COST Options History — July 2008 In July 2008, COST traded between $60.35 and $74.66. ATM implied volatility averaged 31.1%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 8.8% (HV 20d: 39.9%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.49.
Notable Days 2008-07-23 : Highest Volume — 111,270 contracts2008-07-23 : Largest IV spike — 21.5% change2008-07-28 : Highest IV Rank — 59.8%2008-07-28 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $68.77 $60.35 $74.66 $72.55 $62.68 Max Pain $70.68 $67.50 $72.50 $70.00 $67.50 ATM IV 31.1% 27.9% 35.4% 28.3% 29.6% Expected Move 8.9% 8.0% 10.2% 8.1% 8.5% HV 20d 39.9% 27.5% 58.9% 32.8% 57.2% HV 60d 30.9% 25.3% 40.2% 25.5% 40.2% IV Rank 44.5% 30.6% 59.8% 41.0% 36.4% IV Percentile 71.2% 51.6% 95.2% 56.7% 58.7% Term Structure 0.8% -2.4% 3.0% 0.7% -0.2% VWIV 31.4% 28.1% 34.2% 30.0% 28.3% Skew 25d 4.7% 3.8% 5.9% 4.6% 4.9% Skew 10d 9.8% 7.3% 17.2% 9.2% 8.4% Call IV 25d 29.1% 26.2% 33.0% 26.4% 26.8% Put IV 25d 33.8% 29.9% 38.9% 31.0% 31.6% Bid-Ask Spread % 11.32 6.79 16.30 12.47 9.04 Gamma HHI 0.18 0.13 0.34 0.17 0.24 Net GEX 507.5K -8.6M 15.3M 5.9M -6.0M Net DEX -36.6M -423.5M 378.7M -268.6M 254.1M Net VEX -2.5M -2.9M -2.2M -2.4M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.49 0.54 3.51 1.46 0.55 Total Volume 23,005.909 3,631 111,270 21,540 7,313 Total OI 277,776.864 174,189 308,695 265,436 303,047
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-07-01 $72.55 $70.00 28.3% 8.1% 32.8% 41.0% 30.0% 4.6% 0.7% 5.9M -268.6M -2.4M 1.46 12.47 8,770 12,770 116,546 148,890 2008-07-02 $72.13 $70.00 28.4% 8.1% 32.7% 41.3% 29.7% 4.7% 1.2% 5.0M -241.1M -2.5M 2.35 9.55 3,337 7,833 118,502 153,932 2008-07-03 $72.23 $70.00 27.9% 8.0% 29.7% 39.4% 28.1% 3.8% 1.8% 5.2M -239.5M -2.5M 0.74 11.19 2,082 1,549 118,505 155,797 2008-07-07 $72.87 $70.00 30.5% 8.9% 27.5% 45.3% 31.6% 5.2% 1.1% 6.4M -280.6M -2.4M 1.71 12.68 6,267 10,741 118,706 155,844 2008-07-08 $74.66 $72.50 29.1% 8.6% 28.7% 37.5% 31.5% 5.5% 1.4% 8.6M -380.8M -2.4M 1.76 13.32 5,209 9,146 121,918 161,601 2008-07-09 $72.15 $72.50 33.6% 9.1% 31.2% 54.9% 31.9% 4.1% 0.9% 4.1M -228.0M -2.5M 2.15 15.19 2,612 5,610 122,845 165,665 2008-07-10 $70.86 $72.50 32.4% 9.3% 30.7% 50.1% 31.8% 4.1% 1.4% 654.4K -125.1M -2.4M 1.37 7.68 7,637 10,459 123,031 166,707 2008-07-11 $69.83 $72.50 33.5% 9.6% 31.0% 54.3% 34.2% 4.1% 0.6% -1.3M -60.2M -2.4M 1.09 12.29 7,532 8,231 125,850 167,434 2008-07-14 $69.57 $72.50 32.9% 9.4% 29.0% 50.1% 34.0% 4.2% 0.7% -1.8M -41.5M -2.3M 3.51 12.20 5,122 17,963 126,342 168,861 2008-07-15 $69.57 $72.50 32.0% 9.2% 29.0% 46.1% 31.6% 4.3% 1.3% -1.5M -34.8M -2.3M 0.70 16.30 9,461 6,592 128,892 171,571 2008-07-16 $72.58 $72.50 30.4% 8.7% 32.6% 39.3% 29.3% 4.9% 2.0% 9.4M -285.3M -2.3M 0.54 11.90 9,733 5,256 130,126 172,358 2008-07-17 $74.13 $72.50 29.7% 8.5% 32.7% 36.6% 32.1% 4.5% 2.3% 15.3M -423.5M -2.2M 1.33 14.18 8,787 11,657 130,624 173,508 2008-07-18 $72.23 $72.50 28.2% 8.1% 33.8% 30.6% 29.0% 4.6% 3.0% 6.5M -250.3M -2.2M 1.47 15.59 7,089 10,430 131,271 177,424 2008-07-21 $69.66 $72.50 31.0% 8.9% 35.5% 41.9% 31.4% 5.4% 2.0% -1.2M -12.5M -2.2M 3.10 6.79 10,325 32,003 77,894 96,295 2008-07-22 $72.00 $72.50 28.3% 8.1% 37.3% 30.9% 28.8% 4.6% 2.2% -395.6K -50.0M -2.6M 1.51 12.02 8,007 12,116 84,256 119,879 2008-07-23 $63.43 $72.50 34.4% 9.9% 58.9% 55.4% 33.1% 5.3% -2.4% -7.3M 272.6M -2.3M 1.20 8.63 50,617 60,653 88,392 126,012 2008-07-24 $62.98 $67.50 34.6% 9.9% 57.9% 56.4% 34.0% 4.4% -0.7% -8.6M 299.7M -2.9M 0.75 7.13 19,348 14,531 113,223 161,839 2008-07-25 $61.76 $67.50 33.6% 9.6% 57.7% 52.3% 33.2% 4.7% -0.5% -7.4M 330.0M -2.9M 0.57 6.88 9,987 5,723 125,394 164,256 2008-07-28 $60.35 $67.50 35.4% 10.2% 57.3% 59.8% 34.2% 5.9% -0.7% -7.0M 378.7M -2.8M 0.85 12.37 4,590 3,904 130,237 166,570 2008-07-29 $61.78 $67.50 30.5% 8.7% 58.3% 39.8% 31.3% 4.5% -0.5% -7.6M 346.1M -2.8M 2.87 8.97 12,494 35,899 131,523 167,710 2008-07-30 $63.00 $67.50 30.6% 8.8% 57.2% 40.1% 31.1% 5.1% -0.9% -5.8M 235.0M -2.9M 1.27 12.75 7,380 9,365 137,405 164,409 2008-07-31 $62.68 $67.50 29.6% 8.5% 57.2% 36.4% 28.3% 4.9% -0.2% -6.0M 254.1M -2.8M 0.55 9.04 4,731 2,582 138,881 164,166
« Jun 2008 | All History | Aug 2008 » Home COST History July 2008