COST Options History — June 2007

In June 2007, COST traded between $55.16 and $58.52. ATM implied volatility averaged 17.2%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.7% (HV 20d: 12.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2007-06-26: Highest Volume — 12,698 contracts
  • 2007-06-13: Largest IV drop — 13.0% change
  • 2007-06-07: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.49$55.16$58.52$56.29$58.52
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV17.2%15.1%19.3%16.8%17.3%
Expected Move5.0%4.3%5.7%4.8%5.0%
HV 20d12.6%11.0%14.1%11.4%13.7%
HV 60d13.3%12.9%15.0%15.0%13.3%
Term Structure2.9%1.3%4.8%1.3%2.4%
VWIV17.7%15.4%19.8%16.9%17.2%
Skew 25d1.9%1.1%2.8%2.0%2.3%
Skew 10d5.3%2.7%7.2%3.0%6.8%
Call IV 25d16.7%14.8%19.3%15.4%15.7%
Put IV 25d18.6%16.7%20.8%17.5%18.1%
Bid-Ask Spread %8.496.0212.836.027.48
Gamma HHI0.260.210.300.300.26
Net GEX5.3M554.4K8.9M6.4M7.8M
Net DEX-172.5M-230.3M-113.4M-173.7M-228.6M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.063.710.340.55
Total Volume4,653.5241,67212,6982,1975,011
Total OI157,184.286150,172167,641153,217154,055

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$56.29$55.0016.8%4.8%11.4%0.0%16.9%2.0%1.3%6.4M-173.7M-1.5M0.346.021,64455388,27864,939
2007-06-04$56.12$55.0018.6%5.4%11.0%0.0%18.9%1.5%3.4%6.0M-165.4M-1.5M0.668.301,00966388,68964,895
2007-06-05$55.45$55.0018.4%5.5%12.0%0.0%19.2%2.8%2.6%3.9M-132.9M-1.5M3.716.581,2134,50588,62465,073
2007-06-06$55.82$55.0019.3%5.6%11.8%0.0%19.6%2.4%3.0%4.0M-147.6M-1.5M1.7910.962,6074,66089,00767,826
2007-06-07$55.26$55.0018.6%5.7%12.2%0.0%19.8%1.5%2.8%2.5M-123.4M-1.5M0.417.754,7611,97589,73468,375
2007-06-08$56.01$55.0018.7%5.5%13.1%0.0%19.3%2.2%3.5%4.9M-161.2M-1.5M0.629.001,6861,04690,89369,038
2007-06-11$55.70$55.0019.3%5.7%13.3%0.0%19.6%2.1%3.1%3.5M-144.8M-1.5M2.948.837212,12291,09069,125
2007-06-12$55.16$55.0019.2%5.5%13.7%0.0%19.1%2.1%3.2%554.4K-113.4M-1.5M1.8411.551,3312,44691,14469,877
2007-06-13$55.97$55.0016.7%5.5%14.1%0.0%19.0%2.1%3.4%3.1M-154.7M-1.5M1.129.833,0233,37191,78770,761
2007-06-14$55.76$55.0018.5%5.3%13.7%0.0%18.1%2.2%3.8%1.3M-145.6M-1.6M1.2210.228651,05893,95373,688
2007-06-15$56.09$55.0017.5%5.0%13.0%0.0%17.4%1.7%4.8%4.5M-165.7M-1.6M1.398.942,0012,77294,03172,876
2007-06-18$56.00$55.0017.2%4.9%11.9%0.0%16.6%1.9%2.3%4.6M-149.3M-1.5M0.597.722,5031,46684,84765,325
2007-06-19$56.33$55.0015.7%4.5%11.3%0.0%16.0%1.2%2.8%5.3M-168.4M-1.5M0.878.041,3021,13486,25166,114
2007-06-20$56.35$55.0015.4%4.4%11.2%0.0%15.8%1.5%2.7%5.5M-168.0M-1.5M1.0012.831,4121,41386,80866,898
2007-06-21$57.19$55.0015.1%4.3%12.4%0.0%15.4%1.9%3.4%7.1M-202.6M-1.5M0.558.662,4421,34087,64467,567
2007-06-22$57.17$55.0016.1%4.6%12.3%0.0%16.9%1.6%2.2%7.0M-204.9M-1.5M0.466.883,5411,64488,51567,904
2007-06-25$57.20$55.0016.2%4.6%12.3%0.0%17.2%1.6%2.8%7.7M-208.1M-1.5M2.197.361,5463,37989,94967,383
2007-06-26$57.33$55.0016.1%4.6%12.3%0.0%16.9%1.1%3.0%8.1M-216.3M-1.5M0.066.0211,93676290,80170,037
2007-06-27$58.38$55.0015.8%4.5%13.7%0.0%16.3%1.6%2.5%8.9M-230.3M-1.4M1.426.713,3304,72384,59267,525
2007-06-28$58.22$55.0016.0%4.6%13.8%0.0%15.6%2.1%2.1%8.0M-217.7M-1.4M0.508.591,86694283,83771,115
2007-06-29$58.52$55.0017.3%5.0%13.7%0.0%17.2%2.3%2.4%7.8M-228.6M-1.4M0.557.483,2401,77183,65270,403