COST Options History — May 2008

In May 2008, COST traded between $69.39 and $74.45. ATM implied volatility averaged 25.8%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.9% (HV 20d: 19.9%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2008-05-13: Highest Volume — 105,609 contracts
  • 2008-05-15: Largest IV spike — 22.8% change
  • 2008-05-27: Highest IV Rank — 49.2%
  • 2008-05-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.32$69.39$74.45$72.00$71.32
Max Pain$71.90$67.50$72.50$67.50$72.50
ATM IV25.8%20.6%30.0%23.6%25.0%
Expected Move7.7%6.5%8.6%6.8%7.2%
HV 20d19.9%17.9%23.1%19.1%23.1%
HV 60d25.2%24.3%26.5%26.5%24.3%
IV Rank35.2%18.1%49.2%28.1%32.8%
IV Percentile38.5%13.1%66.3%24.2%25.8%
Term Structure-0.6%-2.3%3.3%2.2%0.0%
VWIV27.2%23.7%30.4%24.9%25.9%
Skew 25d3.1%2.1%4.0%4.0%2.4%
Skew 10d5.8%3.5%9.5%6.9%3.5%
Call IV 25d25.3%21.7%28.5%22.3%24.6%
Put IV 25d28.4%24.9%31.6%26.3%27.1%
Bid-Ask Spread %11.325.9015.2111.4313.41
Gamma HHI0.150.120.250.130.13
Net GEX1.9M-4.2M6.6M4.1M-4.2M
Net DEX-236.8M-376.9M-40.5M-256.6M-111.4M
Net VEX-2.4M-2.7M-1.4M-2.4M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.163.871.721.89
Total Volume17,049.5714,645105,60915,70110,409
Total OI237,215.429180,805263,043215,600263,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$72.00$67.5023.6%6.8%19.1%28.1%24.9%4.0%2.2%4.1M-256.6M-2.4M1.7211.435,7769,92593,772121,828
2008-05-02$72.14$67.5022.8%6.5%18.8%25.3%23.7%3.2%3.3%4.1M-265.6M-2.4M0.785.906,6595,21996,669126,488
2008-05-05$72.43$70.0024.2%7.6%18.6%30.1%26.6%3.4%-1.0%5.0M-291.0M-2.4M1.2910.802,0282,617100,527127,844
2008-05-06$72.65$72.5024.8%7.5%18.5%31.9%27.3%3.3%-0.4%4.8M-302.0M-2.4M1.8112.924,4788,126100,926129,578
2008-05-07$72.08$72.5026.3%7.7%17.9%36.9%27.2%3.4%-0.4%3.7M-267.9M-2.4M2.2210.283,8218,497101,373132,870
2008-05-08$71.20$72.5025.6%7.8%18.8%34.5%26.4%3.3%-0.4%1.6M-217.1M-2.5M1.5710.285,2078,179102,624136,460
2008-05-09$71.44$72.5022.3%7.7%17.9%23.7%27.4%3.3%-0.4%2.3M-234.0M-2.5M3.8710.621,4195,489105,028138,161
2008-05-12$73.68$72.5026.0%7.9%19.8%36.0%27.1%3.4%-0.8%6.1M-298.8M-1.4M1.2313.413,3054,07181,81498,991
2008-05-13$73.98$72.5020.6%7.4%19.8%18.1%26.9%3.1%-0.3%6.6M-376.9M-2.3M0.1610.3390,80114,808106,378138,957
2008-05-14$74.22$72.5020.7%7.4%18.8%18.6%26.7%3.4%-0.2%4.5M-340.4M-2.4M0.9310.904,3654,066103,282149,471
2008-05-15$74.45$72.5025.5%7.3%18.1%34.2%25.8%2.9%-0.1%5.3M-350.2M-2.4M0.469.285,9392,724104,208150,338
2008-05-16$73.27$72.5025.9%7.4%19.1%35.8%24.9%3.7%-0.2%1.0M-301.4M-2.5M1.7711.674,4747,920107,317150,902
2008-05-19$72.11$72.5026.7%7.7%20.0%38.3%27.2%3.9%-1.5%820.5K-196.2M-2.4M1.3111.167,74410,18197,003125,456
2008-05-20$71.39$72.5026.5%7.6%19.5%37.5%27.1%2.1%-1.2%-1.1M-151.3M-2.6M1.1512.263,0533,504100,031131,663
2008-05-21$69.39$72.5029.3%8.4%21.0%47.0%29.7%2.5%-1.4%-3.4M-40.5M-2.7M1.4015.216,7539,432100,892133,756
2008-05-22$70.76$72.5029.2%8.4%21.9%46.6%29.0%2.3%-1.4%-2.2M-117.6M-2.7M0.6614.894,0422,658102,418136,900
2008-05-23$71.32$72.5028.7%8.2%21.0%44.9%29.0%2.5%-1.3%-803.8K-152.9M-2.7M0.6712.843,1962,145104,520137,507
2008-05-27$72.59$72.5030.0%8.6%21.6%49.2%29.9%2.4%-2.3%922.8K-221.7M-2.6M0.8214.306,5645,351105,565138,146
2008-05-28$73.24$72.5029.9%8.6%21.8%48.8%30.4%3.1%-2.1%1.5M-248.2M-2.6M1.327.029,06811,954105,257139,867
2008-05-29$72.98$72.5027.3%7.8%21.8%40.2%28.1%3.5%-1.8%208.7K-230.7M-2.6M3.178.8810,08531,989108,043145,651
2008-05-30$71.32$72.5025.0%7.2%23.1%32.8%25.9%2.4%0.0%-4.2M-111.4M-2.7M1.8913.413,6056,804110,437152,606