UNH Options History — June 2016

In June 2016, UNH traded between $134.54 and $140.94. ATM implied volatility averaged 19.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.5% (HV 20d: 13.9%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2016-06-14: Highest Volume — 35,139 contracts
  • 2016-06-28: Largest IV drop — 14.0% change
  • 2016-06-27: Highest IV Rank — 42.9%
  • 2016-06-15: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.19$134.54$140.94$134.54$140.94
Max Pain$134.32$125.00$135.00$125.00$135.00
ATM IV19.4%15.4%25.6%17.2%20.3%
Expected Move5.0%4.3%6.0%4.4%4.3%
HV 20d13.9%12.7%15.8%12.7%14.6%
HV 60d15.0%14.2%15.9%15.7%14.2%
IV Rank16.3%0.0%42.9%3.7%20.3%
IV Percentile19.2%0.0%62.7%2.8%22.6%
Term Structure0.6%-1.7%5.2%-0.1%-0.7%
VWIV18.5%15.2%22.3%16.3%15.2%
Skew 25d4.8%3.0%6.5%3.2%4.1%
Skew 10d11.3%4.9%16.5%8.2%11.1%
Call IV 25d17.5%14.4%21.8%15.2%18.5%
Put IV 25d22.3%17.6%28.4%18.3%22.6%
Bid-Ask Spread %17.8610.1927.3720.5822.19
Gamma HHI0.140.090.240.140.12
Net GEX19.7M5.0M30.9M21.3M27.9M
Net DEX-337.2M-622.6M-150.4M-334.9M-325.5M
Net VEX-2.8M-3.1M-2.4M-2.5M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.213.461.051.57
Total Volume15,641.9096,95035,13912,9596,950
Total OI153,168.773122,779175,566154,431141,753

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$134.54$125.0017.2%4.4%12.7%3.7%16.3%3.2%-0.1%21.3M-334.9M-2.5M1.0520.586,3086,65169,98384,448
2016-06-02$135.74$130.0016.9%4.8%12.9%2.3%17.1%3.8%-0.2%24.0M-393.5M-2.5M0.9511.327,1346,78471,85686,647
2016-06-03$136.92$135.0015.9%4.8%13.2%0.0%17.3%3.3%-0.1%26.6M-465.6M-2.5M1.0217.448,2048,34273,89388,140
2016-06-06$138.06$135.0015.4%4.4%13.3%0.0%18.7%3.3%-0.2%30.9M-515.9M-2.5M1.3416.526,8359,16475,20986,100
2016-06-07$136.97$135.0015.6%4.9%13.7%0.7%17.1%3.3%1.6%28.9M-445.5M-2.5M1.2116.755,4746,61075,84589,671
2016-06-08$140.29$135.0015.7%4.6%15.8%1.2%16.8%3.0%0.2%28.2M-622.6M-2.4M0.5313.6116,8528,98376,61090,772
2016-06-09$140.75$135.0016.1%4.6%13.3%2.5%17.1%3.1%0.9%29.6M-603.1M-2.6M0.7614.3510,5918,03177,42493,971
2016-06-10$139.14$135.0017.7%4.8%13.7%9.4%18.9%3.7%-1.7%23.8M-505.6M-2.8M1.1615.386,8607,94276,76596,097
2016-06-13$138.11$135.0018.5%5.3%13.9%13.0%20.8%5.8%2.5%19.0M-430.0M-2.8M0.6810.198,5685,85576,28196,581
2016-06-14$137.83$135.0019.0%5.4%13.7%14.9%22.3%5.5%3.6%16.5M-404.7M-2.9M0.2114.6729,0796,06077,35998,207
2016-06-15$137.17$135.0021.1%6.0%13.8%23.6%20.4%5.7%3.6%5.0M-168.2M-2.9M0.2521.1917,7474,46160,76198,882
2016-06-16$138.67$135.0019.8%5.5%14.1%18.4%21.0%5.6%4.1%21.4M-245.0M-2.9M0.2616.8918,0864,77861,58399,336
2016-06-17$137.66$135.0019.6%5.1%14.4%17.3%19.3%5.2%5.2%6.6M-199.8M-2.9M0.5216.759,7875,07262,626100,202
2016-06-20$138.48$135.0020.8%5.0%14.4%22.4%16.5%5.4%-0.7%11.9M-221.4M-2.8M0.5417.609,3395,03653,74769,032
2016-06-21$138.20$135.0021.4%4.9%14.3%25.1%17.1%6.2%-0.3%15.0M-221.8M-2.8M0.7414.516,8215,03758,63270,405
2016-06-22$137.87$135.0022.2%5.3%13.4%28.6%18.9%5.8%-1.0%15.9M-209.5M-2.9M1.1613.864,6855,41561,89671,991
2016-06-23$139.00$135.0021.4%4.7%13.5%25.2%17.4%5.8%-0.5%19.0M-258.4M-2.8M1.8920.643,7667,12162,72773,431
2016-06-24$137.81$135.0023.8%5.8%13.8%35.2%21.3%6.0%-0.4%5.3M-190.2M-3.0M1.7824.225,3089,42363,58275,943
2016-06-27$137.13$135.0025.6%5.8%13.9%42.9%21.5%6.5%-1.3%12.7M-150.4M-3.1M2.1624.304,0278,70163,47577,028
2016-06-28$138.54$135.0022.0%4.7%14.3%27.8%19.2%6.1%-0.7%18.2M-210.2M-2.9M3.4627.372,8179,73664,09175,813
2016-06-29$140.39$135.0021.4%4.5%14.8%25.0%16.2%4.2%-0.6%24.6M-296.1M-2.9M2.1022.663,1246,55864,71276,206
2016-06-30$140.94$135.0020.3%4.3%14.6%20.3%15.2%4.1%-0.7%27.9M-325.5M-2.9M1.5722.192,7004,25065,12776,626