.7%	6.2%	18.3%	39.7%	21.6%	2.8%	0.4%	10.1M	-347.3M	-2.6M	0.76	22.69	982	744	79,730	89,567
2015-08-12	$121.05	$120.00	21.8%	6.3%	18.4%	46.5%	22.1%	2.7%	-0.1%	6.5M	-297.2M	-2.6M	1.18	16.52	3,514	4,140	80,002	89,847
2015-08-13	$120.69	$120.00	21.3%	6.2%	18.4%	43.4%	21.5%	3.5%	0.6%	5.7M	-281.0M	-2.6M	0.96	21.38	4,136	3,982	80,662	91,061
2015-08-14	$121.05	$120.00	20.6%	6.0%	18.3%	39.4%	20.8%	2.1%	0.3%	7.9M	-300.3M	-2.6M	1.23	16.39	3,226	3,972	81,655	91,157
2015-08-17	$123.86	$120.00	19.6%	5.7%	19.9%	33.4%	20.9%	3.1%	0.3%	16.3M	-421.9M	-2.5M	1.13	19.18	3,931	4,430	80,530	90,049
2015-08-18	$125.50	$120.00	20.1%	5.8%	19.6%	36.0%	21.1%	3.2%	-0.6%	19.1M	-492.5M	-2.4M	1.00	16.73	7,140	7,152	81,196	90,784
2015-08-19	$123.22	$120.00	20.6%	5.9%	20.8%	39.2%	22.0%	3.3%	0.3%	13.5M	-387.1M	-2.5M	5.52	15.84	1,575	8,698	81,265	93,031
2015-08-20	$119.96	$120.00	25.0%	7.2%	22.7%	65.5%	24.9%	3.1%	-0.9%	2.8M	-216.8M	-2.7M	1.07	15.84	5,820	6,202	81,297	95,316
2015-08-21	$116.61	$120.00	30.1%	8.7%	24.6%	95.8%	29.4%	4.5%	-0.9%	-988.8K	-71.0M	-2.9M	0.78	16.23	10,821	8,406	82,836	97,128
2015-08-24	$112.03	$120.00	37.4%	11.2%	28.3%	100.0%	38.3%	4.2%	-1.7%	-3.4M	29.2M	-3.0M	1.32	59.13	7,973	10,502	77,139	91,871
2015-08-25	$111.78	$120.00	38.2%	10.8%	25.7%	100.0%	39.5%	8.1%	-4.3%	-3.2M	26.7M	-3.0M	2.19	37.05	10,570	23,189	79,531	95,547
2015-08-26	$113.37	$120.00	32.9%	10.2%	26.4%	78.1%	35.5%	6.6%	0.6%	-3.9M	3.4M	-3.2M	0.44	54.65	19,233	8,505	83,032	106,869
2015-08-27	$117.45	$117.00	30.1%	9.1%	29.8%	66.3%	31.9%	10.1%	-1.4%	2.3M	-252.8M	-3.5M	1.53	42.68	5,235	8,000	96,661	108,354
2015-08-28	$117.09	$117.00	30.1%	9.1%	29.6%	66.4%	32.9%	6.4%	-0.5%	5.3M	-234.9M	-3.5M	1.34	28.09	5,879	7,891	97,755	109,489
2015-08-31	$115.89	$116.00	30.4%	9.3%	29.8%	67.7%	33.7%	4.9%	-0.8%	123.4K	-193.0M	-3.4M	1.16	22.20	4,326	5,003	96,994	108,535