COST Options History — October 2007

In October 2007, COST traded between $61.62 and $69.24. ATM implied volatility averaged 29.2%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 3.7% (HV 20d: 32.9%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2007-10-10: Highest Volume — 74,706 contracts
  • 2007-10-10: Largest IV drop — 18.0% change
  • 2007-10-09: Highest IV Rank — 97.3%
  • 2007-10-25: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.46$61.62$69.24$61.81$67.26
Max Pain$61.85$60.00$65.00$60.00$65.00
ATM IV29.2%25.7%34.8%25.7%28.1%
Expected Move8.2%7.4%9.3%7.4%8.1%
HV 20d32.9%21.2%38.0%28.9%37.1%
HV 60d32.2%28.3%34.2%28.9%33.0%
IV Rank69.7%52.4%97.3%52.4%64.3%
IV Percentile93.1%81.4%99.5%81.8%90.9%
Term Structure0.2%-2.2%2.7%-0.4%2.7%
VWIV29.1%26.3%33.7%27.0%28.4%
Skew 25d3.9%2.1%5.5%4.1%4.2%
Skew 10d8.8%4.4%14.8%12.0%8.7%
Call IV 25d27.0%24.1%30.9%24.2%26.2%
Put IV 25d30.9%28.3%35.2%28.3%30.4%
Bid-Ask Spread %12.007.4420.5012.7312.47
Gamma HHI0.270.190.390.200.33
Net GEX6.3M4.3M9.9M5.0M7.2M
Net DEX-368.4M-618.5M-234.6M-245.3M-355.2M
Net VEX-2.1M-2.4M-1.6M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.303.300.890.77
Total Volume14,185.5222,74574,7062,7454,478
Total OI243,603.87213,452288,219216,070236,462

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$61.81$60.0025.7%7.4%28.9%52.4%27.0%4.1%-0.4%5.0M-245.3M-2.0M0.8912.731,4531,292109,298106,772
2007-10-02$61.62$60.0025.7%7.4%28.9%52.6%28.2%4.8%-0.1%4.8M-235.4M-2.0M2.047.442,7115,540109,744107,173
2007-10-03$61.92$60.0026.8%7.7%24.0%57.7%27.5%4.4%-0.5%5.1M-256.0M-2.0M1.5812.403,5585,636111,181108,403
2007-10-04$62.09$60.0027.7%7.9%23.3%62.4%28.5%4.8%-1.0%4.3M-246.9M-2.0M0.708.302,5381,786111,126111,739
2007-10-05$63.27$60.0028.0%7.6%21.9%63.8%26.3%4.3%-1.3%5.4M-313.1M-1.9M1.6810.652,6654,486111,521112,237
2007-10-08$63.71$60.0032.7%8.0%21.9%87.2%27.4%4.6%-2.2%4.9M-329.1M-1.9M0.7712.275,2144,011111,835114,707
2007-10-09$63.31$60.0034.8%8.1%21.2%97.3%28.0%4.6%-2.2%4.7M-313.2M-1.9M1.1910.7712,04814,346114,262116,387
2007-10-10$69.13$62.5028.5%7.8%36.4%66.4%27.6%3.4%-0.6%7.6M-618.5M-1.6M0.5320.5048,82125,885121,401125,559
2007-10-11$69.24$62.5027.1%7.8%36.0%59.6%27.5%3.1%-0.2%9.9M-512.8M-2.1M0.7115.5815,70111,098138,750136,129
2007-10-12$68.00$62.5027.2%7.8%37.0%60.0%27.0%3.2%0.4%7.2M-561.7M-1.9M0.618.415,8323,546135,354140,967
2007-10-15$66.57$62.5027.4%7.9%38.0%61.0%27.9%3.7%0.2%7.0M-487.4M-1.9M1.0710.136,3676,805136,302141,009
2007-10-16$65.95$62.5027.8%8.0%36.3%63.0%27.1%2.5%0.2%6.8M-450.8M-2.0M0.4310.237,9393,384138,070141,717
2007-10-17$66.52$62.5026.3%7.5%36.4%55.4%28.4%2.9%0.8%7.2M-481.1M-2.0M0.4610.717,0163,208142,484142,067
2007-10-18$66.53$62.5027.4%7.8%35.9%60.8%29.0%2.1%0.5%7.5M-503.0M-2.0M3.3010.353,47511,451144,773143,446
2007-10-19$65.70$62.5031.9%9.1%36.2%83.1%32.2%3.6%-0.4%9.6M-465.0M-2.1M1.0614.6315,75416,772144,528139,930
2007-10-22$67.05$62.5031.9%9.2%36.4%83.3%33.7%5.5%0.2%6.1M-334.2M-2.3M1.0612.507,7198,174113,65999,793
2007-10-23$66.19$62.5031.1%8.9%36.2%79.3%30.3%3.5%1.3%5.8M-301.3M-2.4M1.259.424,5605,711117,693103,466
2007-10-24$65.24$62.5032.1%9.2%36.4%84.0%32.2%4.0%2.3%4.8M-253.1M-2.4M1.3114.532,9493,853119,829106,245
2007-10-25$64.82$62.5032.3%9.3%36.5%85.3%33.0%4.3%0.8%4.7M-234.6M-2.4M0.9212.658,5157,860120,486106,661
2007-10-26$65.53$62.5031.4%9.0%36.6%80.7%31.6%4.9%1.0%5.2M-265.1M-2.4M0.4210.913,1281,305124,475111,214
2007-10-29$67.00$62.5030.1%8.6%37.2%74.4%31.3%3.1%1.9%6.7M-350.2M-2.4M0.3015.613,169940125,351111,799
2007-10-30$67.15$62.5029.3%8.4%37.1%70.5%30.6%3.7%2.0%7.1M-359.6M-2.3M1.1112.921,6871,881125,187111,698
2007-10-31$67.26$65.0028.1%8.1%37.1%64.3%28.4%4.2%2.7%7.2M-355.2M-2.3M0.7712.472,5341,944124,362112,100