COST Options History — June 2009

In June 2009, COST traded between $45.04 and $49.70. ATM implied volatility averaged 28.9%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.6% (HV 20d: 24.3%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2009-06-22: Highest Volume — 38,056 contracts
  • 2009-06-25: Largest IV drop — 25.4% change
  • 2009-06-18: Highest IV Rank — 17.0%
  • 2009-06-18: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.77$45.04$49.70$49.70$45.78
Max Pain$46.93$45.00$47.50$47.50$45.00
ATM IV28.9%22.1%34.5%29.1%25.1%
Expected Move8.4%6.3%9.9%8.3%7.2%
HV 20d24.3%18.2%30.2%29.1%18.3%
HV 60d31.5%27.7%35.3%35.3%27.7%
IV Rank8.7%0.0%17.0%8.7%4.5%
IV Percentile18.8%0.0%38.9%22.2%5.2%
Term Structure1.5%-0.5%3.5%0.1%2.3%
VWIV29.9%23.2%34.5%29.9%24.8%
Skew 25d4.3%1.6%6.2%3.9%3.3%
Skew 10d8.4%3.1%12.6%8.2%10.2%
Call IV 25d27.6%22.5%32.0%27.8%22.8%
Put IV 25d31.9%24.1%36.8%31.6%26.0%
Bid-Ask Spread %9.245.5513.379.197.57
Gamma HHI0.330.210.490.210.35
Net GEX-5.6M-9.5M-45.7K-45.7K-6.1M
Net DEX86.8M-36.2M173.0M-36.2M99.9M
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 Ratio1.510.276.370.551.03
Total Volume10,701.5452,36338,0566,30711,443
Total OI230,636.136200,275261,408225,788224,614

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$49.70$47.5029.1%8.3%29.1%8.7%29.9%3.9%0.1%-45.7K-36.2M-1.4M0.559.194,0742,23389,973135,815
2009-06-02$49.45$47.5029.6%8.5%29.2%9.5%33.6%3.5%-0.2%-453.6K-24.9M-1.4M2.027.582,3034,65790,527136,126
2009-06-03$48.47$47.5031.7%9.1%30.2%12.7%30.3%5.9%-0.3%-2.4M26.1M-1.4M0.3412.713,7821,28290,500137,005
2009-06-04$47.87$47.5029.8%8.6%30.0%9.9%31.0%5.2%1.1%-2.6M45.1M-1.4M2.398.375,10312,21693,639135,349
2009-06-05$47.64$47.5028.5%8.7%29.0%7.8%30.9%5.1%1.2%-3.7M59.6M-1.3M1.0912.333,3173,60892,531135,197
2009-06-08$47.53$47.5029.8%8.8%28.6%9.8%31.7%4.8%1.2%-3.7M59.5M-1.3M0.7713.371,5911,22792,356133,538
2009-06-09$47.13$47.5025.5%8.4%28.4%3.2%29.6%4.3%2.2%-5.2M81.6M-1.3M1.289.267,5239,65992,543132,815
2009-06-10$46.59$47.5024.9%8.2%27.9%2.2%28.2%5.4%3.0%-7.5M113.6M-1.3M0.5810.454,0832,35597,473136,998
2009-06-11$46.27$47.5028.4%8.1%26.2%7.7%29.9%4.7%2.5%-7.1M119.8M-1.3M0.8211.601,3821,13198,245135,672
2009-06-12$47.03$47.5027.9%8.0%25.7%6.9%29.0%5.1%3.3%-5.5M79.2M-1.3M1.078.351,6401,75898,075135,558
2009-06-15$46.33$47.5029.5%8.5%26.4%9.4%29.5%5.0%2.1%-7.2M115.2M-1.2M0.2710.746,9551,84898,241135,669
2009-06-16$45.95$47.5031.3%9.0%24.5%12.1%30.5%4.5%1.7%-7.9M124.2M-1.3M0.589.321,500863103,250136,085
2009-06-17$46.59$47.5029.7%8.5%23.4%9.7%31.1%4.8%2.5%-6.7M85.8M-1.3M0.558.145,7183,141103,008135,794
2009-06-18$46.24$47.5034.5%9.9%19.9%17.0%34.5%6.2%-0.5%-6.0M109.7M-1.3M5.0812.524,83024,514105,923136,130
2009-06-19$46.11$47.5032.2%9.2%19.7%13.5%32.5%4.7%0.8%-7.3M132.4M-1.4M1.589.042,1843,442107,701153,707
2009-06-22$45.35$47.5034.2%9.8%20.3%16.5%33.9%4.6%-0.3%-6.8M131.6M-1.3M3.207.449,05129,00579,811120,464
2009-06-23$45.07$47.5032.9%9.4%18.9%14.7%33.6%3.9%-0.1%-9.3M173.0M-1.5M1.3310.184,9226,54585,659141,450
2009-06-24$45.04$45.0030.9%8.9%18.9%11.5%30.5%3.6%-0.0%-9.5M170.5M-1.5M0.766.254,9943,78589,227143,388
2009-06-25$46.28$45.0023.1%6.6%21.1%0.0%24.7%2.7%2.7%-9.0M98.4M-1.5M6.376.283,82824,39992,755145,167
2009-06-26$46.41$45.0022.1%6.3%20.6%0.0%23.2%1.6%3.5%-4.7M68.2M-1.4M1.137.081,1821,33293,804129,561
2009-06-29$46.20$45.0024.1%6.9%18.2%3.1%23.7%2.5%3.2%-5.1M78.1M-1.4M0.535.553,2821,74793,668128,984
2009-06-30$45.78$45.0025.1%7.2%18.3%4.5%24.8%3.3%2.3%-6.1M99.9M-1.4M1.037.575,6395,80495,610129,004