COST Options History — August 2009

In August 2009, COST traded between $47.40 and $51.77. ATM implied volatility averaged 24.2%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.1% (HV 20d: 20.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-08-11: Highest Volume — 24,857 contracts
  • 2009-08-31: Largest IV spike — 10.7% change
  • 2009-08-17: Highest IV Rank — 6.1%
  • 2009-08-17: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.22$47.40$51.77$50.00$50.98
Max Pain$47.86$45.00$50.00$45.00$47.50
ATM IV24.2%22.2%26.1%24.9%25.7%
Expected Move7.0%6.6%7.5%7.1%7.4%
HV 20d20.2%17.2%24.1%24.1%23.5%
HV 60d23.4%22.3%24.9%24.9%22.9%
IV Rank3.2%0.2%6.1%4.2%5.5%
IV Percentile7.7%0.4%17.9%10.3%17.9%
Term Structure2.9%0.2%4.5%0.2%4.2%
VWIV24.8%23.0%26.9%26.6%25.8%
Skew 25d2.6%1.3%3.5%2.9%2.7%
Skew 10d5.5%2.3%9.6%8.6%5.5%
Call IV 25d23.5%22.0%24.9%23.6%24.4%
Put IV 25d26.1%24.1%28.0%26.5%27.1%
Bid-Ask Spread %10.115.4614.205.468.36
Gamma HHI0.220.170.290.220.21
Net GEX4.1M1.5M5.3M4.6M4.6M
Net DEX-51.5M-111.7M20.7M-98.0M-82.5M
Net VEX-1.1M-1.2M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.121.380.321.38
Total Volume7,053.2862,09924,8572,4586,286
Total OI163,429.476144,101170,406165,911163,041

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$50.00$45.0024.9%7.1%24.1%4.2%26.6%2.9%0.2%4.6M-98.0M-1.2M0.325.461,86259684,72181,190
2009-08-04$49.48$45.0024.1%6.9%22.1%3.1%25.1%1.8%0.9%4.6M-80.7M-1.2M0.3514.202,51887284,55581,166
2009-08-05$49.06$45.0024.0%6.9%20.0%2.9%25.7%2.6%1.3%4.2M-63.6M-1.2M1.0713.011,7911,91683,70681,517
2009-08-06$48.75$45.0024.2%6.9%19.6%3.1%24.2%1.8%1.6%4.4M-56.5M-1.2M1.1311.962,9023,28884,41382,211
2009-08-07$50.10$50.0022.2%7.1%20.5%0.2%24.8%2.6%2.7%4.9M-105.5M-1.2M0.828.473,0092,46784,26682,201
2009-08-10$49.40$50.0024.1%7.2%21.6%3.1%25.2%3.1%2.9%4.6M-77.7M-1.2M0.3311.963,3551,09883,69782,814
2009-08-11$48.92$50.0024.8%7.2%22.2%4.1%25.1%3.1%3.1%4.8M-60.0M-1.1M0.1211.7122,2362,62184,63382,894
2009-08-12$49.15$50.0023.9%7.2%17.5%2.7%25.7%3.0%3.2%4.8M-51.8M-1.2M0.6710.401,25884181,32384,384
2009-08-13$48.88$50.0024.3%7.0%17.2%3.3%24.2%2.4%3.6%5.0M-40.6M-1.1M0.789.982,4941,93781,51384,778
2009-08-14$48.63$50.0025.3%7.3%17.4%4.8%24.8%3.5%3.2%4.6M-29.6M-1.1M0.6610.371,6701,09581,56185,273
2009-08-17$47.47$50.0026.1%7.5%18.0%6.1%26.9%3.1%2.6%3.1M15.6M-1.1M1.079.021,8672,00381,91185,316
2009-08-18$47.40$47.5025.6%7.3%18.0%5.3%26.4%2.9%3.0%3.0M20.7M-1.1M1.359.722,5973,49981,77786,330
2009-08-19$47.94$47.5024.8%7.1%18.2%4.0%24.9%3.1%3.8%4.7M-7.1M-1.1M0.5112.455,3682,76382,63386,715
2009-08-20$47.91$47.5025.0%7.2%18.1%4.4%25.5%3.4%3.5%5.3M-12.4M-1.1M1.288.802,2542,87682,41686,409
2009-08-21$48.56$47.5023.0%6.6%18.4%1.4%23.0%2.2%4.5%2.1M-42.3M-1.1M0.2210.415,4661,22683,50386,903
2009-08-24$48.12$47.5023.2%6.7%18.4%1.7%23.0%2.5%4.1%1.5M-143.8K-1.1M0.7311.062,5941,89870,39273,709
2009-08-25$49.62$47.5023.4%6.7%21.5%1.9%23.5%2.3%3.2%2.5M-41.2M-1.1M0.717.588,9486,32071,36074,900
2009-08-26$50.23$47.5023.5%6.7%21.8%2.1%23.5%1.5%3.3%3.2M-60.3M-1.1M0.5410.847,0203,79474,97677,932
2009-08-27$51.31$47.5023.5%6.7%22.8%2.2%23.8%1.3%2.7%4.3M-96.4M-1.1M0.456.728,5923,85778,26579,271
2009-08-28$51.77$47.5023.2%6.7%22.9%1.7%23.6%3.3%3.6%4.9M-111.7M-1.2M0.879.734,8454,22080,80780,637
2009-08-31$50.98$47.5025.7%7.4%23.5%5.5%25.8%2.7%4.2%4.6M-82.5M-1.2M1.388.362,6363,65081,76381,278