I am new in IntelliJ IDEA and I want to execute a single Junit test as I do in Eclipse but I haven't seen this option
IntelliJ runs the unit test in context of your selection!
When you place the cursor on the class name, it will run the whole class. If you select a method name, only that method gets executed (upon turning to the menu or context menu).
You can also select a package in the project view and get to corresponding behavior.