COST Options History — September 2008

In September 2008, COST traded between $63.20 and $70.37. ATM implied volatility averaged 35.1%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 9.7% (HV 20d: 25.4%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2008-09-25: Highest Volume — 37,302 contracts
  • 2008-09-29: Largest IV spike — 34.9% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.17$63.20$70.37$68.26$64.93
Max Pain$67.14$65.00$67.50$65.00$67.50
ATM IV35.1%23.5%49.2%25.8%43.0%
Expected Move10.4%6.7%14.1%7.4%12.3%
HV 20d25.4%18.1%37.7%21.0%37.7%
HV 60d39.3%37.8%41.4%38.7%41.4%
IV Rank57.0%11.7%100.0%21.1%78.4%
IV Percentile74.2%2.4%100.0%20.6%99.2%
Term Structure-1.3%-6.7%6.7%5.1%-4.9%
VWIV36.1%23.1%45.2%24.6%43.5%
Skew 25d6.5%4.1%7.6%5.2%6.3%
Skew 10d12.5%7.8%14.8%11.4%14.5%
Call IV 25d32.9%21.2%45.7%22.7%40.7%
Put IV 25d39.4%25.3%50.8%27.9%46.9%
Bid-Ask Spread %13.199.5723.369.5715.15
Gamma HHI0.200.110.280.210.11
Net GEX572.1K-7.5M9.8M3.5M-5.3M
Net DEX-18.6M-244.9M176.2M-100.5M108.2M
Net VEX-2.9M-3.1M-2.5M-3.0M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.415.530.540.75
Total Volume12,049.5244,17237,3024,1724,634
Total OI310,378.524250,180341,262319,404260,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$68.26$65.0025.8%7.4%21.0%21.1%24.6%5.2%5.1%3.5M-100.5M-3.0M0.549.572,7111,461133,781185,623
2008-09-03$68.33$65.0023.5%6.7%18.1%11.7%23.1%4.1%6.7%5.5M-102.5M-3.0M0.6210.806,0343,723135,006184,720
2008-09-04$67.36$65.0026.3%7.5%18.3%23.1%28.1%5.2%5.4%697.9K-27.3M-3.0M2.1714.219,61620,889133,963185,730
2008-09-05$68.44$67.5026.5%9.2%19.0%23.6%30.4%6.3%-0.3%4.8M-90.8M-3.1M2.0311.762,2794,635139,921194,980
2008-09-08$68.93$67.5025.6%9.1%18.2%20.0%32.4%6.8%0.4%4.8M-129.0M-3.1M0.419.686,6582,754137,696194,827
2008-09-09$68.63$67.5030.1%10.0%18.3%38.1%34.9%6.9%-1.5%4.3M-114.0M-3.1M0.469.863,3311,519140,867195,091
2008-09-10$69.43$67.5028.6%9.6%18.4%32.4%34.2%6.9%0.1%6.4M-175.4M-3.1M1.639.774,1986,852141,536194,988
2008-09-11$70.37$67.5033.0%9.5%18.2%49.8%33.4%6.9%0.0%9.8M-244.9M-3.0M0.9310.172,9792,773142,392195,617
2008-09-12$69.55$67.5033.5%9.6%18.9%52.0%34.1%6.9%0.2%7.9M-182.3M-3.0M1.1911.322,1192,523143,152195,433
2008-09-15$68.95$67.5035.7%10.2%18.7%60.8%37.2%6.8%-1.0%7.8M-155.5M-2.9M1.4012.262,9194,075143,383195,768
2008-09-16$68.88$67.5036.3%10.4%18.4%63.2%38.9%7.0%-1.2%9.1M-137.8M-2.9M1.3513.122,1252,872143,383195,950
2008-09-17$65.37$67.5041.7%11.9%26.0%84.8%41.6%7.2%-4.3%-7.4M129.4M-2.8M4.0718.036,03924,579143,667196,473
2008-09-18$68.23$67.5036.4%10.4%30.1%63.6%36.7%6.8%-3.1%7.6M-80.1M-2.8M0.6523.3611,1977,240144,718196,544
2008-09-19$66.09$67.5041.6%11.9%32.3%84.6%39.3%7.3%-5.6%-6.7M61.4M-2.7M1.0814.417,5698,160145,549195,349
2008-09-22$64.32$67.5041.8%12.0%33.0%85.3%42.0%6.2%-3.7%-6.7M154.8M-2.6M2.6810.763,2328,670100,719149,461
2008-09-23$64.16$67.5042.7%12.3%32.7%89.1%43.2%7.0%-3.7%-7.2M176.2M-2.7M1.4210.946,0128,553103,934155,957
2008-09-24$64.79$67.5041.4%11.9%32.9%83.6%41.3%7.6%-3.3%-6.8M147.4M-2.8M0.7214.273,5552,568107,188158,629
2008-09-25$65.98$67.5037.4%10.7%33.6%67.5%37.2%7.2%-3.3%-7.0M105.4M-2.7M5.5314.055,71631,586108,401159,159
2008-09-26$66.29$67.5036.4%10.4%33.1%63.7%37.6%7.2%-2.2%-7.5M118.3M-2.9M0.6613.985,1683,429109,805169,197
2008-09-29$63.20$67.5049.2%14.1%36.9%100.0%45.2%5.1%-6.7%-5.5M148.1M-2.5M1.8319.542,1543,934111,327147,637
2008-09-30$64.93$67.5043.0%12.3%37.7%78.4%43.5%6.3%-4.9%-5.3M108.2M-2.5M0.7515.152,6481,986112,075148,353