UNH Options History — December 2015

In December 2015, UNH traded between $114.93 and $119.65. ATM implied volatility averaged 23.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 6.1% (HV 20d: 29.7%). Max pain ranged from $115.00 to $117.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-12-02: Highest Volume — 20,663 contracts
  • 2015-12-03: Largest IV spike — 11.7% change
  • 2015-12-28: Highest IV Rank — 39.2%
  • 2015-12-14: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.27$114.93$119.65$116.26$118.05
Max Pain$115.09$115.00$117.00$117.00$115.00
ATM IV23.5%21.1%25.7%21.1%24.8%
Expected Move6.5%5.6%7.3%6.3%6.1%
HV 20d29.7%20.7%35.3%34.9%20.7%
HV 60d29.6%27.3%30.5%30.4%27.3%
IV Rank31.1%23.0%39.2%24.1%35.3%
IV Percentile56.7%37.7%73.4%37.7%66.3%
Term Structure0.5%-1.7%2.8%-0.0%0.1%
VWIV23.6%19.4%27.3%22.3%25.1%
Skew 25d4.8%3.6%5.8%3.6%5.2%
Skew 10d10.6%8.6%13.9%9.6%12.9%
Call IV 25d21.8%19.9%24.1%19.9%22.8%
Put IV 25d26.6%23.6%28.8%23.6%28.0%
Bid-Ask Spread %18.6212.4626.1915.0719.51
Gamma HHI0.110.070.170.090.13
Net GEX6.4M-332.7K17.2M3.7M2.5M
Net DEX-121.0M-265.2M-4.5M-172.5M-142.6M
Net VEX-1.9M-2.2M-1.7M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.301.940.301.94
Total Volume11,290.9555,40420,66313,64512,767
Total OI196,605.636175,833215,496206,073181,784

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$116.26$117.0021.1%6.3%34.9%24.1%22.3%3.6%-0.0%3.7M-172.5M-2.0M0.3015.0710,5193,12693,528112,545
2015-12-02$117.63$115.0021.4%6.4%35.1%25.3%23.2%3.9%0.1%7.6M-112.7M-2.1M0.7915.5911,5659,09882,731112,690
2015-12-03$114.93$115.0023.9%7.0%34.6%35.8%26.9%4.4%-0.1%-332.7K-4.5M-2.1M1.0012.467,3447,31983,292114,596
2015-12-04$117.73$115.0021.7%6.1%35.2%26.6%25.8%4.2%0.1%6.7M-117.2M-2.2M0.7412.858,7636,52784,585115,840
2015-12-07$115.91$115.0022.7%6.8%35.3%30.6%24.4%4.5%1.0%3.9M-49.4M-2.0M1.4114.132,7483,88683,659113,175
2015-12-08$116.14$115.0022.6%6.7%35.2%28.6%25.0%4.3%1.0%3.7M-40.6M-2.1M0.9816.364,4894,39285,536115,422
2015-12-09$115.09$115.0023.4%6.9%35.0%31.8%23.4%4.7%0.7%528.7K-8.5M-2.0M0.5617.3911,0176,19786,304115,768
2015-12-10$116.09$115.0022.9%6.8%35.2%26.7%24.8%4.3%1.0%8.8M-69.0M-2.0M1.0116.964,8974,94493,271117,825
2015-12-11$115.92$115.0024.2%7.1%33.3%32.4%24.5%5.3%1.2%1.7M-55.5M-2.1M0.7117.308,2505,83794,025118,839
2015-12-14$115.74$115.0025.3%7.3%33.0%37.6%27.3%5.8%1.5%2.9M-52.5M-2.1M1.2017.334,6995,64392,467117,734
2015-12-15$117.66$115.0022.6%6.5%32.7%25.4%24.6%5.8%2.8%8.7M-149.3M-2.0M1.5221.594,1266,25692,801118,888
2015-12-16$118.85$115.0022.1%6.3%32.8%23.0%23.0%5.6%2.5%14.6M-224.0M-2.0M1.1520.995,8846,74293,146119,505
2015-12-17$119.48$115.0022.3%6.2%31.7%23.8%22.3%4.7%2.8%17.2M-265.2M-1.9M0.7216.626,7094,84393,131120,615
2015-12-18$116.09$115.0024.9%7.0%24.9%35.6%24.8%5.4%1.3%6.2M-67.3M-1.9M0.9816.215,3585,25294,648120,848
2015-12-21$117.20$115.0025.3%6.5%24.0%37.4%22.5%4.6%-0.8%3.0M-108.0M-1.8M0.8322.804,7033,88872,715103,118
2015-12-22$117.25$115.0025.3%6.3%23.8%37.4%22.4%5.2%-0.5%3.7M-114.8M-1.8M0.9916.854,5494,48474,383104,446
2015-12-23$118.69$115.0023.9%5.8%23.9%31.1%20.6%4.4%-0.1%8.9M-181.5M-1.8M0.8426.194,2073,55275,409105,546
2015-12-24$118.34$115.0024.4%6.0%23.8%33.7%23.1%5.2%-0.2%7.0M-158.9M-1.9M1.4623.733,4285,01976,546106,061
2015-12-28$118.31$115.0025.7%6.2%23.7%39.2%22.1%4.7%-1.7%7.3M-160.8M-1.7M0.8025.952,9942,41074,594103,615
2015-12-29$119.65$115.0023.4%5.6%23.2%29.2%19.4%4.9%-0.5%12.6M-227.7M-1.7M0.7523.585,4194,04674,927103,938
2015-12-30$118.93$115.0024.2%5.9%20.9%32.8%22.1%5.3%-0.5%9.4M-179.4M-1.7M1.1920.084,7865,71975,826105,002
2015-12-31$118.05$115.0024.8%6.1%20.7%35.3%25.1%5.2%0.1%2.5M-142.6M-1.7M1.9419.514,3368,43176,191105,593