COST Options History — January 2008

In January 2008, COST traded between $63.98 and $69.86. ATM implied volatility averaged 31.7%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.2% (HV 20d: 30.5%). Max pain ranged from $62.50 to $70.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2008-01-10: Highest Volume — 49,889 contracts
  • 2008-01-10: Largest IV drop — 22.6% change
  • 2008-01-09: Highest IV Rank — 69.4%
  • 2008-01-22: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.26$63.98$69.86$68.14$67.94
Max Pain$65.83$62.50$70.00$62.50$65.00
ATM IV31.7%28.0%36.1%28.9%31.4%
Expected Move9.0%8.0%9.7%8.3%9.0%
HV 20d30.5%18.8%38.2%22.4%38.2%
HV 60d26.9%22.6%29.0%28.5%27.9%
IV Rank54.9%42.5%69.4%45.4%53.7%
IV Percentile85.7%76.2%97.6%80.9%81.7%
Term Structure1.4%-0.5%3.5%0.5%1.9%
VWIV31.4%28.3%33.0%28.3%32.7%
Skew 25d4.8%1.5%6.7%2.2%4.0%
Skew 10d9.6%1.9%13.7%3.4%6.7%
Call IV 25d29.4%26.2%30.9%27.7%29.3%
Put IV 25d34.1%29.9%36.7%29.9%33.3%
Bid-Ask Spread %11.877.6019.238.3115.56
Gamma HHI0.160.110.290.200.13
Net GEX654.0K-4.1M8.4M4.0M3.1M
Net DEX-85.5M-412.9M23.1M-260.2M-96.9M
Net VEX-2.5M-2.8M-2.2M-2.2M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.356.781.211.69
Total Volume17,682.7623,68649,8899,84913,930
Total OI261,133.905190,628324,596251,377235,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$68.14$62.5028.9%8.3%22.4%45.4%28.3%2.2%0.5%4.0M-260.2M-2.2M1.218.314,4525,397114,367137,010
2008-01-03$67.12$65.0028.3%8.1%19.6%43.6%28.6%1.5%1.2%1.9M-194.5M-2.2M1.767.604,1867,358114,369140,100
2008-01-04$65.65$70.0032.0%9.2%20.6%55.6%31.3%4.7%1.0%-898.7K-103.4M-2.2M1.238.393,8484,726115,174144,585
2008-01-07$65.98$67.5034.0%9.3%19.5%62.1%32.2%4.8%0.6%-1.2M-111.1M-2.2M0.728.734,3803,169115,825146,456
2008-01-08$64.97$67.5035.8%9.6%18.8%68.1%33.0%5.2%0.2%-2.4M-55.0M-2.2M1.729.316,00010,337117,313146,943
2008-01-09$67.27$67.5036.1%9.3%23.5%69.4%32.4%6.7%-0.5%41.7K-181.0M-2.3M0.958.3418,49917,560121,084152,398
2008-01-10$69.86$67.5028.0%8.0%26.8%42.5%29.7%4.9%1.4%8.4M-412.9M-2.3M1.0314.4124,52125,368134,135159,469
2008-01-11$66.43$67.5031.1%8.9%32.1%52.9%30.9%3.9%0.1%-1.9M-143.3M-2.5M0.787.8210,4028,088142,471166,672
2008-01-14$64.71$67.5030.7%8.8%32.3%51.4%30.1%6.1%0.8%-4.1M-30.0M-2.3M1.078.8113,94914,868143,321162,761
2008-01-15$63.98$65.0030.7%8.8%32.5%51.4%30.5%5.4%1.8%110.7K22.1M-2.5M3.8710.124,37216,910147,950160,118
2008-01-16$64.10$65.0031.0%8.9%32.5%52.5%31.2%5.1%1.9%-2.8M-14.1M-2.3M1.7211.743,4725,962148,068156,675
2008-01-17$64.30$65.0031.1%8.9%32.5%52.8%30.8%4.5%1.8%-791.8K-35.5M-2.3M6.7815.904,42830,040148,504155,797
2008-01-18$64.53$65.0030.5%8.8%32.6%50.9%30.6%4.5%1.9%3.3M23.1M-2.5M2.2911.484,52410,379147,239177,357
2008-01-22$66.06$65.0033.8%9.7%33.7%61.6%32.8%6.4%1.3%-217.7K-3.6M-2.5M0.3515.219,6913,41782,643107,985
2008-01-23$68.61$65.0032.3%9.3%36.0%56.8%32.8%6.0%1.3%2.8M-112.8M-2.6M1.4914.708,73813,04389,129109,183
2008-01-24$67.15$65.0031.4%9.0%36.5%53.6%30.7%5.4%2.5%1.6M-50.8M-2.6M0.7919.2317,58213,90493,362117,458
2008-01-25$65.46$65.0033.2%9.5%37.4%59.6%31.4%4.8%2.3%75.2K14.7M-2.8M0.5913.463,8832,291105,665125,938
2008-01-28$66.36$65.0030.9%8.9%37.8%52.0%32.9%4.7%3.5%963.4K-12.8M-2.8M1.3714.541,5572,129105,503126,609
2008-01-29$66.68$65.0032.4%9.3%37.8%57.0%33.0%5.8%1.5%1.2M-27.0M-2.8M0.6810.774,5453,084105,452127,927
2008-01-30$66.23$65.0033.0%9.5%37.8%59.0%32.8%3.4%2.1%395.0K-11.4M-2.8M0.9414.813,2783,071106,493129,241
2008-01-31$67.94$65.0031.4%9.0%38.2%53.7%32.7%4.0%1.9%3.1M-96.9M-2.8M1.6915.565,1868,744106,286128,777