COST Options History — February 2009

In February 2009, COST traded between $41.17 and $46.12. ATM implied volatility averaged 39.6%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 1.5% (HV 20d: 38.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.55.

Notable Days

  • 2009-02-04: Highest Volume — 64,362 contracts
  • 2009-02-05: Largest IV drop — 12.0% change
  • 2009-02-23: Highest IV Rank — 40.6%
  • 2009-02-23: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.30$41.17$46.12$45.30$42.34
Max Pain$45.66$45.00$50.00$50.00$45.00
ATM IV39.6%30.5%48.0%37.3%42.7%
Expected Move11.8%8.7%13.8%10.7%12.2%
HV 20d38.2%27.7%42.0%27.7%41.7%
HV 60d40.8%36.6%43.6%40.7%36.6%
IV Rank28.1%14.6%40.6%24.7%32.6%
IV Percentile68.5%47.2%79.0%67.1%72.2%
Term Structure-0.0%-2.9%6.7%6.6%-1.5%
VWIV41.3%32.7%45.6%36.6%42.4%
Skew 25d7.8%5.9%9.6%6.6%8.6%
Skew 10d14.7%11.1%18.0%11.7%13.4%
Call IV 25d37.3%29.8%42.0%34.4%39.2%
Put IV 25d45.1%36.7%51.5%41.0%47.8%
Bid-Ask Spread %11.657.1316.2414.6014.35
Gamma HHI0.220.170.250.220.24
Net GEX-2.1M-3.8M-513.9K-3.5M-2.9M
Net DEX163.0M130.8M204.3M152.5M140.0M
Net VEX-1.1M-1.3M-950.9K-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.537.360.530.70
Total Volume14,432.7895,46664,36214,39113,409
Total OI209,571175,217230,242175,903202,262

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$45.30$50.0037.3%10.7%27.7%24.7%36.6%6.6%6.6%-3.5M152.5M-1.2M0.5314.609,3845,00784,25091,653
2009-02-03$46.12$50.0036.1%10.3%28.8%22.9%35.6%5.9%6.3%-3.4M130.8M-1.2M0.8110.583,0122,45488,85394,640
2009-02-04$42.98$47.5034.6%9.9%36.6%20.7%33.8%7.0%5.7%-3.8M203.3M-1.0M1.0713.2331,13133,23190,32895,073
2009-02-05$43.83$45.0030.5%8.7%37.4%14.6%32.7%6.9%6.7%-2.1M183.3M-1.2M0.7416.244,3453,235109,054110,474
2009-02-06$45.21$45.0032.1%11.0%39.3%17.1%39.0%8.0%-0.2%-1.8M136.6M-1.3M0.6610.6010,0286,666109,006111,338
2009-02-09$45.17$45.0032.4%11.2%38.2%17.5%41.3%8.1%-0.6%-1.5M132.0M-1.2M0.6413.554,5252,881111,820112,764
2009-02-10$43.97$45.0034.6%11.8%38.9%20.8%42.0%7.9%-1.3%-1.6M170.8M-1.2M0.9312.768,6558,025112,620113,319
2009-02-11$43.54$45.0036.6%12.6%38.8%23.7%44.9%8.5%-2.9%-1.8M187.1M-1.2M1.4514.932,8234,086114,670115,572
2009-02-12$44.32$45.0040.7%11.7%38.9%29.8%40.9%8.0%-1.8%-1.1M133.9M-1.2M2.0412.492,3144,724115,665109,106
2009-02-13$42.76$45.0041.6%11.9%39.6%31.0%39.5%7.7%-1.3%-1.5M190.3M-1.1M1.1610.775,4276,302116,139108,861
2009-02-17$42.12$45.0044.4%12.7%39.4%35.2%44.6%8.6%-2.1%-1.7M204.3M-1.1M0.569.357,6524,323116,654108,309
2009-02-18$42.38$45.0043.8%12.6%38.5%34.3%44.0%8.2%-1.9%-1.3M195.8M-1.0M7.369.991,85613,655117,220108,417
2009-02-19$42.62$45.0043.6%12.5%38.0%34.1%44.0%9.6%-1.8%-513.9K169.8M-1.0M1.9512.033,0455,945117,545106,453
2009-02-20$42.76$45.0043.7%12.5%38.1%34.2%43.2%9.1%-1.3%-909.0K162.8M-1.1M1.5511.794,8847,583118,174108,179
2009-02-23$41.17$45.0048.0%13.8%39.8%40.6%45.6%9.6%-2.3%-2.3M154.4M-950.9K3.309.835,04816,67088,04187,176
2009-02-24$42.55$45.0043.4%12.4%42.0%33.7%44.8%7.8%-1.8%-2.7M141.7M-1.1M1.419.156,5709,25491,11597,379
2009-02-25$42.00$45.0043.2%12.4%41.6%33.4%44.4%6.4%-2.0%-3.0M149.6M-1.1M1.117.134,0954,55794,394102,417
2009-02-26$41.55$45.0043.4%12.5%41.6%33.8%44.6%6.3%-2.5%-3.2M158.4M-1.1M1.508.032,9724,45097,329105,580
2009-02-27$42.34$45.0042.7%12.2%41.7%32.6%42.4%8.6%-1.5%-2.9M140.0M-1.1M0.7014.357,8985,51197,167105,095