COST Options History — May 2007

In May 2007, COST traded between $53.14 and $56.57. ATM implied volatility averaged 20.7%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.0% (HV 20d: 13.7%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-05-31: Highest Volume — 15,158 contracts
  • 2007-05-31: Largest IV drop — 28.4% change
  • 2007-05-30: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.14$53.14$56.57$53.46$56.47
Max Pain$54.89$52.50$55.00$55.00$55.00
ATM IV20.7%17.1%23.8%20.7%17.1%
Expected Move6.1%4.9%6.8%5.9%4.9%
HV 20d13.7%11.4%15.5%15.2%11.4%
HV 60d16.3%15.0%17.0%16.9%15.0%
Term Structure-0.1%-3.4%2.8%2.2%1.2%
VWIV21.4%17.5%24.2%19.9%17.5%
Skew 25d1.8%0.3%3.6%1.5%3.6%
Skew 10d4.5%1.3%8.2%1.3%3.5%
Call IV 25d20.6%15.0%23.8%19.4%15.0%
Put IV 25d22.4%18.6%25.2%20.9%18.6%
Bid-Ask Spread %9.316.1112.459.116.11
Gamma HHI0.170.150.260.150.26
Net GEX2.8M1.2M5.4M1.4M5.4M
Net DEX-122.9M-186.7M-54.6M-71.5M-171.3M
Net VEX-1.4M-1.5M-743.0K-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.202.652.650.32
Total Volume5,104.7731,70315,1585,71215,158
Total OI134,855.86486,856147,209126,040147,209

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$53.46$55.0020.7%5.9%15.2%0.0%19.9%1.5%2.2%1.4M-71.5M-1.4M2.659.111,5664,14671,09354,947
2007-05-02$53.35$55.0020.4%5.8%14.5%0.0%19.3%2.1%2.4%1.3M-68.2M-1.4M0.479.961,45568771,59955,724
2007-05-03$53.14$55.0020.1%5.8%14.5%0.0%19.9%1.1%2.8%1.2M-61.8M-1.4M0.309.684,8781,44272,01155,812
2007-05-04$53.79$52.5018.2%6.2%14.9%0.0%22.1%2.5%-0.7%2.3M-88.0M-1.5M1.1210.999701,08275,34656,625
2007-05-07$54.08$55.0018.9%6.3%15.1%0.0%22.5%2.3%-0.8%2.3M-94.7M-1.5M0.718.451,4621,04275,20656,898
2007-05-08$54.61$55.0018.7%6.3%15.5%0.0%21.7%2.1%-0.7%3.0M-112.6M-1.5M0.8612.4591778675,71457,106
2007-05-09$54.94$55.0017.8%6.1%15.0%0.0%21.3%2.4%-0.9%3.6M-127.0M-1.5M0.698.013,9702,73375,91857,013
2007-05-10$54.95$55.0021.5%6.2%14.4%0.0%21.6%2.0%-0.6%3.1M-124.9M-1.5M0.509.152,7221,34978,43759,108
2007-05-11$54.97$55.0021.4%6.1%14.0%0.0%21.8%2.3%-0.0%3.3M-122.2M-1.5M0.6210.971,37985878,65259,475
2007-05-14$54.70$55.0023.0%6.6%14.0%0.0%23.1%1.3%-0.9%2.0M-54.6M-743.0K0.608.104,2412,53247,99738,859
2007-05-15$54.21$55.0022.7%6.5%11.9%0.0%22.6%1.7%-1.1%2.6M-94.0M-1.5M0.4910.431,99597381,49161,136
2007-05-16$54.81$55.0021.8%6.3%12.1%0.0%21.7%2.4%-0.3%3.1M-115.7M-1.5M1.248.362,2802,81881,87961,427
2007-05-17$55.58$55.0022.0%6.3%13.0%0.0%21.6%1.9%-0.3%4.3M-157.2M-1.5M0.509.572,5441,26282,52463,258
2007-05-18$56.41$55.0020.3%5.8%13.9%0.0%20.9%2.3%0.3%3.4M-186.7M-1.5M0.607.334,6172,78482,83463,235
2007-05-21$55.77$55.0021.7%6.2%14.4%0.0%21.5%1.9%0.0%2.2M-134.9M-1.5M1.178.671,8182,12573,90559,721
2007-05-22$55.95$55.0021.2%6.1%13.7%0.0%21.4%1.5%0.2%2.3M-142.6M-1.5M1.4211.391,2681,80674,61860,272
2007-05-23$56.02$55.0020.6%5.9%13.7%0.0%19.8%0.9%0.5%2.2M-145.2M-1.5M0.7510.772,6661,98774,82661,075
2007-05-24$56.30$55.0020.0%5.7%13.6%0.0%20.9%1.1%0.5%2.4M-148.8M-1.5M1.399.659981,39176,10962,353
2007-05-25$56.40$55.0020.5%5.9%13.4%0.0%20.6%0.3%-0.1%2.5M-155.0M-1.5M0.2011.153,59171876,39962,891
2007-05-29$56.57$55.0023.8%6.8%11.5%0.0%24.2%1.4%-1.8%3.5M-160.3M-1.5M0.646.805,2153,31378,75263,187
2007-05-30$56.53$55.0023.8%6.8%11.5%0.0%24.2%1.7%-3.4%4.3M-165.7M-1.5M0.707.816,3264,43580,81363,375
2007-05-31$56.47$55.0017.1%4.9%11.4%0.0%17.5%3.6%1.2%5.4M-171.3M-1.5M0.326.1111,5083,65083,06864,141