COST Options History — March 2007

In March 2007, COST traded between $52.53 and $56.12. ATM implied volatility averaged 21.4%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.4% (HV 20d: 20.0%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-03-08: Highest Volume — 16,673 contracts
  • 2007-03-08: Largest IV drop — 24.0% change
  • 2007-03-02: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.19$52.53$56.12$56.00$53.84
Max Pain$55.23$55.00$57.50$57.50$55.00
ATM IV21.4%17.4%28.4%25.4%19.0%
Expected Move6.0%5.0%7.5%7.3%5.4%
HV 20d20.0%17.9%22.1%18.0%18.2%
HV 60d18.4%17.7%18.8%18.7%17.7%
Term Structure-0.3%-3.3%1.3%-2.3%0.1%
VWIV20.5%17.1%25.6%24.8%19.6%
Skew 25d2.9%2.3%3.9%3.2%2.8%
Skew 10d6.3%1.9%11.6%4.0%6.2%
Call IV 25d19.4%16.2%24.0%22.7%18.1%
Put IV 25d22.3%18.8%27.4%25.9%21.0%
Bid-Ask Spread %9.024.9813.456.6812.12
Gamma HHI0.160.140.230.160.17
Net GEX127.1K-3.4M2.6M1.1M1.8M
Net DEX-31.6M-84.1M44.3M-76.2M-44.6M
Net VEX-1.2M-1.3M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.242.320.720.75
Total Volume5,357.8641,22316,6734,3053,893
Total OI145,723.364136,450159,242138,229144,453

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$56.00$57.5025.4%7.3%18.0%0.0%24.8%3.2%-2.3%1.1M-76.2M-1.3M0.726.682,5021,80366,35071,879
2007-03-02$55.75$57.5026.2%7.5%17.9%0.0%25.6%3.4%-3.3%956.2K-70.8M-1.3M1.465.352,6153,82967,70972,615
2007-03-05$55.25$55.0028.4%6.7%18.1%0.0%22.9%3.7%-1.1%-41.7K-48.9M-1.3M1.407.381,6532,30868,35473,996
2007-03-06$55.72$55.0026.5%6.5%18.3%0.0%22.1%3.4%-0.6%345.6K-66.0M-1.3M2.2112.431,7833,94168,86874,216
2007-03-07$56.12$55.0026.6%6.5%18.3%0.0%20.9%3.9%-0.5%606.3K-84.1M-1.3M0.474.987,7113,61969,55375,186
2007-03-08$54.26$55.0020.2%6.1%21.4%0.0%21.2%3.3%0.2%-2.6M1.7M-1.3M1.0110.568,2858,38872,48276,427
2007-03-09$54.34$55.0018.6%5.9%21.3%0.0%20.3%3.0%0.6%-2.9M-15.1M-1.3M0.6010.956,3743,83675,29477,088
2007-03-12$53.65$55.0021.7%6.3%21.4%0.0%21.1%2.9%-0.8%-2.4M7.9M-1.2M0.789.282,6082,04576,74075,288
2007-03-13$52.96$55.0021.5%6.4%21.7%0.0%22.4%2.5%-0.3%-2.7M28.3M-1.2M2.3210.191,6203,75377,06475,779
2007-03-14$52.53$55.0021.7%6.4%21.1%0.0%21.8%2.5%-0.3%-3.4M44.3M-1.2M0.3711.237,0032,60877,61476,454
2007-03-15$53.19$55.0022.3%6.4%21.3%0.0%21.0%2.3%-0.5%-375.1K-8.2M-1.2M0.367.316,9262,48081,74975,674
2007-03-16$52.98$55.0022.2%6.4%20.2%0.0%20.6%3.0%-0.3%-629.6K-3.0M-1.2M0.887.581,3831,22183,03176,211
2007-03-19$53.24$55.0021.2%6.1%20.4%0.0%20.1%2.8%-0.2%60.3K-14.4M-1.2M0.518.731,9621,00168,32868,122
2007-03-20$53.18$55.0020.0%5.7%19.9%0.0%18.7%2.5%0.1%-149.2K-10.3M-1.2M0.845.033,0992,59469,16368,711
2007-03-21$54.34$55.0017.7%5.1%22.0%0.0%18.1%2.5%0.9%1.9M-53.6M-1.2M0.5610.072,7081,51070,38769,681
2007-03-22$54.24$55.0017.5%5.0%22.0%0.0%18.0%3.2%1.3%1.8M-50.4M-1.2M0.5911.311,02761171,40070,511
2007-03-23$54.56$55.0017.4%5.0%22.0%0.0%17.1%2.6%0.8%2.5M-62.7M-1.2M0.256.852,04151871,83770,654
2007-03-26$54.52$55.0018.2%5.2%22.1%0.0%18.3%2.5%0.8%2.6M-61.1M-1.2M0.2412.551,48435473,16670,751
2007-03-27$54.13$55.0018.3%5.2%18.5%0.0%18.9%2.3%0.4%2.0M-46.9M-1.2M1.2713.4553968473,13770,724
2007-03-28$53.71$55.0020.4%5.8%18.2%0.0%18.4%2.9%-0.3%1.1M-30.1M-1.2M0.647.031,31183473,34670,997
2007-03-29$53.70$55.0020.6%5.9%18.2%0.0%18.8%2.9%-0.5%1.2M-31.4M-1.2M0.437.4298542473,93770,988
2007-03-30$53.84$55.0019.0%5.4%18.2%0.0%19.6%2.8%0.1%1.8M-44.6M-1.2M0.7512.122,2201,67373,88870,565