COST Options History — December 2007

In December 2007, COST traded between $66.94 and $71.83. ATM implied volatility averaged 31.0%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.9% (HV 20d: 22.1%). Max pain ranged from $60.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2007-12-13: Highest Volume — 80,034 contracts
  • 2007-12-13: Largest IV drop — 33.3% change
  • 2007-12-10: Highest IV Rank — 100.0%
  • 2007-12-05: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.60$66.94$71.83$66.94$69.76
Max Pain$62.50$60.00$67.50$65.00$62.50
ATM IV31.0%24.8%45.5%34.8%26.2%
Expected Move8.4%7.1%10.1%10.0%7.5%
HV 20d22.1%20.4%24.3%21.5%20.7%
HV 60d28.5%27.9%29.2%28.5%28.3%
IV Rank59.7%31.9%100.0%87.2%36.7%
IV Percentile81.0%58.5%100.0%96.1%66.8%
Term Structure0.5%-4.6%3.8%-3.0%1.1%
VWIV29.5%24.4%36.2%35.1%26.2%
Skew 25d3.5%2.7%4.9%4.9%3.6%
Skew 10d8.5%5.0%14.6%7.2%7.0%
Call IV 25d27.6%23.1%33.7%32.3%24.8%
Put IV 25d31.2%26.5%37.3%37.2%28.4%
Bid-Ask Spread %9.296.0716.9816.988.30
Gamma HHI0.270.210.760.220.23
Net GEX9.5M3.4M44.7M7.0M6.0M
Net DEX-396.4M-566.8M-288.5M-288.5M-353.4M
Net VEX-2.2M-2.4M-2.1M-2.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.432.400.430.74
Total Volume15,925.42,14080,0343,3322,140
Total OI268,741.85242,744304,216243,701250,963

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$66.94$65.0034.8%10.0%21.5%87.2%35.1%4.9%-3.0%7.0M-288.5M-2.3M0.4316.982,336996124,270119,431
2007-12-04$69.17$65.0033.3%9.5%24.3%80.5%34.0%4.4%-3.3%10.3M-414.4M-2.2M1.1410.7711,67213,347124,963117,781
2007-12-05$69.65$65.0035.2%10.1%23.4%89.3%36.2%3.6%-4.6%10.7M-449.4M-2.2M1.547.498,02512,335130,265125,850
2007-12-06$70.83$67.5033.4%9.6%22.9%81.3%33.2%4.5%-4.6%11.2M-505.0M-2.2M0.587.616,0793,519129,384129,362
2007-12-07$71.83$60.0032.2%8.1%23.2%76.0%28.9%3.6%1.3%12.3M-566.8M-2.1M0.729.7111,6538,354131,417129,529
2007-12-10$71.25$60.0038.5%8.6%22.0%100.0%29.3%3.4%0.6%11.9M-534.8M-2.1M0.6410.587,1454,560132,871130,530
2007-12-11$69.96$60.0040.3%8.8%23.3%100.0%30.7%3.3%0.2%11.4M-465.2M-2.1M0.9511.097,6797,313134,889130,744
2007-12-12$70.19$60.0045.5%9.7%21.8%100.0%33.9%4.1%-1.8%11.1M-466.8M-2.2M1.2210.2219,18023,367137,413132,125
2007-12-13$68.54$60.0030.3%8.7%22.4%50.2%29.6%2.9%0.9%8.8M-354.4M-2.2M1.1211.8837,71542,319140,869137,813
2007-12-14$68.49$62.5029.4%8.4%22.4%47.3%29.4%2.8%1.8%6.9M-325.2M-2.4M1.049.999,5639,935142,638154,709
2007-12-17$68.17$62.5029.8%8.5%22.4%48.5%29.3%2.7%1.9%3.9M-295.6M-2.3M1.4213.303,8955,546138,463156,724
2007-12-18$68.45$62.5029.1%8.4%22.3%46.3%30.0%3.2%2.4%3.8M-304.2M-2.3M2.407.304,61911,100137,927156,925
2007-12-19$68.40$62.5028.5%8.2%22.2%44.1%27.9%3.8%3.0%3.4M-295.4M-2.4M0.806.532,9022,311138,708164,559
2007-12-20$68.89$62.5027.1%7.8%22.2%39.5%28.0%3.3%3.3%4.4M-332.2M-2.3M0.476.335,9372,781139,375163,897
2007-12-21$70.08$62.5025.3%7.3%22.5%33.7%26.0%3.2%3.8%44.7M-459.1M-2.2M1.237.365,2886,478140,422163,794
2007-12-24$70.76$62.5024.8%7.1%20.4%31.9%24.4%3.4%2.2%5.4M-393.9M-2.1M0.788.192,5001,942110,318132,548
2007-12-26$70.59$62.5025.1%7.2%20.4%33.0%25.7%3.8%1.6%6.0M-391.3M-2.1M0.956.073,7443,568111,924132,662
2007-12-27$69.86$62.5025.7%7.4%20.4%35.1%25.7%3.2%1.7%5.5M-361.1M-2.2M1.598.771,7052,714113,658134,893
2007-12-28$70.22$62.5025.3%7.3%20.5%33.7%26.3%3.3%1.7%5.8M-371.9M-2.2M0.747.271,292954113,708136,516
2007-12-31$69.76$62.5026.2%7.5%20.7%36.7%26.2%3.6%1.1%6.0M-353.4M-2.1M0.748.301,229911114,121136,842