COST Options History — November 2007

In November 2007, COST traded between $64.86 and $67.41. ATM implied volatility averaged 33.7%, placing in the 88.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.9% (HV 20d: 27.9%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2007-11-30: Highest Volume — 24,402 contracts
  • 2007-11-15: Largest IV spike — 19.3% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-12: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.32$64.86$67.41$64.86$67.40
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV33.7%29.9%37.6%32.3%33.2%
Expected Move10.1%9.0%11.2%9.3%9.5%
HV 20d27.9%21.6%39.9%39.8%21.6%
HV 60d31.7%28.9%33.8%33.8%28.9%
IV Rank88.4%72.1%100.0%85.3%80.4%
IV Percentile96.8%90.4%100.0%98.1%93.5%
Term Structure-1.3%-2.7%1.8%0.5%-1.4%
VWIV35.3%31.4%40.7%32.5%31.4%
Skew 25d5.4%3.8%6.7%4.1%5.6%
Skew 10d9.8%6.5%12.6%6.6%9.7%
Call IV 25d32.7%29.3%36.4%30.8%30.5%
Put IV 25d38.0%34.9%41.2%34.9%36.1%
Bid-Ask Spread %12.718.4118.9915.4413.56
Gamma HHI0.220.170.310.250.21
Net GEX4.1M-1.2M6.8M4.1M5.9M
Net DEX-271.4M-368.4M-201.5M-227.2M-290.8M
Net VEX-2.3M-2.4M-2.1M-2.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.192.670.560.46
Total Volume10,458.2381,82824,4028,19324,402
Total OI239,555.619213,723267,423237,117225,044

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$64.86$65.0032.3%9.3%39.8%85.3%32.5%4.1%0.5%4.1M-227.2M-2.3M0.5615.445,2362,957124,648112,469
2007-11-02$65.58$65.0031.5%9.0%39.5%81.4%33.5%5.6%1.8%4.6M-258.8M-2.3M1.5418.997,24611,163124,739112,766
2007-11-05$65.92$65.0033.8%9.9%39.5%92.3%34.9%5.2%-1.5%3.9M-272.8M-2.4M0.5911.251,9231,129125,449119,026
2007-11-06$67.29$65.0030.6%9.6%39.9%76.7%32.8%5.8%-1.1%6.4M-351.6M-2.3M0.799.446,3465,015125,556116,880
2007-11-07$66.15$65.0033.7%10.2%24.8%92.1%34.2%4.3%-1.8%4.9M-293.6M-2.3M1.4513.403,2264,685129,120120,361
2007-11-08$66.58$65.0033.0%10.8%25.0%88.4%38.5%6.0%-2.2%5.2M-317.4M-2.4M0.8711.2211,4569,934130,571122,375
2007-11-09$65.29$65.0034.0%11.1%25.1%93.6%40.7%5.2%-2.2%3.0M-241.1M-2.4M0.8815.432,5792,263133,561124,765
2007-11-12$65.73$65.0035.6%11.2%24.2%100.0%39.5%4.9%-2.0%2.9M-268.8M-2.3M1.8714.994,6978,801132,757125,927
2007-11-13$67.41$65.0029.9%10.6%25.6%72.1%39.3%5.5%-2.7%6.8M-368.4M-2.3M2.679.063,2568,687134,266128,400
2007-11-14$66.06$65.0030.4%10.7%26.5%74.3%36.3%4.0%-1.7%-1.2M-260.5M-2.3M0.2511.0011,1412,780132,423133,859
2007-11-15$66.34$65.0036.2%10.4%26.6%100.0%36.9%5.2%-1.5%1.3M-293.7M-2.3M2.0610.213,1196,410134,265133,158
2007-11-16$66.80$65.0035.6%10.2%26.3%97.3%36.5%3.8%-2.1%3.1M-322.9M-2.2M2.4212.794,0899,907134,048133,329
2007-11-19$66.46$65.0034.8%10.0%25.3%93.1%33.2%5.4%-1.4%2.7M-227.9M-2.3M0.199.626,8841,320102,798110,925
2007-11-20$66.33$65.0032.8%9.4%24.9%84.0%32.7%6.7%-0.3%4.6M-238.8M-2.2M0.6312.157,0914,438107,700106,105
2007-11-21$66.07$65.0036.0%10.3%24.3%98.8%35.4%6.1%-0.9%4.3M-234.4M-2.3M1.3511.812,6003,512110,299108,787
2007-11-23$66.97$65.0034.6%9.9%24.6%92.3%33.9%6.6%-0.5%4.8M-263.9M-2.2M0.898.41967861110,716109,953
2007-11-26$65.38$65.0037.6%10.8%25.9%100.0%36.6%5.9%-1.4%3.6M-201.5M-2.2M0.8114.245,3944,345110,948110,117
2007-11-27$65.95$65.0036.5%10.5%24.8%94.7%35.2%6.2%-1.7%4.1M-222.4M-2.2M0.9912.322,1122,084111,975111,790
2007-11-28$66.98$65.0033.1%9.5%25.5%80.0%34.1%5.5%-0.7%5.3M-268.0M-2.2M1.5315.673,3455,131111,695111,969
2007-11-29$67.09$65.0033.3%9.5%25.5%80.6%33.2%5.7%-1.4%5.4M-274.9M-2.1M1.5015.992,8394,253112,395112,734
2007-11-30$67.40$65.0033.2%9.5%21.6%80.4%31.4%5.6%-1.4%5.9M-290.8M-2.1M0.4613.5616,6707,732112,491112,553