COST Options History — March 2008

In March 2008, COST traded between $60.04 and $66.62. ATM implied volatility averaged 29.0%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.9% (HV 20d: 29.9%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2008-03-25: Highest Volume — 31,483 contracts
  • 2008-03-05: Largest IV drop — 19.6% change
  • 2008-03-04: Highest IV Rank — 64.1%
  • 2008-03-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.71$60.04$66.62$62.51$64.97
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV29.0%23.9%34.5%34.3%29.4%
Expected Move8.5%7.7%9.9%9.8%8.4%
HV 20d29.9%26.5%33.5%29.5%30.9%
HV 60d30.9%29.3%33.0%29.5%32.7%
IV Rank45.7%29.2%64.1%63.1%47.1%
IV Percentile64.3%38.5%92.1%91.3%64.7%
Term Structure1.0%-3.2%3.5%-3.2%0.6%
VWIV29.9%26.0%34.7%33.8%32.5%
Skew 25d4.8%2.6%6.3%3.8%4.0%
Skew 10d9.1%4.5%12.4%7.9%9.4%
Call IV 25d27.6%24.3%33.3%32.7%28.4%
Put IV 25d32.3%29.3%37.2%36.5%32.5%
Bid-Ask Spread %12.518.9618.6512.3412.72
Gamma HHI0.150.110.280.120.11
Net GEX-6.0M-13.1M4.2M-8.7M686.3K
Net DEX130.0M-124.0M308.6M185.7M-23.4M
Net VEX-2.5M-2.8M-2.4M-2.8M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.553.311.271.89
Total Volume11,979.74,26931,4837,5166,797
Total OI280,951.8250,655299,721284,570256,728

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$62.51$65.0034.3%9.8%29.5%63.1%33.8%3.8%-3.2%-8.7M185.7M-2.8M1.2712.343,3114,205121,085163,485
2008-03-04$62.39$65.0034.5%9.9%29.4%64.1%34.7%3.9%-2.9%-8.4M188.6M-2.8M0.7810.0813,70310,751122,348162,313
2008-03-05$60.83$65.0027.8%8.0%28.6%41.8%26.0%4.1%3.3%-11.8M273.7M-2.6M0.8813.4115,68513,859125,125162,780
2008-03-06$60.04$65.0027.4%7.8%28.3%40.4%27.2%2.6%3.5%-12.7M308.6M-2.5M0.9512.294,2974,071127,575164,028
2008-03-07$60.30$65.0027.5%8.8%27.5%40.9%31.0%5.3%0.5%-10.9M276.7M-2.5M0.8213.352,9722,447130,499159,069
2008-03-10$60.25$65.0030.2%9.1%26.5%49.9%30.4%5.7%-0.1%-11.0M278.6M-2.5M0.7510.809,6867,310130,517159,196
2008-03-11$62.62$65.0024.5%8.2%29.9%30.9%27.8%6.3%1.7%-7.5M149.0M-2.6M0.5510.296,7803,748133,343158,300
2008-03-12$62.60$65.0023.9%8.0%29.8%29.2%28.1%5.6%2.0%-5.3M109.2M-2.6M0.9610.164,3804,206135,444157,465
2008-03-13$62.17$65.0028.5%8.2%28.8%44.2%31.1%5.1%2.0%-7.5M162.3M-2.6M3.318.962,0406,755136,174158,375
2008-03-14$60.86$65.0031.6%9.1%28.3%54.5%30.2%5.4%0.7%-9.8M237.2M-2.5M0.8915.467,5796,720136,646158,583
2008-03-17$60.36$65.0032.9%9.4%28.4%58.6%32.9%5.1%0.6%-11.5M268.0M-2.4M1.2513.773,1103,890136,467159,757
2008-03-18$61.67$65.0027.4%7.9%29.1%40.6%27.6%5.7%2.8%-10.2M209.9M-2.4M0.5712.857,2214,145137,229160,170
2008-03-19$60.88$65.0030.1%8.6%27.4%49.6%29.3%5.2%1.4%-13.1M237.6M-2.4M1.3913.681,7842,485139,573160,148
2008-03-20$63.42$65.0027.6%7.9%31.4%41.1%27.7%5.4%3.0%-2.2M83.5M-2.4M0.8510.449,4978,030139,393159,612
2008-03-24$65.50$65.0027.0%7.7%33.1%39.3%27.0%4.9%1.2%1.8M-55.3M-2.6M0.9214.504,8884,479121,267135,437
2008-03-25$66.59$65.0027.9%8.0%33.5%42.3%30.9%4.9%0.6%3.8M-116.2M-2.5M1.5713.5212,25419,229118,872132,282
2008-03-26$66.62$65.0028.0%8.0%33.2%42.5%29.8%4.1%1.1%4.2M-124.0M-2.5M2.3918.651,5743,758120,309130,346
2008-03-27$65.26$65.0029.5%8.5%32.3%47.6%29.8%3.9%0.5%1.4M-49.5M-2.5M1.1410.213,4913,987120,512132,748
2008-03-28$64.37$65.0029.3%8.4%31.6%46.9%30.5%4.4%1.1%-159.2K-187.0K-2.5M1.3112.661,9392,531121,944133,892
2008-03-31$64.97$65.0029.4%8.4%30.9%47.1%32.5%4.0%0.6%686.3K-23.4M-2.4M1.8912.722,3494,448122,270134,458