COST Options History — December 2008

In December 2008, COST traded between $47.91 and $55.58. ATM implied volatility averaged 50.7%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.8% (HV 20d: 51.5%). Max pain ranged from $52.50 to $62.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2008-12-11: Highest Volume — 57,384 contracts
  • 2008-12-11: Largest IV drop — 18.1% change
  • 2008-12-01: Highest IV Rank — 74.4%
  • 2008-12-01: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.48$47.91$55.58$47.91$52.50
Max Pain$59.89$52.50$62.50$52.50$60.00
ATM IV50.7%38.1%70.9%70.9%38.1%
Expected Move14.1%10.9%20.3%20.3%10.9%
HV 20d51.5%35.8%59.6%56.2%35.8%
HV 60d59.8%58.5%61.4%58.5%58.5%
IV Rank44.5%25.9%74.4%74.4%25.9%
IV Percentile82.4%72.2%96.8%96.8%72.2%
Term Structure0.2%-6.1%4.5%-5.0%-0.0%
VWIV50.3%38.0%73.8%73.8%39.6%
Skew 25d10.0%5.4%18.6%16.1%6.1%
Skew 10d20.5%9.1%37.0%32.1%11.1%
Call IV 25d45.4%35.9%63.3%63.3%35.9%
Put IV 25d55.3%41.9%79.4%79.4%41.9%
Bid-Ask Spread %11.506.1318.5015.496.13
Gamma HHI0.210.090.360.110.33
Net GEX-2.6M-5.9M1.8M-3.6M-3.2M
Net DEX239.7M121.3M331.1M331.1M237.3M
Net VEX-1.5M-1.9M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.102.310.981.36
Total Volume15,897.8642,38857,3845,3735,102
Total OI292,898.045247,924361,044256,396249,696

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$47.91$52.5070.9%20.3%56.2%74.4%73.8%16.1%-5.0%-3.6M331.1M-1.4M0.9815.492,7102,663109,399146,997
2008-12-02$50.10$52.5066.0%18.9%55.3%67.1%64.1%18.6%-3.8%-3.5M294.8M-1.6M0.5413.907,2513,914110,303147,642
2008-12-03$51.42$52.5059.7%17.1%55.0%57.8%64.0%15.7%1.5%-3.2M271.8M-1.6M0.3617.9812,0704,321115,426149,910
2008-12-04$52.75$52.5061.9%17.7%55.2%61.1%61.4%14.8%-6.1%-2.1M221.8M-1.7M0.3818.508,6253,318123,603152,344
2008-12-05$55.58$62.5055.9%15.2%58.4%52.2%50.5%12.9%1.2%-625.6K121.3M-1.9M0.6211.967,2244,469129,538152,528
2008-12-08$55.19$62.5059.8%15.2%58.3%57.9%54.2%10.0%-1.5%-709.5K137.7M-1.8M1.4111.939,29213,115130,551151,959
2008-12-09$53.10$62.5064.7%15.4%59.6%65.2%58.0%11.7%-1.0%-1.6M208.8M-1.8M0.9112.2315,62714,263135,882159,317
2008-12-10$53.69$62.5062.8%14.8%59.5%62.4%54.9%11.0%-0.7%-1.3M202.9M-1.8M1.8714.4714,63827,347142,610169,907
2008-12-11$52.06$62.5051.5%14.8%54.8%45.7%53.8%9.1%3.4%-5.9M313.8M-1.7M1.3511.4424,45332,931144,359188,048
2008-12-12$53.40$62.5051.0%14.6%54.9%45.0%48.8%9.8%0.9%-1.8M207.6M-1.8M2.3113.9711,43126,369158,925192,919
2008-12-15$52.74$60.0051.4%14.7%52.9%45.6%54.6%9.9%0.1%-3.6M250.8M-1.7M1.1613.125,1215,925164,484193,793
2008-12-16$53.03$60.0047.6%13.6%52.4%39.9%48.1%9.9%1.6%-3.4M244.2M-1.6M1.2510.909,54211,920164,051196,158
2008-12-17$53.94$60.0044.9%12.9%52.1%35.9%47.1%9.2%3.9%-992.7K184.4M-1.6M0.8011.165,9714,794162,580198,464
2008-12-18$54.15$62.5043.7%12.5%50.0%34.1%44.8%8.5%4.1%1.8M176.3M-1.6M1.4910.824,0075,952157,872191,273
2008-12-19$53.79$62.5041.1%11.8%50.0%30.4%43.1%8.3%4.5%-3.2M200.3M-1.4M0.689.228,0175,473157,300191,840
2008-12-22$52.72$62.5041.4%11.9%49.8%30.8%43.3%7.1%0.9%-3.1M266.0M-1.3M0.9010.873,9373,549112,623135,689
2008-12-23$51.47$62.5039.4%11.3%47.1%27.8%41.5%6.8%1.0%-3.3M290.6M-1.3M1.097.911,7701,925114,893137,276
2008-12-24$51.69$62.5039.1%11.2%46.4%27.4%38.0%6.1%0.5%-3.3M279.4M-1.3M0.108.375,797605115,394135,906
2008-12-26$51.47$60.0038.9%11.1%46.1%27.0%39.2%6.7%0.4%-2.7M281.6M-1.2M0.307.551,830558119,580135,990
2008-12-29$50.83$60.0043.6%12.5%46.3%34.0%44.4%5.4%-1.5%-3.7M279.6M-1.2M0.857.883,4402,928115,688132,236
2008-12-30$51.13$60.0042.1%12.1%37.9%31.8%39.1%5.5%-0.6%-3.7M271.8M-1.2M0.257.174,4441,115116,732132,072
2008-12-31$52.50$60.0038.1%10.9%35.8%25.9%39.6%6.1%-0.0%-3.2M237.3M-1.2M1.366.132,1652,937118,155131,541