COST Options History — February 2007

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

In February 2007, COST traded between $55.40 and $58.28. ATM implied volatility averaged 20.7%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.3% (HV 20d: 15.4%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2007-02-07: Highest Volume — 18,725 contracts
2007-02-27: Largest IV spike — 21.0% change
2007-02-27: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.88	$55.40	$58.28	$56.39	$55.89
Max Pain	$56.84	$55.00	$57.50	$55.00	$57.50
ATM IV	20.7%	16.6%	25.9%	16.6%	24.6%
Expected Move	6.2%	4.8%	7.4%	4.8%	7.1%
HV 20d	15.4%	13.0%	18.8%	16.8%	18.8%
Term Structure	-0.6%	-3.4%	4.3%	4.3%	-2.1%
VWIV	21.4%	17.4%	24.6%	17.4%	23.7%
Skew 25d	2.2%	1.6%	3.0%	2.6%	3.0%
Skew 10d	4.3%	0.0%	10.2%	10.2%	2.6%
Call IV 25d	20.4%	15.6%	23.8%	15.6%	22.2%
Put IV 25d	22.6%	18.3%	26.4%	18.3%	25.3%
Bid-Ask Spread %	8.93	5.36	13.92	6.01	7.98
Gamma HHI	0.20	0.14	0.34	0.21	0.15
Net GEX	2.9M	-665.2K	8.3M	2.7M	1.3M
Net DEX	-119.9M	-175.3M	-60.7M	-114.2M	-71.7M
Net VEX	-1.2M	-1.3M	-1.1M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.33	2.54	0.60	0.93
Total Volume	5,344.211	1,457	18,725	2,405	5,965
Total OI	130,612.632	118,313	136,194	122,203	136,194

Daily Data (19 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
2007-02-01	$56.39	$55.00	16.6%	4.8%	16.8%	0.0%	17.4%	2.6%	4.3%	2.7M	-114.2M	-1.2M	0.60	6.01	1,501	904	59,991	62,212
2007-02-02	$56.01	$55.00	17.0%	6.1%	15.5%	0.0%	21.2%	2.1%	0.3%	2.0M	-99.9M	-1.2M	0.50	12.81	3,696	1,866	60,408	62,610
2007-02-05	$56.21	$55.00	18.4%	6.3%	14.6%	0.0%	21.7%	2.1%	-0.3%	2.4M	-112.5M	-1.2M	0.33	10.04	1,660	554	61,452	63,501
2007-02-06	$56.57	$55.00	16.7%	6.0%	14.6%	0.0%	21.3%	2.4%	-0.0%	3.4M	-122.4M	-1.2M	0.47	8.06	1,093	510	61,660	63,399
2007-02-07	$57.13	$55.00	18.5%	6.4%	14.7%	0.0%	22.5%	2.0%	-0.7%	4.2M	-133.9M	-1.2M	1.59	12.01	7,228	11,497	61,926	63,636
2007-02-08	$56.62	$57.50	21.7%	6.2%	15.2%	0.0%	22.4%	2.5%	-0.4%	2.4M	-111.7M	-1.2M	0.70	13.50	4,240	2,962	64,455	69,584
2007-02-09	$55.98	$57.50	22.3%	6.4%	14.9%	0.0%	21.7%	1.9%	-0.1%	-146.7K	-83.2M	-1.2M	0.46	7.60	2,319	1,063	64,265	71,147
2007-02-12	$55.80	$57.50	23.3%	6.7%	14.4%	0.0%	23.0%	1.6%	-0.7%	-665.2K	-67.4M	-1.2M	0.84	7.40	2,796	2,353	63,275	71,329
2007-02-13	$56.46	$57.50	22.4%	6.4%	14.9%	0.0%	22.6%	2.3%	-0.9%	1.8M	-103.3M	-1.2M	1.28	6.10	1,239	1,591	63,179	69,810
2007-02-14	$57.05	$57.50	22.0%	6.3%	15.1%	0.0%	22.2%	1.7%	-0.7%	4.3M	-128.0M	-1.2M	1.22	6.83	1,305	1,593	63,692	70,262
2007-02-15	$57.90	$57.50	21.6%	6.2%	15.9%	0.0%	21.7%	2.4%	-0.5%	8.3M	-172.4M	-1.1M	0.40	8.63	4,618	1,850	63,835	70,776
2007-02-16	$57.80	$57.50	20.3%	5.8%	15.9%	0.0%	20.4%	2.0%	-0.4%	5.6M	-175.3M	-1.1M	0.43	12.66	4,598	1,976	64,329	70,801
2007-02-20	$58.28	$57.50	20.7%	5.9%	15.8%	0.0%	20.1%	2.3%	-1.3%	3.5M	-153.7M	-1.1M	0.80	7.88	10,250	8,152	57,243	61,070
2007-02-21	$58.18	$57.50	20.1%	5.8%	15.8%	0.0%	20.2%	2.6%	-1.0%	3.4M	-155.0M	-1.2M	1.59	10.79	857	1,364	63,325	68,055
2007-02-22	$58.09	$57.50	20.1%	5.7%	15.5%	0.0%	20.0%	2.0%	-1.2%	3.3M	-152.1M	-1.2M	0.98	5.53	736	721	63,489	68,856
2007-02-23	$57.47	$57.50	19.6%	5.6%	13.3%	0.0%	19.7%	2.2%	-0.7%	2.9M	-131.7M	-1.3M	2.54	5.36	554	1,405	63,820	69,105
2007-02-26	$57.40	$57.50	21.4%	6.1%	13.0%	0.0%	21.0%	1.8%	-1.7%	2.7M	-128.1M	-1.3M	0.37	6.58	1,891	707	64,067	69,815
2007-02-27	$55.40	$57.50	25.9%	7.4%	18.5%	0.0%	24.6%	2.6%	-3.4%	1.1M	-60.7M	-1.3M	0.81	13.92	2,171	1,755	65,085	69,982
2007-02-28	$55.89	$57.50	24.6%	7.1%	18.8%	0.0%	23.7%	3.0%	-2.1%	1.3M	-71.7M	-1.3M	0.93	7.98	3,084	2,881	65,835	70,359