COST Options History — September 2007

In September 2007, COST traded between $57.00 and $61.92. ATM implied volatility averaged 26.5%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 7.6% (HV 20d: 34.2%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.21.

Notable Days

2007-09-05: Highest Volume — 17,056 contracts
2007-09-05: Largest IV spike — 10.9% change
2007-09-17: Highest IV Rank — 68.8%
2007-09-10: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.90	$57.00	$61.92	$61.61	$61.37
Max Pain	$59.61	$57.50	$60.00	$60.00	$60.00
ATM IV	26.5%	23.6%	29.0%	23.6%	24.6%
Expected Move	7.8%	6.8%	8.5%	6.8%	7.1%
HV 20d	34.2%	29.1%	36.6%	34.5%	29.1%
HV 60d	28.4%	25.7%	29.4%	25.7%	29.2%
IV Rank	56.6%	42.0%	68.8%	42.0%	47.2%
IV Percentile	90.4%	76.3%	97.7%	79.8%	76.3%
Term Structure	-0.1%	-2.6%	2.4%	1.6%	0.5%
VWIV	27.4%	23.0%	30.3%	23.0%	26.2%
Skew 25d	3.1%	1.3%	4.2%	1.3%	2.9%
Skew 10d	7.2%	0.8%	11.8%	7.7%	10.2%
Call IV 25d	25.9%	23.4%	28.5%	23.4%	24.5%
Put IV 25d	29.0%	24.7%	31.9%	24.7%	27.4%
Bid-Ask Spread %	9.82	6.96	13.42	6.96	7.38
Gamma HHI	0.18	0.15	0.23	0.21	0.18
Net GEX	2.2M	-1.3M	5.2M	5.2M	4.4M
Net DEX	-154.7M	-287.2M	2.3M	-241.1M	-224.0M
Net VEX	-2.0M	-2.1M	-1.9M	-2.0M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.18	4.44	4.44	1.45
Total Volume	7,684.632	2,838	17,056	5,428	4,210
Total OI	228,178.368	198,831	248,475	217,024	214,418

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$61.61	$60.00	23.6%	6.8%	34.5%	42.0%	23.0%	1.3%	1.6%	5.2M	-241.1M	-2.0M	4.44	6.96	997	4,431	112,291	104,733
2007-09-05	$59.00	$60.00	26.1%	7.5%	36.4%	54.7%	26.1%	2.1%	1.0%	1.3M	-98.2M	-2.0M	0.71	7.47	9,999	7,057	112,635	108,317
2007-09-06	$58.29	$60.00	25.4%	7.3%	36.2%	51.0%	25.3%	2.0%	2.4%	267.6K	-61.3M	-2.0M	0.75	8.51	3,811	2,877	114,901	111,353
2007-09-07	$57.00	$60.00	25.9%	8.2%	35.9%	53.3%	29.0%	2.1%	0.0%	-1.3M	2.3M	-2.0M	1.24	10.23	4,678	5,783	116,171	111,592
2007-09-10	$57.24	$60.00	27.0%	8.5%	36.0%	58.8%	30.3%	3.5%	-0.6%	-1.1M	-9.4M	-2.0M	1.18	9.34	5,386	6,381	118,235	113,659
2007-09-11	$58.59	$57.50	26.2%	8.4%	36.6%	54.9%	28.5%	3.4%	-2.6%	985.5K	-84.9M	-2.1M	0.70	9.33	2,630	1,853	120,545	116,545
2007-09-12	$58.48	$57.50	25.7%	8.4%	36.3%	52.3%	28.0%	3.2%	-2.3%	964.4K	-83.8M	-2.1M	0.80	13.42	2,347	1,880	120,383	117,090
2007-09-13	$59.95	$57.50	27.8%	8.0%	34.7%	62.7%	27.9%	3.6%	-1.1%	3.1M	-167.3M	-2.1M	0.82	8.34	3,527	2,906	120,555	118,251
2007-09-14	$59.96	$60.00	28.2%	8.1%	34.4%	64.7%	28.5%	3.6%	-1.3%	2.5M	-162.1M	-2.1M	0.96	10.50	1,448	1,393	120,502	118,365
2007-09-17	$59.51	$60.00	29.0%	8.3%	34.1%	68.8%	29.8%	3.8%	-1.2%	890.8K	-129.2M	-2.0M	1.46	10.02	2,141	3,134	120,686	118,688
2007-09-18	$61.82	$60.00	26.7%	7.6%	36.4%	57.3%	27.4%	4.1%	0.6%	5.1M	-274.7M	-2.0M	0.68	12.52	8,533	5,766	121,294	120,909
2007-09-19	$61.92	$60.00	26.4%	7.6%	33.7%	56.2%	26.9%	3.0%	0.5%	4.8M	-287.2M	-2.0M	0.18	12.87	10,042	1,766	124,441	124,034
2007-09-20	$61.15	$60.00	27.5%	7.9%	33.6%	61.3%	27.5%	3.0%	0.0%	1.2M	-229.2M	-2.0M	0.28	11.06	5,045	1,391	122,081	123,872
2007-09-21	$60.72	$60.00	26.4%	7.6%	33.6%	55.8%	27.0%	3.0%	0.0%	-1.3M	-201.0M	-2.0M	1.04	8.77	1,388	1,450	121,655	123,841
2007-09-24	$60.25	$60.00	26.9%	7.7%	33.3%	58.3%	27.2%	3.2%	-0.3%	4.0M	-165.2M	-1.9M	1.30	10.00	2,803	3,642	102,478	96,353
2007-09-25	$59.38	$60.00	27.2%	7.8%	33.5%	60.0%	28.0%	3.1%	0.1%	3.0M	-122.8M	-2.0M	0.94	9.19	4,489	4,225	104,547	98,884
2007-09-26	$60.69	$60.00	27.3%	7.8%	32.1%	60.5%	27.7%	4.2%	-0.0%	4.0M	-189.1M	-2.0M	2.29	13.30	3,716	8,493	106,081	101,227
2007-09-27	$61.12	$60.00	26.4%	7.6%	29.1%	56.0%	26.5%	2.9%	0.3%	4.0M	-210.5M	-2.0M	1.69	7.35	1,632	2,758	108,183	105,594
2007-09-28	$61.37	$60.00	24.6%	7.1%	29.1%	47.2%	26.2%	2.9%	0.5%	4.4M	-224.0M	-2.0M	1.45	7.38	1,716	2,494	108,715	105,703