COST Options History — September 2009

In September 2009, COST traded between $50.65 and $58.58. ATM implied volatility averaged 28.3%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 4.4% (HV 20d: 32.7%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2009-09-03: Highest Volume — 67,875 contracts
  • 2009-09-10: Largest IV spike — 19.6% change
  • 2009-09-30: Highest IV Rank — 14.0%
  • 2009-09-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.40$50.65$58.58$50.65$56.38
Max Pain$49.64$47.50$50.00$47.50$50.00
ATM IV28.3%23.0%31.4%26.6%31.4%
Expected Move8.3%7.1%9.0%7.6%9.0%
HV 20d32.7%23.0%36.5%23.3%32.7%
HV 60d27.1%22.9%28.2%23.0%26.2%
IV Rank9.5%1.4%14.0%6.8%14.0%
IV Percentile23.2%1.2%34.1%19.8%34.1%
Term Structure-0.6%-3.3%4.2%3.8%-3.3%
VWIV29.5%25.8%31.9%26.7%31.5%
Skew 25d3.1%1.8%4.5%2.0%2.7%
Skew 10d6.9%3.3%12.6%5.9%11.8%
Call IV 25d27.9%24.7%30.5%25.7%30.5%
Put IV 25d30.9%26.5%33.6%27.7%33.3%
Bid-Ask Spread %6.845.1610.187.506.53
Gamma HHI0.190.150.220.210.21
Net GEX5.0M3.9M6.9M4.3M6.9M
Net DEX-225.7M-303.9M-71.5M-71.5M-189.2M
Net VEX-1.3M-1.4M-1.2M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.132.030.700.57
Total Volume10,576.6674,45967,8758,9476,843
Total OI199,657.143165,115220,483165,115204,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$50.65$47.5026.6%7.6%23.3%6.8%26.7%2.0%3.8%4.3M-71.5M-1.2M0.707.505,2763,67182,83182,284
2009-09-02$50.65$47.5026.4%7.6%23.0%6.5%26.1%1.8%4.2%4.6M-72.0M-1.2M1.216.453,0123,65585,26083,055
2009-09-03$54.99$47.5024.8%7.1%36.5%4.0%25.8%1.9%3.9%5.4M-211.9M-1.2M0.717.3939,70628,16986,80284,934
2009-09-04$55.47$50.0023.0%8.1%35.6%1.4%29.2%4.5%-0.1%4.4M-220.5M-1.4M0.665.349,1115,97096,842101,014
2009-09-08$56.73$50.0025.1%8.3%35.4%4.6%29.9%3.9%-0.7%3.9M-260.5M-1.3M0.637.2512,4747,88497,459103,454
2009-09-09$57.06$50.0024.0%8.3%34.8%2.9%29.5%4.0%-0.5%4.6M-277.5M-1.4M1.006.643,9113,904104,056105,638
2009-09-10$56.91$50.0028.7%8.2%35.0%10.0%29.7%3.6%-0.9%4.4M-271.5M-1.4M1.407.283,5564,977105,024107,836
2009-09-11$56.81$50.0028.7%8.2%34.9%10.0%30.5%3.1%-0.5%4.7M-272.2M-1.4M1.016.912,6612,675106,829109,776
2009-09-14$56.99$50.0029.7%8.5%34.6%11.5%30.4%3.8%-1.5%4.8M-272.5M-1.4M1.506.931,8342,746105,208108,558
2009-09-15$56.82$50.0029.0%8.3%32.7%10.4%30.0%3.2%-0.7%4.9M-268.1M-1.4M2.0310.011,4722,987105,263109,350
2009-09-16$57.70$50.0029.1%8.3%32.6%10.6%29.2%3.5%-0.6%4.7M-299.0M-1.4M1.276.004,1335,261105,865110,604
2009-09-17$57.96$50.0029.6%8.5%32.6%11.3%29.3%3.1%-1.0%4.1M-303.9M-1.4M0.358.336,9692,464104,954111,725
2009-09-18$57.55$50.0028.8%8.2%33.0%10.1%29.5%3.0%-0.7%5.5M-297.1M-1.4M0.267.734,8081,258108,793111,690
2009-09-21$58.58$50.0029.9%8.6%33.1%11.8%30.0%2.8%-1.8%4.2M-234.2M-1.3M0.666.215,0013,29290,24096,949
2009-09-22$58.40$50.0030.0%8.6%32.7%12.0%29.6%2.4%-1.6%4.7M-235.5M-1.3M0.255.813,68390592,60397,953
2009-09-23$57.98$50.0029.9%8.6%32.2%11.8%29.8%2.4%-1.7%5.4M-229.2M-1.3M0.6810.183,1722,15395,13797,986
2009-09-24$57.43$50.0029.9%8.6%32.8%11.9%29.4%2.9%-1.8%5.2M-208.9M-1.4M0.265.285,8391,50095,35398,722
2009-09-25$56.28$50.0029.6%8.5%33.6%11.3%30.1%2.9%-2.2%5.6M-173.0M-1.4M0.875.162,5072,18698,35299,004
2009-09-28$56.56$50.0030.3%8.7%33.6%12.4%30.9%3.0%-2.4%5.9M-182.7M-1.3M0.135.465,07166099,46699,607
2009-09-29$56.49$50.0030.9%8.9%32.8%13.3%31.9%3.5%-3.2%6.7M-189.7M-1.3M0.795.222,6552,099102,24099,844
2009-09-30$56.38$50.0031.4%9.0%32.7%14.0%31.5%2.7%-3.3%6.9M-189.2M-1.4M0.576.534,3522,491103,692100,548