COST Options History — June 2008

In June 2008, COST traded between $68.20 and $73.50. ATM implied volatility averaged 26.1%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.4% (HV 20d: 28.6%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2008-06-05: Highest Volume — 26,098 contracts
  • 2008-06-12: Largest IV spike — 13.6% change
  • 2008-06-12: Highest IV Rank — 42.6%
  • 2008-06-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.06$68.20$73.50$70.33$70.14
Max Pain$70.24$67.50$72.50$72.50$70.00
ATM IV26.1%23.8%28.3%26.8%28.3%
Expected Move7.6%6.8%8.1%7.7%8.1%
HV 20d28.6%23.5%31.1%23.6%30.5%
HV 60d24.5%23.6%25.7%24.3%24.6%
IV Rank35.9%28.8%42.6%38.6%41.0%
IV Percentile35.1%17.9%56.7%42.5%56.7%
Term Structure1.6%-1.0%4.0%-1.0%0.8%
VWIV26.6%23.8%29.0%26.3%28.2%
Skew 25d2.9%1.9%5.3%2.8%3.4%
Skew 10d6.7%3.7%12.9%8.5%9.7%
Call IV 25d25.1%19.3%26.8%25.4%26.4%
Put IV 25d28.0%24.6%30.3%28.1%29.9%
Bid-Ask Spread %10.106.6413.806.649.12
Gamma HHI0.140.120.200.120.13
Net GEX-4.7M-11.1M3.6M-5.5M1.2M
Net DEX-52.2M-289.9M124.0M-58.1M-121.0M
Net VEX-2.5M-2.6M-2.3M-2.6M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.417.750.800.83
Total Volume10,556.7624,88426,09810,8485,214
Total OI266,915.238239,676288,209262,043263,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$70.33$72.5026.8%7.7%23.6%38.6%26.3%2.8%-1.0%-5.5M-58.1M-2.6M0.806.646,0334,815111,155150,888
2008-06-03$70.04$72.5026.3%7.6%23.5%37.1%26.0%2.3%-0.9%-5.0M-46.9M-2.6M0.6810.003,6282,451114,322151,013
2008-06-04$70.81$72.5025.8%7.4%23.9%35.4%24.9%2.0%-0.7%-3.3M-103.5M-2.6M0.939.263,6443,391113,449149,609
2008-06-05$73.50$72.5023.8%6.8%27.4%28.8%23.8%5.3%0.6%3.6M-289.9M-2.5M1.449.5610,67915,419113,715148,368
2008-06-06$71.19$67.5024.7%7.6%29.4%31.6%26.2%2.8%2.3%-5.1M-107.7M-2.6M1.3212.134,5395,994112,992157,118
2008-06-09$71.33$67.5025.4%7.7%29.4%34.1%27.4%2.9%1.3%-5.5M-112.2M-2.6M0.6612.265,0053,315113,192156,767
2008-06-10$70.46$70.0024.7%7.8%27.3%31.8%26.9%2.7%1.8%-8.4M-46.8M-2.6M1.4011.233,1554,421112,533157,702
2008-06-11$68.87$70.0024.7%7.8%28.2%31.5%27.8%2.6%2.1%-10.1M61.3M-2.5M1.9510.722,6315,137112,749156,933
2008-06-12$68.20$70.0028.0%8.0%28.1%42.6%27.8%2.7%2.2%-11.1M124.0M-2.5M0.5810.947,3404,252113,159157,360
2008-06-13$70.32$70.0025.5%7.3%30.6%34.2%25.2%2.5%3.5%-8.3M-41.5M-2.5M1.098.618,5119,281113,869157,264
2008-06-16$70.42$70.0026.0%7.5%30.3%36.0%25.8%2.6%3.3%-7.6M-58.0M-2.5M0.9513.322,5032,381117,529160,823
2008-06-17$69.93$70.0025.4%7.3%29.9%33.8%25.2%2.4%3.6%-8.1M-23.5M-2.5M1.0511.483,3963,565118,019160,658
2008-06-18$68.96$70.0025.4%7.3%30.1%34.0%29.0%3.0%3.3%-10.0M63.3M-2.4M7.7510.351,1919,228119,423161,327
2008-06-19$70.24$70.0025.1%7.2%29.1%33.1%25.2%2.6%4.0%-5.3M-58.4M-2.4M1.0513.804,4504,684119,379166,599
2008-06-20$68.73$70.0026.4%7.6%29.3%37.3%27.2%1.9%3.6%-3.6M83.8M-2.4M1.738.224,8158,349120,421167,788
2008-06-23$68.44$70.0027.8%8.0%29.1%40.3%27.9%2.5%0.3%-3.4M-14.5M-2.3M1.319.365,2906,93799,292140,384
2008-06-24$69.26$70.0027.9%8.0%28.6%40.8%27.7%3.5%0.6%-2.8M-46.9M-2.4M0.649.816,8684,375101,365145,043
2008-06-25$70.89$70.0026.1%7.5%29.8%34.7%25.6%3.5%1.2%165.2K-141.5M-2.4M0.418.4212,0614,890103,768146,159
2008-06-26$69.03$70.0027.2%7.8%31.1%38.2%27.9%3.5%0.7%-1.8M-44.9M-2.4M0.459.157,4543,344111,240148,334
2008-06-27$70.26$70.0027.6%7.9%30.9%39.2%27.4%4.1%1.1%563.4K-112.3M-2.5M0.697.824,1732,883111,240148,334
2008-06-30$70.14$70.0028.3%8.1%30.5%41.0%28.2%3.4%0.8%1.2M-121.0M-2.4M0.839.122,8462,368115,674148,264