COST Options History — August 2007

In August 2007, COST traded between $57.93 and $64.95. ATM implied volatility averaged 26.4%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.4% (HV 20d: 28.8%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.35.

Notable Days

  • 2007-08-21: Highest Volume — 18,562 contracts
  • 2007-08-14: Largest IV spike — 27.9% change
  • 2007-08-14: Highest IV Rank — 100.0%
  • 2007-08-15: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.09$57.93$64.95$60.12$61.75
Max Pain$60.11$60.00$62.50$62.50$60.00
ATM IV26.4%21.9%35.3%25.4%21.9%
Expected Move7.8%6.3%10.4%7.3%6.3%
HV 20d28.8%18.7%37.4%19.8%37.4%
HV 60d21.2%16.1%25.8%16.1%25.8%
IV Rank67.8%33.9%100.0%77.5%33.9%
IV Percentile89.6%70.1%100.0%93.8%70.1%
Term Structure1.0%-1.4%3.1%1.6%2.0%
VWIV27.5%22.2%37.1%24.5%22.2%
Skew 25d4.3%1.9%6.7%5.5%1.9%
Skew 10d9.1%2.7%18.0%15.8%2.7%
Call IV 25d25.3%20.6%34.5%22.8%21.3%
Put IV 25d29.7%23.2%39.6%28.3%23.2%
Bid-Ask Spread %14.077.5921.479.799.96
Gamma HHI0.220.140.440.200.21
Net GEX2.4M-4.7M7.6M272.6K5.5M
Net DEX-194.9M-399.3M-20.0M-142.6M-249.9M
Net VEX-1.9M-2.1M-1.8M-1.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.273.820.861.18
Total Volume11,774.4782,13918,56214,4805,459
Total OI206,549.478181,759222,807181,759215,818

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$60.12$62.5025.4%7.3%19.8%77.5%24.5%5.5%1.6%272.6K-142.6M-1.8M0.869.797,7986,68294,92786,832
2007-08-02$60.84$60.0023.2%6.6%20.3%60.5%22.4%5.0%3.1%3.1M-191.7M-1.8M1.337.593,4814,64198,66884,316
2007-08-03$60.49$60.0026.5%7.6%18.7%85.5%26.2%4.5%1.8%3.5M-190.4M-1.8M3.2821.473,66412,006100,23984,434
2007-08-06$62.93$60.0025.5%8.0%23.6%77.8%29.1%6.7%-0.1%5.7M-289.7M-1.8M0.5315.0711,1255,937102,10594,845
2007-08-07$64.39$60.0027.7%7.9%24.1%94.4%28.5%6.4%1.0%7.6M-368.6M-1.8M2.0015.285,83311,668106,52897,296
2007-08-08$64.95$60.0026.3%7.7%24.1%84.2%27.0%6.4%0.7%6.2M-399.3M-1.8M1.0712.216,7867,287107,340105,726
2007-08-09$63.24$60.0028.4%8.6%25.8%99.8%29.6%5.9%0.6%2.0M-301.1M-2.0M2.0019.235,33110,679109,900110,006
2007-08-10$63.25$60.0024.9%8.6%24.8%73.8%29.7%6.1%0.0%1.6M-285.4M-2.0M1.9016.204,2568,095108,072114,735
2007-08-13$61.78$60.0025.0%8.7%25.4%74.0%30.8%5.0%0.1%-4.7M-181.8M-1.9M1.1715.673,1243,663105,524113,540
2007-08-14$60.80$60.0031.9%10.0%26.0%100.0%33.5%4.6%-1.2%-2.3M-141.5M-1.9M0.4014.6111,9634,769105,134107,068
2007-08-15$58.49$60.0033.6%10.4%29.1%100.0%36.5%3.6%-0.9%-2.8M-20.0M-2.0M1.0117.967,4917,572113,346108,541
2007-08-16$59.23$60.0035.3%10.1%29.6%100.0%37.1%6.4%-1.4%-1.8M-73.7M-2.1M1.5618.354,8407,535114,693108,013
2007-08-17$58.37$60.0031.4%9.0%29.6%80.7%31.3%5.0%0.5%154.5K-35.3M-1.9M1.1113.577,8488,679114,476106,083
2007-08-20$57.93$60.0026.9%7.7%29.6%58.5%27.3%5.1%2.0%481.0K-59.4M-1.9M1.0616.305,5755,93797,41888,165
2007-08-21$60.28$60.0024.5%7.0%32.9%46.5%24.2%3.3%2.0%2.7M-166.8M-1.9M1.1816.558,51910,04399,51890,037
2007-08-22$61.26$60.0024.2%6.9%33.4%45.3%24.8%2.1%1.5%3.8M-211.3M-2.0M0.828.864,2203,450104,71296,341
2007-08-23$60.85$60.0025.1%7.2%32.6%49.4%24.6%2.6%1.4%3.7M-189.2M-2.0M0.8113.671,184955106,65398,586
2007-08-24$61.68$60.0022.2%6.4%32.6%35.0%22.8%2.6%2.0%4.8M-233.0M-2.0M1.3716.622,8353,887106,97399,000
2007-08-27$61.03$60.0024.4%7.0%32.6%46.1%23.9%2.3%1.6%4.4M-209.3M-2.0M1.3515.771,4882,010108,39999,910
2007-08-28$59.00$60.0026.1%7.5%34.8%54.7%26.4%2.7%1.0%2.2M-111.6M-2.0M0.278.8211,1903,042108,82798,473
2007-08-29$61.31$60.0022.6%6.5%37.4%37.2%25.3%3.6%1.4%5.1M-221.0M-2.0M3.8210.413,15012,040111,12099,278
2007-08-30$61.02$60.0024.1%6.9%37.3%44.7%24.2%2.5%1.4%4.7M-210.4M-2.0M1.069.571,4911,585113,183105,840
2007-08-31$61.75$60.0021.9%6.3%37.4%33.9%22.2%1.9%2.0%5.5M-249.9M-2.0M1.189.962,5022,957112,026103,792