COST Options History — March 2009

In March 2009, COST traded between $38.44 and $48.46. ATM implied volatility averaged 38.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.1% (HV 20d: 39.3%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2009-03-04: Highest Volume — 41,494 contracts
  • 2009-03-04: Largest IV drop — 20.5% change
  • 2009-03-02: Highest IV Rank — 47.4%
  • 2009-03-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.27$38.44$48.46$40.84$46.32
Max Pain$44.77$42.50$45.00$45.00$45.00
ATM IV38.2%32.6%52.6%52.6%38.0%
Expected Move11.1%9.3%15.1%15.1%10.9%
HV 20d39.3%31.1%43.4%42.1%42.0%
HV 60d35.8%32.7%38.9%36.0%38.5%
IV Rank26.1%17.8%47.4%47.4%25.7%
IV Percentile60.6%46.0%81.7%81.7%60.7%
Term Structure1.0%-5.2%3.9%-5.2%-0.3%
VWIV39.2%34.1%50.9%50.9%39.7%
Skew 25d7.3%6.6%8.2%8.0%7.7%
Skew 10d14.2%12.1%17.5%17.5%12.6%
Call IV 25d35.8%30.4%47.5%47.5%36.5%
Put IV 25d43.1%37.4%55.5%55.5%44.2%
Bid-Ask Spread %9.766.1412.7611.9811.52
Gamma HHI0.240.140.360.230.16
Net GEX-1.1M-4.4M1.9M-2.8M466.4K
Net DEX94.4M-24.1M238.2M166.1M27.9M
Net VEX-1.1M-1.3M-909.8K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.428.971.941.88
Total Volume12,688.4553,17641,49421,17520,936
Total OI218,515.227180,590239,647204,813202,367

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$40.84$45.0052.6%15.1%42.1%47.4%50.9%8.0%-5.2%-2.8M166.1M-1.1M1.9411.987,19713,978100,044104,769
2009-03-03$40.69$45.0049.2%14.1%42.0%42.3%48.3%6.9%-3.5%-3.0M172.1M-1.1M1.0812.646,4796,990102,721108,509
2009-03-04$40.81$42.5039.1%11.2%41.2%27.4%38.3%6.7%1.1%-3.7M184.0M-1.0M1.128.8319,56021,934105,535112,225
2009-03-05$39.56$42.5040.3%11.6%34.9%29.1%39.4%6.6%1.2%-3.9M212.9M-1.0M0.8312.765,7554,764114,377118,558
2009-03-06$38.98$45.0035.9%11.7%33.9%22.7%41.4%7.2%2.3%-4.3M230.0M-934.9K1.3910.254,5266,293114,159117,661
2009-03-09$38.44$45.0042.9%12.6%31.1%33.0%42.3%7.3%1.0%-4.4M238.2M-909.8K0.7011.202,8882,033115,138119,157
2009-03-10$40.14$45.0035.9%11.2%36.0%22.7%39.1%7.3%2.7%-3.7M192.4M-981.8K0.439.797,7093,294116,395118,274
2009-03-11$39.56$45.0034.9%11.0%35.3%21.2%38.4%6.7%3.1%-4.1M207.0M-942.1K0.587.593,0741,791118,595118,422
2009-03-12$40.86$45.0038.8%11.1%37.7%27.0%40.2%7.3%2.6%-2.5M159.2M-1.0M8.9710.851,28611,539118,456118,724
2009-03-13$42.20$45.0036.9%10.6%39.1%24.1%39.2%7.2%2.8%86.8K101.8M-1.0M2.238.964,3269,668118,672112,794
2009-03-16$42.12$45.0037.3%10.7%37.0%24.7%37.6%7.9%1.8%-606.6K114.4M-1.0M0.917.955,6585,135118,789118,200
2009-03-17$43.98$45.0033.4%9.6%39.7%18.9%37.4%7.7%2.8%1.9M30.2M-1.0M0.727.456,3554,585119,468112,128
2009-03-18$44.46$45.0034.1%9.8%39.8%20.0%34.1%8.0%2.8%1.3M10.3M-1.1M0.5411.936,2453,375119,890112,760
2009-03-19$45.12$45.0036.1%10.3%40.0%22.9%36.6%6.9%2.3%915.7K-24.1M-1.1M1.1712.395,6586,630121,059113,855
2009-03-20$44.83$45.0035.6%10.2%40.2%22.2%36.3%7.0%3.9%402.8K1.0M-1.1M0.439.2210,3144,458121,612118,035
2009-03-23$47.54$45.0032.6%9.3%41.9%17.8%34.5%7.0%1.4%126.4K8.4M-1.2M0.427.617,3383,11692,38688,204
2009-03-24$46.46$45.0034.6%9.9%42.1%20.7%35.0%6.7%-0.0%419.1K21.9M-1.2M1.006.685,5035,49797,00089,361
2009-03-25$46.81$45.0034.9%10.0%41.6%21.2%37.3%7.6%0.5%360.4K18.9M-1.2M1.597.663,2795,22598,41492,251
2009-03-26$48.46$45.0037.7%10.8%42.4%25.4%36.7%7.9%-0.4%1.5M-22.6M-1.3M0.5310.7811,3155,98399,90794,297
2009-03-27$47.40$45.0037.9%10.9%43.4%25.6%38.3%7.4%-0.5%1.3M524.3K-1.3M0.826.142,3541,927105,29597,341
2009-03-30$46.25$45.0042.4%12.2%42.1%32.3%41.4%8.2%-0.7%554.1K27.0M-1.2M0.6810.501,8871,289104,83996,692
2009-03-31$46.32$45.0038.0%10.9%42.0%25.7%39.7%7.7%-0.3%466.4K27.9M-1.2M1.8811.527,27913,657105,32397,044