COST Options History — November 2008

In November 2008, COST traded between $44.99 and $55.09. ATM implied volatility averaged 63.6%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 0.4% (HV 20d: 64.0%). Max pain ranged from $52.50 to $62.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.91.

Notable Days

  • 2008-11-17: Highest Volume — 38,048 contracts
  • 2008-11-04: Largest IV drop — 15.8% change
  • 2008-11-20: Highest IV Rank — 90.5%
  • 2008-11-20: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.32$44.99$55.09$53.47$51.47
Max Pain$57.63$52.50$62.50$62.50$52.50
ATM IV63.6%50.6%81.8%62.1%55.3%
Expected Move18.5%15.0%23.5%17.8%15.8%
HV 20d64.0%50.6%78.6%78.6%51.1%
HV 60d54.2%51.7%57.0%51.7%57.0%
IV Rank63.6%44.4%90.5%61.4%51.2%
IV Percentile95.0%86.5%99.6%96.8%86.5%
Term Structure-0.9%-5.3%4.9%-0.2%4.6%
VWIV65.8%54.1%83.7%60.7%56.3%
Skew 25d15.2%10.6%19.1%14.2%15.1%
Skew 10d30.9%23.2%37.5%27.6%34.3%
Call IV 25d57.6%47.6%74.8%54.4%50.9%
Put IV 25d72.8%59.6%91.1%68.6%66.0%
Bid-Ask Spread %13.759.2120.5113.8614.22
Gamma HHI0.180.100.290.170.10
Net GEX-6.9M-10.4M-3.4M-6.0M-3.4M
Net DEX402.9M279.7M511.1M364.0M279.7M
Net VEX-1.7M-2.0M-1.4M-1.9M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.6613.101.041.82
Total Volume18,114.7892,81238,0488,9292,812
Total OI291,098.842237,515325,086278,321255,351

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$53.47$62.5062.1%17.8%78.6%61.4%60.7%14.2%-0.2%-6.0M364.0M-1.9M1.0413.864,3694,560112,268166,053
2008-11-04$55.09$60.0052.3%15.0%78.2%46.9%56.6%12.0%3.0%-6.0M330.1M-2.0M2.0912.403,8678,067114,504167,047
2008-11-05$53.71$60.0055.8%16.0%78.5%52.1%58.8%10.6%2.7%-6.6M370.3M-1.9M1.7912.025,3129,505115,720171,128
2008-11-06$53.51$60.0058.4%16.7%76.7%55.9%60.6%11.8%1.3%-6.3M368.0M-1.9M1.5915.444,9177,814118,877171,308
2008-11-07$54.07$57.5050.6%16.3%76.8%44.4%60.7%15.9%-2.5%-6.5M352.6M-2.0M3.7711.592,1848,227122,669175,260
2008-11-10$53.00$57.5056.6%17.2%67.5%53.2%55.8%15.2%-5.3%-8.1M411.1M-1.8M1.3212.018,61111,329122,953181,531
2008-11-11$52.28$57.5056.7%17.3%67.4%53.4%54.1%14.5%-0.6%-7.6M420.2M-1.7M1.6711.947,89213,188121,899178,803
2008-11-12$48.78$57.5062.1%18.5%65.0%61.3%64.6%13.9%-2.9%-7.4M491.0M-1.5M3.1313.617,13422,297120,545178,679
2008-11-13$49.97$57.5065.1%18.7%58.9%65.8%70.7%17.8%-3.2%-7.7M452.0M-1.6M1.1413.3411,97113,690121,654179,122
2008-11-14$48.06$57.5069.0%19.8%59.8%71.5%68.6%14.9%-4.5%-7.5M471.5M-1.6M4.3712.116,60828,883125,833180,738
2008-11-17$47.31$57.5072.2%20.7%59.7%76.3%69.7%15.0%-4.4%-8.2M483.0M-1.5M13.109.212,69935,349127,433182,925
2008-11-18$46.76$57.5072.6%20.8%58.7%77.0%79.0%17.1%-3.9%-10.2M502.8M-1.5M2.4913.954,38810,930128,343190,580
2008-11-19$45.27$57.5078.7%22.6%58.1%85.9%81.7%15.7%-3.7%-10.1M511.1M-1.4M2.9713.992,4577,291129,564192,400
2008-11-20$44.99$57.5081.8%23.5%57.7%90.5%83.7%16.3%-1.6%-10.4M501.9M-1.5M3.7116.665,54620,561130,181190,620
2008-11-21$46.71$57.5074.0%21.2%59.5%78.9%78.4%15.3%-0.4%-8.1M475.7M-1.5M6.3115.653,54722,387132,928192,158
2008-11-24$49.45$57.5065.0%18.6%62.9%65.7%71.0%19.1%-0.3%-3.4M300.0M-1.6M1.3820.515,6287,77399,984137,531
2008-11-25$50.67$55.0064.0%18.3%50.6%64.2%60.1%18.2%0.3%-3.6M287.2M-1.6M0.9612.495,2615,026102,647142,912
2008-11-26$51.45$55.0055.9%16.0%51.1%52.3%59.5%15.9%4.9%-3.5M282.4M-1.6M0.6616.187,2784,823105,060143,670
2008-11-28$51.47$52.5055.3%15.8%51.1%51.2%56.3%15.1%4.6%-3.4M279.7M-1.6M1.8214.229971,815109,155146,196