UNH Options History — July 2016

In July 2016, UNH traded between $139.89 and $143.69. ATM implied volatility averaged 17.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.3% (HV 20d: 12.0%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-07-18: Highest Volume — 19,193 contracts
  • 2016-07-19: Largest IV drop — 18.1% change
  • 2016-07-07: Highest IV Rank — 25.4%
  • 2016-07-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.76$139.89$143.69$140.94$143.47
Max Pain$139.75$135.00$140.00$135.00$140.00
ATM IV17.3%13.4%21.5%19.8%14.3%
Expected Move4.8%3.8%5.9%4.2%4.0%
HV 20d12.0%11.0%14.4%14.4%11.0%
HV 60d13.3%12.4%14.3%14.0%12.7%
IV Rank11.4%0.0%25.4%18.5%3.4%
IV Percentile11.3%0.0%34.9%19.0%1.2%
Term Structure-0.2%-2.7%0.5%-0.6%0.5%
VWIV17.5%14.1%22.1%15.5%14.1%
Skew 25d3.8%3.2%4.5%3.7%3.2%
Skew 10d9.2%7.4%13.2%7.8%9.0%
Call IV 25d15.6%12.1%19.7%18.8%12.6%
Put IV 25d19.4%15.5%24.2%22.4%15.8%
Bid-Ask Spread %20.6315.3830.5216.5519.32
Gamma HHI0.130.100.160.110.16
Net GEX21.7M6.5M34.5M30.6M22.5M
Net DEX-267.3M-383.0M-182.6M-330.1M-278.6M
Net VEX-2.9M-3.2M-2.7M-2.9M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.552.831.061.04
Total Volume11,345.356,18119,1938,17613,087
Total OI149,435.65130,216161,541142,350160,002

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$140.94$135.0019.8%4.2%14.4%18.5%15.5%3.7%-0.6%30.6M-330.1M-2.9M1.0616.553,9654,21165,45576,895
2016-07-05$141.70$140.0020.8%5.7%14.3%22.5%19.4%4.4%-0.8%31.3M-345.8M-2.8M1.2019.783,3364,01464,62875,860
2016-07-06$142.50$140.0020.4%5.8%13.9%20.8%19.9%3.9%0.3%34.5M-383.0M-2.8M0.5519.547,8914,31065,66377,081
2016-07-07$140.77$140.0021.5%5.9%12.1%25.4%22.1%4.4%-0.6%28.3M-282.3M-2.9M1.3020.916,9148,99865,54278,317
2016-07-08$141.32$140.0020.8%5.6%12.2%22.7%18.6%4.1%-0.8%29.9M-326.6M-2.8M1.1730.525,7046,66367,48581,590
2016-07-11$140.32$140.0020.2%5.5%11.7%19.8%22.0%3.8%-0.3%21.6M-234.6M-2.8M1.8818.593,9737,46863,78281,427
2016-07-12$139.89$140.0019.5%5.4%11.4%17.2%20.1%4.5%-0.4%14.4M-200.2M-2.8M1.2426.973,8534,78564,77784,751
2016-07-13$141.46$140.0019.8%5.3%11.9%18.5%18.2%3.7%-0.3%23.2M-279.7M-2.8M1.2123.624,1575,04865,10586,625
2016-07-14$140.88$140.0018.9%5.3%11.9%14.6%18.7%3.8%-0.7%16.7M-258.1M-2.8M1.3521.013,2204,33566,01886,926
2016-07-15$141.24$140.0018.4%5.0%11.4%12.5%17.2%4.5%-2.7%6.5M-289.7M-2.7M1.0915.385,5706,04766,57887,351
2016-07-18$140.75$140.0017.6%5.0%11.1%8.9%18.1%4.0%0.1%11.4M-194.5M-2.7M1.1617.108,87510,31854,12876,088
2016-07-19$142.46$140.0014.4%4.1%11.6%0.0%14.9%3.6%0.1%19.3M-264.7M-2.8M1.2523.917,8179,80359,62882,833
2016-07-20$142.99$140.0013.8%3.9%11.6%0.0%14.5%3.2%0.2%24.1M-298.2M-2.8M0.8421.527,9556,68761,70586,567
2016-07-21$142.83$140.0014.2%4.1%11.5%1.7%17.1%3.3%0.1%22.7M-281.6M-2.9M2.8323.914,92613,96163,19887,416
2016-07-22$143.69$140.0013.4%3.8%11.4%0.0%15.3%3.9%0.4%28.9M-308.0M-3.1M0.9618.804,8784,68264,44197,100
2016-07-25$141.60$140.0014.8%4.2%12.3%5.5%15.8%3.9%0.4%15.0M-192.1M-3.1M1.0722.204,0894,39461,08191,946
2016-07-26$141.73$140.0014.9%4.3%12.1%5.9%16.4%3.7%0.5%15.0M-183.2M-3.2M1.4617.212,9594,30761,85893,309
2016-07-27$141.78$140.0014.7%4.2%11.6%4.9%16.1%3.4%0.4%16.2M-182.6M-3.2M0.9219.633,2212,96062,46694,914
2016-07-28$142.88$140.0014.7%4.1%11.0%5.0%15.6%3.3%0.4%21.0M-232.6M-3.2M1.1616.053,4864,04062,64095,537
2016-07-29$143.47$140.0014.3%4.0%11.0%3.4%14.1%3.2%0.5%22.5M-278.6M-3.1M1.0419.326,4136,67463,30596,697