COST Options History — July 2009

In July 2009, COST traded between $44.54 and $49.50. ATM implied volatility averaged 25.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.8% (HV 20d: 25.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2009-07-20: Highest Volume — 25,912 contracts
  • 2009-07-06: Largest IV spike — 13.3% change
  • 2009-07-08: Highest IV Rank — 13.4%
  • 2009-07-08: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.16$44.54$49.50$45.79$49.50
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV25.1%22.9%31.0%23.6%23.5%
Expected Move7.4%6.6%8.8%6.8%6.7%
HV 20d25.9%17.3%29.3%17.3%25.0%
HV 60d26.7%25.2%28.1%27.3%25.2%
IV Rank4.6%1.2%13.4%2.3%2.1%
IV Percentile6.8%0.4%24.6%1.6%2.0%
Term Structure2.1%0.4%4.1%3.8%1.4%
VWIV26.1%23.9%30.4%24.2%24.1%
Skew 25d3.2%1.9%4.5%2.9%1.9%
Skew 10d7.4%5.4%11.2%9.6%7.3%
Call IV 25d24.5%22.2%27.7%22.2%23.1%
Put IV 25d27.7%24.9%32.3%25.1%24.9%
Bid-Ask Spread %10.945.9415.935.949.89
Gamma HHI0.300.190.820.360.22
Net GEX1.3M-8.8M42.6M-6.3M4.4M
Net DEX15.8M-83.1M148.8M94.8M-83.1M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.223.372.770.52
Total Volume7,827.0912,31725,9125,9252,697
Total OI203,337.409156,825245,477230,083165,621

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$45.79$45.0023.6%6.8%17.3%2.3%24.2%2.9%3.8%-6.3M94.8M-1.4M2.775.941,5734,35298,737131,346
2009-07-02$44.64$45.0024.4%7.0%18.8%3.5%24.5%1.9%3.1%-7.7M148.8M-1.3M0.876.677,1736,24997,991129,082
2009-07-06$45.70$45.0027.6%8.2%21.1%8.4%28.9%4.5%2.2%-5.4M91.5M-1.4M0.2214.548,1601,802103,748131,177
2009-07-07$44.54$45.0027.6%8.2%22.7%8.3%29.2%4.5%2.6%-6.3M144.0M-1.4M2.179.712,9046,308108,920131,736
2009-07-08$46.02$45.0031.0%8.8%25.9%13.4%30.4%4.5%1.5%-2.6M59.1M-1.4M0.9912.386,3696,281109,580128,720
2009-07-09$45.50$45.0027.3%8.4%25.9%7.8%28.2%3.6%2.3%-4.8M89.1M-1.4M3.3710.401,6205,461110,775131,256
2009-07-10$44.97$45.0024.9%8.2%26.1%4.2%28.5%4.0%2.3%-6.7M122.7M-1.3M2.199.799572,091110,458130,587
2009-07-13$44.97$45.0026.6%7.9%25.2%6.9%28.0%4.0%2.8%-7.9M126.4M-1.3M0.7910.894,6543,654110,540129,997
2009-07-14$45.03$45.0023.8%7.6%24.8%2.7%26.6%3.1%3.5%-8.8M116.7M-1.2M1.0013.562,8742,877112,591129,573
2009-07-15$46.90$45.0023.1%7.2%28.8%1.6%25.4%3.4%3.9%2.0M-3.2M-1.3M0.7712.147,2235,563112,501129,316
2009-07-16$47.49$45.0025.2%7.2%28.7%4.7%25.7%3.2%3.8%7.6M-41.4M-1.3M0.4315.936,5862,804114,861130,616
2009-07-17$47.48$45.0024.9%7.1%28.5%4.3%24.6%3.0%4.1%42.6M-41.2M-1.3M0.2712.669,5592,576113,804127,096
2009-07-20$48.47$45.0024.6%7.0%29.3%3.7%24.3%2.4%1.1%1.9M-32.0M-1.3M2.919.136,62919,28376,04982,213
2009-07-21$48.38$45.0023.8%6.8%28.5%2.5%25.7%2.7%1.7%2.9M-39.5M-1.2M2.2412.571,7763,97778,82877,997
2009-07-22$48.82$45.0022.9%6.6%28.3%1.2%23.9%2.3%1.2%3.2M-54.0M-1.2M0.4113.683,2111,30379,51877,891
2009-07-23$48.60$45.0024.6%7.1%28.4%3.8%24.0%2.8%1.1%3.2M-47.9M-1.2M0.438.614,1991,82379,97678,301
2009-07-24$49.13$45.0024.3%7.0%27.2%3.3%25.2%2.9%0.7%3.6M-67.8M-1.2M1.016.822,2472,26681,87678,808
2009-07-27$48.68$45.0025.9%7.4%27.6%5.8%26.0%3.2%0.5%3.3M-50.3M-1.2M0.9915.121,1661,15182,21279,358
2009-07-28$48.84$45.0024.6%7.0%27.5%3.8%25.7%3.2%0.4%3.6M-56.5M-1.2M0.6610.082,4211,58682,02579,297
2009-07-29$48.77$45.0024.2%6.9%27.1%3.2%25.1%3.0%1.1%3.8M-56.3M-1.2M0.5110.912,0691,06383,60680,323
2009-07-30$49.25$45.0024.5%7.0%27.2%3.6%25.3%2.3%0.6%4.2M-72.9M-1.2M1.259.171,6272,03284,10680,410
2009-07-31$49.50$45.0023.5%6.7%25.0%2.1%24.1%1.9%1.4%4.4M-83.1M-1.2M0.529.891,77192684,50581,116