COST Options History — January 2007

Name: COST Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, COST traded between $52.84 and $57.06. ATM implied volatility averaged 18.9%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.1% (HV 20d: 17.7%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2007-01-18: Highest Volume — 11,369 contracts
2007-01-11: Largest IV spike — 17.8% change
2007-01-08: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.40	$52.84	$57.06	$52.84	$56.16
Max Pain	$53.63	$52.50	$55.00	$52.50	$55.00
ATM IV	18.9%	16.9%	21.1%	20.3%	17.3%
Expected Move	5.5%	4.8%	6.4%	5.8%	5.0%
HV 20d	17.7%	17.1%	18.3%	18.3%	17.3%
Term Structure	2.6%	1.5%	4.3%	1.6%	4.3%
VWIV	19.3%	16.8%	22.3%	20.5%	16.8%
Skew 25d	2.2%	1.1%	3.0%	2.5%	1.9%
Skew 10d	5.8%	3.5%	8.7%	6.4%	8.7%
Call IV 25d	18.5%	16.0%	20.9%	19.7%	16.0%
Put IV 25d	20.7%	18.0%	23.5%	22.2%	18.0%
Bid-Ask Spread %	8.92	5.65	15.54	6.29	5.99
Gamma HHI	0.21	0.15	0.31	0.20	0.19
Net GEX	2.5M	-1.0M	5.9M	-1.0M	2.2M
Net DEX	-134.3M	-245.8M	-60.3M	-60.3M	-106.0M
Net VEX	-1.1M	-1.2M	-991.3K	-1.2M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.20	2.17	0.37	0.76
Total Volume	5,085.7	1,494	11,369	6,468	3,743
Total OI	140,317.05	97,450	168,603	156,629	121,164

Daily Data (20 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
2007-01-03	$52.84	$52.50	20.3%	5.8%	0.0%	0.0%	20.5%	2.5%	1.6%	-1.0M	-60.3M	-1.2M	0.37	6.29	4,723	1,745	72,744	83,885
2007-01-04	$54.07	$52.50	18.5%	5.3%	0.0%	0.0%	18.9%	1.4%	2.4%	1.7M	-115.3M	-1.2M	0.30	6.15	3,451	1,051	72,436	84,009
2007-01-05	$53.41	$52.50	20.5%	6.4%	0.0%	0.0%	20.8%	2.4%	1.5%	461.8K	-86.7M	-1.2M	0.83	6.72	1,621	1,340	73,488	84,328
2007-01-08	$53.63	$52.50	21.1%	6.4%	0.0%	0.0%	21.5%	2.7%	1.5%	1.2M	-102.9M	-1.1M	0.32	12.96	2,350	752	73,809	84,720
2007-01-09	$54.03	$52.50	18.1%	6.1%	0.0%	0.0%	21.4%	2.5%	2.0%	2.5M	-122.8M	-1.1M	0.68	15.54	990	671	74,317	84,848
2007-01-10	$54.41	$52.50	17.3%	5.9%	0.0%	0.0%	22.3%	2.8%	2.2%	3.7M	-136.6M	-1.1M	2.17	11.15	1,435	3,115	74,174	85,024
2007-01-11	$55.32	$52.50	20.3%	5.8%	0.0%	0.0%	20.3%	2.5%	2.1%	4.6M	-179.2M	-1.1M	0.48	11.80	3,435	1,665	74,035	86,885
2007-01-12	$55.95	$52.50	20.3%	5.8%	0.0%	0.0%	19.6%	2.5%	1.6%	5.4M	-210.8M	-1.0M	0.53	11.72	3,012	1,600	74,637	87,063
2007-01-16	$56.24	$52.50	21.0%	6.0%	0.0%	0.0%	19.8%	3.0%	1.5%	5.8M	-219.6M	-1.0M	0.30	5.65	2,599	789	75,374	86,113
2007-01-17	$56.68	$52.50	19.5%	5.6%	0.0%	0.0%	19.9%	2.1%	2.2%	5.6M	-239.4M	-991.3K	0.86	7.18	3,154	2,722	75,743	86,307
2007-01-18	$56.90	$52.50	19.5%	5.6%	0.0%	0.0%	19.3%	2.0%	1.9%	5.9M	-245.8M	-993.5K	0.33	8.68	8,529	2,840	76,529	88,082
2007-01-19	$56.77	$55.00	18.7%	5.4%	0.0%	0.0%	18.6%	2.1%	2.4%	3.1M	-234.6M	-1.0M	0.29	8.65	3,080	891	78,623	89,980
2007-01-22	$56.34	$55.00	18.6%	5.3%	0.0%	0.0%	19.7%	2.8%	2.9%	1.9M	-93.7M	-1.0M	0.55	11.14	3,060	1,674	46,314	51,136
2007-01-23	$56.44	$55.00	18.1%	5.2%	0.0%	0.0%	18.6%	2.2%	2.9%	2.0M	-98.1M	-1.1M	0.20	7.61	5,734	1,148	47,622	52,229
2007-01-24	$57.06	$55.00	16.9%	4.8%	0.0%	0.0%	17.7%	2.0%	3.4%	3.1M	-124.6M	-1.1M	1.37	6.84	4,235	5,817	51,534	52,723
2007-01-25	$55.73	$55.00	17.7%	5.1%	18.3%	0.0%	17.5%	1.1%	3.6%	1.1M	-87.4M	-1.1M	1.13	7.69	1,125	1,276	54,197	57,345
2007-01-26	$55.36	$55.00	17.6%	5.0%	18.1%	0.0%	17.5%	2.4%	3.5%	707.3K	-74.6M	-1.1M	1.53	6.69	590	904	54,477	57,857
2007-01-29	$55.27	$55.00	17.6%	5.0%	17.6%	0.0%	17.1%	1.6%	4.3%	405.4K	-73.7M	-1.1M	0.74	10.93	6,450	4,767	54,752	58,189
2007-01-30	$55.30	$55.00	18.1%	5.2%	17.1%	0.0%	18.1%	2.0%	3.8%	801.4K	-74.8M	-1.2M	0.64	9.03	2,210	1,421	58,495	61,154
2007-01-31	$56.16	$55.00	17.3%	5.0%	17.3%	0.0%	16.8%	1.9%	4.3%	2.2M	-106.0M	-1.2M	0.76	5.99	2,130	1,613	59,341	61,823