COST Options History — July 2007

In July 2007, COST traded between $58.57 and $62.98. ATM implied volatility averaged 22.0%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.5% (HV 20d: 18.5%). Max pain ranged from $55.00 to $62.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2007-07-24: Highest Volume — 37,507 contracts
  • 2007-07-10: Largest IV spike — 17.3% change
  • 2007-07-31: Highest IV Rank — 88.9%
  • 2007-07-31: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.82$58.57$62.98$60.25$59.80
Max Pain$59.52$55.00$62.50$55.00$62.50
ATM IV22.0%16.4%27.0%16.8%27.0%
Expected Move6.3%4.7%7.7%4.8%7.7%
HV 20d18.5%15.8%22.3%16.6%19.7%
HV 60d15.2%14.4%16.2%14.5%16.1%
IV Rank55.7%10.0%88.9%10.0%88.9%
IV Percentile77.6%6.3%99.3%6.3%99.3%
Term Structure1.2%-0.6%2.6%1.9%-0.6%
VWIV22.0%16.9%27.7%17.2%27.7%
Skew 25d2.8%0.7%5.6%5.3%4.4%
Skew 10d6.6%1.7%11.8%5.7%5.7%
Call IV 25d20.4%12.4%25.8%12.5%25.0%
Put IV 25d23.2%17.7%29.3%17.7%29.3%
Bid-Ask Spread %9.334.6913.667.8210.53
Gamma HHI0.250.170.360.260.24
Net GEX3.9M-1.1M9.2M8.2M1.7M
Net DEX-255.7M-389.9M-81.9M-291.4M-141.8M
Net VEX-1.5M-1.7M-1.3M-1.3M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.133.940.671.63
Total Volume9,690.4292,37937,5074,51013,848
Total OI171,186.381146,132197,305155,091172,079

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$60.25$55.0016.8%4.8%16.6%0.0%17.2%5.3%1.9%8.2M-291.4M-1.3M0.677.822,6951,81584,14870,943
2007-07-03$60.08$55.0017.2%4.9%15.8%0.0%17.6%5.2%1.8%8.4M-284.5M-1.3M0.284.693,14088184,83171,449
2007-07-05$60.12$55.0016.4%4.7%15.8%10.0%16.9%5.6%2.3%9.2M-284.2M-1.3M0.556.152,3741,31485,85471,706
2007-07-06$61.44$57.5018.0%5.4%16.1%22.0%19.2%2.2%2.6%7.7M-332.3M-1.3M0.748.154,0412,98486,18871,911
2007-07-09$61.36$57.5019.8%5.4%16.0%35.1%19.3%1.9%2.5%7.5M-329.8M-1.3M0.388.929,4423,59687,24573,811
2007-07-10$60.51$57.5023.2%6.1%16.9%60.7%20.6%1.9%2.0%7.2M-300.6M-1.4M3.949.002,85711,26091,47575,991
2007-07-11$60.72$57.5022.4%5.9%16.1%54.5%20.6%2.2%1.8%4.1M-277.9M-1.5M0.589.302,4961,45491,49583,419
2007-07-12$61.74$57.5019.2%5.5%16.3%31.0%19.0%1.9%2.2%4.2M-332.5M-1.4M0.138.609,0611,13590,70483,531
2007-07-13$62.98$57.5020.3%5.8%16.8%39.1%21.2%2.1%1.6%6.9M-389.9M-1.3M1.717.672,8904,95295,65583,222
2007-07-16$61.85$57.5021.8%6.3%18.9%50.3%23.5%3.2%0.8%4.5M-341.3M-1.4M3.096.352,4507,57695,52086,867
2007-07-17$62.13$60.0021.5%6.2%18.7%48.3%22.5%3.1%0.8%3.5M-341.3M-1.4M0.2311.084,19497895,61792,423
2007-07-18$62.42$60.0021.4%6.1%18.7%47.3%21.4%3.4%0.7%3.8M-356.8M-1.4M2.1010.324,5769,58897,03092,796
2007-07-19$62.18$62.5021.6%6.2%18.9%48.6%21.3%2.2%1.0%3.3M-325.0M-1.5M0.2011.691,98939098,95898,038
2007-07-20$61.25$62.5023.2%6.7%19.8%61.0%23.1%2.1%0.3%812.8K-302.4M-1.5M0.549.023,1011,68199,40597,900
2007-07-23$60.90$62.5022.9%6.6%20.0%58.4%22.9%2.2%0.2%1.1M-167.6M-1.5M1.668.873,6616,08376,30069,832
2007-07-24$60.15$62.5026.4%7.6%20.8%84.6%26.1%1.4%0.1%-63.5K-136.0M-1.6M0.4313.6626,31011,19778,20674,173
2007-07-25$60.30$62.5024.7%7.1%20.8%72.1%24.5%0.7%1.0%418.7K-146.6M-1.7M3.809.302,2118,39987,59081,432
2007-07-26$59.05$62.5026.2%7.5%21.5%83.3%26.4%3.2%0.2%-1.1M-83.2M-1.7M1.5612.653,4205,33587,92885,136
2007-07-27$58.57$62.5026.6%7.6%21.7%86.2%25.7%2.0%0.9%-166.0K-81.9M-1.7M2.9213.623,1759,28289,06482,245
2007-07-30$59.48$62.5025.3%7.2%22.3%76.1%25.7%1.9%0.5%1.3M-123.6M-1.7M0.908.512,9842,68490,72782,070
2007-07-31$59.80$62.5027.0%7.7%19.7%88.9%27.7%4.4%-0.6%1.7M-141.8M-1.7M1.6310.535,2718,57791,37880,701