COST Options History — May 2009

In May 2009, COST traded between $44.75 and $49.14. ATM implied volatility averaged 33.0%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.0% (HV 20d: 31.0%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2009-05-13: Highest Volume — 33,245 contracts
  • 2009-05-13: Largest IV spike — 35.1% change
  • 2009-05-14: Highest IV Rank — 23.1%
  • 2009-05-13: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.19$44.75$49.14$47.69$48.52
Max Pain$47.38$45.00$47.50$45.00$47.50
ATM IV33.0%25.5%36.3%34.8%29.4%
Expected Move9.9%8.4%11.0%10.0%8.4%
HV 20d31.0%28.4%34.6%34.6%28.8%
HV 60d36.5%35.5%37.5%37.5%35.7%
IV Rank16.5%7.3%23.1%21.1%9.1%
IV Percentile36.0%8.7%51.2%44.0%22.6%
Term Structure-0.8%-3.1%1.5%1.5%1.3%
VWIV35.2%29.8%39.6%36.5%29.8%
Skew 25d5.6%3.5%7.3%6.3%4.0%
Skew 10d10.6%7.1%13.6%12.1%8.7%
Call IV 25d32.1%27.4%34.8%32.6%27.4%
Put IV 25d37.7%31.4%40.9%38.9%31.4%
Bid-Ask Spread %12.718.1218.4314.078.90
Gamma HHI0.260.190.590.200.21
Net GEX-5.0M-19.8M-1.4M-2.5M-2.5M
Net DEX70.6M6.1M210.4M33.0M26.4M
Net VEX-1.4M-1.5M-1.2M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.2410.892.340.86
Total Volume13,290.753,32433,2458,1217,203
Total OI207,045.35192,412225,818192,610225,818

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$47.69$45.0034.8%10.0%34.6%21.1%36.5%6.3%1.5%-2.5M33.0M-1.4M2.3414.072,4295,69276,754115,856
2009-05-04$47.71$47.5035.5%10.7%34.0%22.1%39.6%6.9%-2.0%-2.9M38.5M-1.4M1.0310.021,6351,68976,451119,838
2009-05-05$47.65$47.5034.2%10.5%32.9%20.2%37.3%6.5%-1.3%-3.1M43.7M-1.3M1.029.502,8402,89277,048120,391
2009-05-06$46.87$47.5033.8%10.4%31.8%19.6%37.2%7.3%-1.5%-4.0M64.5M-1.3M0.369.865,6212,02478,060121,451
2009-05-07$45.93$47.5034.4%10.6%30.9%20.4%37.0%6.3%-1.0%-4.9M95.3M-1.3M0.8114.628,8667,14879,654121,391
2009-05-08$46.60$47.5026.9%9.8%30.9%9.3%36.9%6.2%-0.5%-2.7M74.4M-1.3M1.2317.863,6464,47884,204122,214
2009-05-11$46.02$47.5032.6%10.3%30.9%17.8%35.8%5.5%-0.5%-5.0M90.7M-1.2M3.4817.731,2094,20882,562122,609
2009-05-12$46.91$47.5025.5%9.8%30.5%7.3%34.1%5.1%0.0%-1.4M49.4M-1.2M0.2418.1515,6413,77683,383121,330
2009-05-13$45.65$47.5034.5%11.0%32.1%20.5%39.4%6.0%-1.0%-6.8M118.3M-1.2M10.8918.432,79530,45078,635120,690
2009-05-14$44.80$47.5036.3%10.4%32.4%23.1%37.1%5.2%0.1%-13.5M195.9M-1.3M1.3410.555,4117,23078,910143,691
2009-05-15$44.75$47.5033.7%9.7%32.2%15.9%34.7%5.6%0.2%-19.8M210.4M-1.3M1.0716.187,2737,79080,166144,632
2009-05-18$46.09$47.5033.2%9.5%31.8%15.1%32.4%5.1%-0.5%-6.3M120.2M-1.3M0.6810.246,6324,49468,403124,009
2009-05-19$47.21$47.5031.0%8.9%28.4%11.6%31.0%4.8%-0.8%-4.9M74.5M-1.3M1.0110.819,3679,46070,806122,450
2009-05-20$48.78$47.5032.2%9.2%30.4%13.6%33.8%5.5%-1.5%-3.3M21.4M-1.4M1.178.1212,62414,79773,708126,583
2009-05-21$48.31$47.5035.3%10.1%30.5%18.4%34.6%5.1%-1.2%-4.3M48.5M-1.5M1.0512.354,1094,30179,506134,272
2009-05-22$48.30$47.5035.8%10.3%28.9%19.1%34.4%5.4%-2.0%-3.5M37.4M-1.5M0.4112.965,2642,17680,149131,263
2009-05-26$49.14$47.5034.6%9.9%29.2%17.3%35.4%5.9%-2.1%-2.5M6.1M-1.5M0.8514.544,1603,54181,920131,809
2009-05-27$48.83$47.5035.5%10.2%28.9%18.6%36.6%5.7%-3.1%-2.8M16.1M-1.5M0.399.4815,6246,15382,853133,294
2009-05-28$47.97$47.5030.4%8.7%29.4%10.7%30.4%3.5%0.6%-3.2M47.0M-1.4M1.019.8710,51410,65389,933134,211
2009-05-29$48.52$47.5029.4%8.4%28.8%9.1%29.8%4.0%1.3%-2.5M26.4M-1.4M0.868.903,8823,32189,448136,370