COST Options History — January 2009

In January 2009, COST traded between $45.03 and $53.35. ATM implied volatility averaged 37.9%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 9.1% (HV 20d: 28.8%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.66.

Notable Days

  • 2009-01-13: Highest Volume — 23,382 contracts
  • 2009-01-14: Largest IV spike — 14.9% change
  • 2009-01-14: Highest IV Rank — 35.8%
  • 2009-01-14: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.72$45.03$53.35$53.35$45.03
Max Pain$51.38$50.00$60.00$60.00$50.00
ATM IV37.9%33.2%44.8%38.0%35.3%
Expected Move10.8%9.5%12.3%10.9%10.1%
HV 20d28.8%25.3%35.1%35.1%28.6%
HV 60d49.3%41.2%58.0%57.9%41.2%
IV Rank25.5%18.6%35.8%25.8%21.8%
IV Percentile68.0%57.1%78.2%71.8%63.5%
Term Structure5.1%0.2%8.4%0.2%6.4%
VWIV38.1%30.9%45.0%37.2%35.8%
Skew 25d7.9%5.7%9.5%6.4%5.7%
Skew 10d14.6%7.6%18.5%11.1%9.7%
Call IV 25d34.2%29.4%38.7%34.3%33.7%
Put IV 25d42.0%35.9%46.9%40.7%39.3%
Bid-Ask Spread %12.418.1917.938.1910.21
Gamma HHI0.250.170.440.310.23
Net GEX-3.5M-10.6M-1.3M-2.4M-3.1M
Net DEX204.5M86.4M340.7M210.8M154.3M
Net VEX-1.2M-1.2M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.346.500.792.59
Total Volume11,101.62,24423,3826,24811,091
Total OI218,545.35137,642298,316250,559173,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$53.35$60.0038.0%10.9%35.1%25.8%37.2%6.4%0.2%-2.4M210.8M-1.2M0.798.193,4982,750119,089131,470
2009-01-05$52.29$52.5039.0%11.0%34.7%27.2%40.4%8.9%4.6%-3.6M241.6M-1.1M0.4913.908,7814,304119,072132,860
2009-01-06$51.45$52.5038.6%10.6%29.0%26.7%39.2%7.7%5.5%-2.8M250.1M-1.1M0.9916.903,8593,829125,684134,082
2009-01-07$50.12$52.5041.5%11.7%30.0%30.9%43.1%8.5%2.8%-3.9M277.7M-1.1M6.5011.742,54316,518127,069134,088
2009-01-08$50.65$52.5040.8%11.6%27.7%29.9%40.1%8.8%2.6%-4.2M268.4M-1.1M2.4212.823,0487,374127,223138,528
2009-01-09$49.14$52.5037.9%11.2%28.9%25.6%39.2%8.6%4.6%-6.1M314.5M-1.1M2.9810.582,9578,812128,016138,606
2009-01-12$49.43$52.5041.3%11.6%27.3%30.6%43.1%9.0%3.2%-7.0M309.2M-1.1M3.2512.893,42411,139128,748140,189
2009-01-13$48.94$52.5039.0%11.3%25.3%27.2%38.3%8.4%4.1%-10.6M340.7M-1.1M0.4412.0116,2527,130130,528145,731
2009-01-14$47.63$50.0044.8%12.3%26.4%35.8%45.0%8.3%3.1%-5.0M320.3M-1.1M2.3514.145,10912,005143,798139,522
2009-01-15$48.47$50.0042.8%12.3%27.4%32.8%41.4%9.5%1.9%-6.0M315.9M-1.2M0.9913.095,1355,086147,159146,828
2009-01-16$48.80$50.0036.8%10.5%26.6%23.9%38.3%8.2%5.6%-1.7M319.4M-1.2M0.9717.933,3823,285149,919148,397
2009-01-20$47.22$50.0040.9%11.7%28.1%30.0%40.8%8.7%5.8%-1.3M86.4M-1.2M2.9114.034,89214,25666,21271,430
2009-01-21$47.90$50.0036.1%10.4%29.1%23.0%38.0%8.1%7.5%-1.7M90.3M-1.2M1.069.665,2615,58469,11278,991
2009-01-22$47.45$50.0035.5%10.2%28.6%22.1%35.5%8.5%8.1%-1.8M95.6M-1.2M0.4810.502,6901,30372,19280,172
2009-01-23$46.97$50.0034.1%9.8%27.8%20.0%35.2%7.6%8.4%-2.1M104.1M-1.2M0.6711.942,3961,61172,80480,404
2009-01-26$47.35$50.0034.0%9.7%28.0%19.8%33.3%8.2%8.1%-1.9M98.5M-1.2M0.7312.981,29994574,20781,157
2009-01-27$47.90$50.0034.2%9.8%28.6%20.1%31.5%5.7%6.8%-1.8M88.6M-1.2M0.408.925,6682,26874,57581,432
2009-01-28$47.81$50.0033.2%9.5%28.4%18.7%30.9%6.5%5.7%-1.6M89.8M-1.2M0.3414.003,3181,12477,34580,859
2009-01-29$46.45$50.0033.2%9.5%29.6%18.6%34.6%5.7%7.0%-2.2M114.0M-1.1M1.8011.886,47111,63579,38580,914
2009-01-30$45.03$50.0035.3%10.1%28.6%21.8%35.8%5.7%6.4%-3.1M154.3M-1.1M2.5910.213,0878,00483,94989,161