COST Options History — April 2009

In April 2009, COST traded between $44.34 and $48.91. ATM implied volatility averaged 36.7%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.4% (HV 20d: 39.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2009-04-09: Highest Volume — 48,605 contracts
  • 2009-04-09: Largest IV drop — 15.8% change
  • 2009-04-02: Highest IV Rank — 27.8%
  • 2009-04-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.92$44.34$48.91$46.35$48.60
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV36.7%33.0%39.4%36.9%36.4%
Expected Move10.5%9.5%11.3%10.6%10.4%
HV 20d39.1%35.5%42.0%42.0%36.3%
HV 60d39.6%38.4%40.8%38.4%40.1%
IV Rank23.8%18.4%27.8%24.1%23.3%
IV Percentile53.9%42.1%64.7%57.5%51.6%
Term Structure1.2%-1.2%3.2%0.6%0.5%
VWIV38.0%35.2%43.8%39.1%35.8%
Skew 25d7.6%5.9%10.0%7.0%8.2%
Skew 10d14.9%10.4%19.0%13.7%15.1%
Call IV 25d33.5%30.3%36.1%36.1%31.5%
Put IV 25d41.1%37.8%44.4%43.1%39.7%
Bid-Ask Spread %12.706.0017.476.0010.71
Gamma HHI0.170.140.230.140.19
Net GEX-730.3K-2.7M1.3M18.2K-1.7M
Net DEX28.0M-41.7M75.7M38.1M5.6M
Net VEX-1.3M-1.4M-1.1M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.3511.631.751.04
Total Volume11,318.4292,64848,6054,1456,011
Total OI202,133.429141,067241,501217,769191,772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$46.35$45.0036.9%10.6%42.0%24.1%39.1%7.0%0.6%18.2K38.1M-1.4M1.756.001,5052,640109,488108,281
2009-04-02$48.07$45.0039.4%11.3%40.9%27.8%40.5%7.7%-1.2%1.2M-17.4M-1.4M1.047.043,2243,361109,769109,096
2009-04-03$48.91$45.0034.3%10.2%39.9%20.2%39.7%9.9%2.8%1.3M-41.7M-1.4M0.8414.741,4361,212110,271110,571
2009-04-06$47.74$45.0038.7%11.1%40.9%26.8%37.9%9.5%0.7%742.1K-6.6M-1.3M1.4114.732,3143,262110,667110,885
2009-04-07$46.39$45.0038.9%11.1%41.3%27.0%43.8%9.1%1.5%-58.0K34.7M-1.3M11.6317.471,47017,089111,105112,489
2009-04-08$47.70$45.0039.3%11.1%41.1%27.6%39.2%10.0%1.5%-423.5K15.0M-1.4M2.4914.992,8537,113111,401125,812
2009-04-09$46.90$45.0033.0%9.5%41.1%18.4%36.3%7.5%2.0%-1.3M40.0M-1.3M5.8413.337,10341,502112,223129,278
2009-04-13$46.41$45.0035.6%10.2%40.4%22.2%36.0%6.9%0.8%-618.2K36.3M-1.2M0.9112.583,3223,007114,010122,531
2009-04-14$45.35$45.0038.7%11.1%41.6%26.8%39.2%6.9%-0.2%-1.0M74.1M-1.2M2.1812.162,2364,881114,653119,332
2009-04-15$45.66$45.0038.5%11.0%38.9%26.5%39.6%6.9%-0.3%-553.4K55.8M-1.2M1.7712.511,5632,774114,753117,918
2009-04-16$46.23$45.0037.7%10.8%39.0%25.2%35.9%7.2%-0.2%-21.2K24.7M-1.1M1.0514.593,1563,325110,791112,393
2009-04-17$45.77$45.0035.8%10.3%38.9%22.5%35.7%6.9%0.6%-869.0K29.7M-1.1M0.3517.174,4171,527110,987112,509
2009-04-20$44.34$45.0036.2%10.4%40.5%23.1%37.3%5.9%2.6%-1.5M75.7M-1.1M1.8610.694,1927,81061,46179,606
2009-04-21$46.46$45.0033.6%9.6%38.3%19.2%36.8%7.0%3.2%-1.0M39.4M-1.1M3.3415.934,97316,61263,82184,588
2009-04-22$47.07$45.0035.4%10.1%37.8%21.9%37.8%7.6%3.0%-1.1M26.7M-1.2M0.8614.396,3675,48366,12089,061
2009-04-23$46.83$45.0034.5%9.9%37.7%20.6%37.1%7.7%3.2%-446.6K25.3M-1.2M6.1916.653,12119,31068,52685,884
2009-04-24$48.17$45.0035.3%10.1%37.0%21.7%35.2%7.3%2.0%-1.5M15.8M-1.3M0.6510.086,1834,03569,543103,975
2009-04-27$47.64$45.0038.7%11.1%36.3%26.8%38.4%6.6%0.6%-1.7M25.9M-1.3M1.277.163,2834,16772,409106,599
2009-04-28$47.07$45.0037.6%10.8%35.5%25.1%38.8%6.5%1.4%-2.2M45.0M-1.3M3.6910.472,78810,29973,281107,742
2009-04-29$47.67$45.0036.7%10.5%35.7%23.8%38.8%7.1%0.9%-2.7M45.3M-1.4M0.4013.224,8431,91873,318115,883
2009-04-30$48.60$45.0036.4%10.4%36.3%23.3%35.8%8.2%0.5%-1.7M5.6M-1.4M1.0410.712,9403,07176,183115,589