COST Options History — October 2009

In October 2009, COST traded between $55.69 and $59.23. ATM implied volatility averaged 24.8%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.5% (HV 20d: 18.3%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2009-10-07: Highest Volume — 41,545 contracts
  • 2009-10-07: Largest IV drop — 37.8% change
  • 2009-10-06: Highest IV Rank — 22.0%
  • 2009-10-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.93$55.69$59.23$55.69$56.85
Max Pain$58.64$50.00$60.00$50.00$60.00
ATM IV24.8%19.2%36.6%34.0%24.6%
Expected Move7.0%5.5%9.8%9.8%7.1%
HV 20d18.3%16.2%33.2%33.2%19.4%
HV 60d25.0%24.4%25.7%25.7%25.7%
IV Rank6.2%0.0%22.0%18.1%8.6%
IV Percentile12.6%0.0%56.7%41.3%18.7%
Term Structure2.1%-4.3%4.2%-4.2%3.7%
VWIV24.4%19.6%33.8%33.8%24.9%
Skew 25d3.3%2.5%4.6%2.9%3.5%
Skew 10d6.5%4.2%11.5%8.5%6.5%
Call IV 25d23.0%18.8%32.6%32.0%23.7%
Put IV 25d26.3%21.5%35.2%34.9%27.2%
Bid-Ask Spread %10.696.8215.288.7014.85
Gamma HHI0.260.130.650.200.16
Net GEX4.3M-568.8K13.3M7.0M386.6K
Net DEX-163.0M-332.6M-20.8M-168.2M-34.3M
Net VEX-1.3M-1.4M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.395.891.791.28
Total Volume11,723.6362,48441,5456,7046,398
Total OI197,645.045154,796247,807206,698159,809

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$55.69$50.0034.0%9.8%33.2%18.1%33.8%2.9%-4.2%7.0M-168.2M-1.4M1.798.702,4064,298105,896100,802
2009-10-02$56.47$52.5033.0%9.5%16.9%16.5%33.7%2.6%-4.3%7.1M-196.3M-1.4M1.567.701,4582,268106,506102,855
2009-10-05$56.88$57.5035.7%8.4%16.9%20.6%29.8%4.6%-0.6%7.4M-210.5M-1.4M0.4610.293,4961,616107,258104,331
2009-10-06$57.93$57.5036.6%8.6%16.2%22.0%29.6%4.6%-1.0%8.2M-257.0M-1.3M0.6212.5013,9208,650108,598104,965
2009-10-07$59.00$57.5022.8%7.1%17.3%1.0%26.1%3.8%1.8%13.3M-332.6M-1.3M0.619.9125,72815,817116,090108,975
2009-10-08$58.63$57.5023.5%7.4%17.5%2.3%25.2%3.7%1.6%11.9M-294.7M-1.4M0.457.548,0283,635118,626115,423
2009-10-09$58.64$57.5023.7%7.2%17.4%2.7%24.3%3.6%2.1%11.2M-288.5M-1.4M5.898.206,03135,510117,377115,881
2009-10-12$58.03$60.0027.8%7.0%17.9%9.5%24.0%3.9%2.5%2.1M-205.3M-1.4M1.458.844,6626,777115,162129,908
2009-10-13$58.48$60.0024.4%7.0%18.0%3.9%23.8%3.8%2.3%1.9M-241.6M-1.4M0.7411.6420,68715,326115,566132,241
2009-10-14$58.77$60.0022.5%6.4%17.3%0.7%23.2%3.3%3.1%9.9M-272.3M-1.3M0.4014.164,5301,802119,652125,451
2009-10-15$58.97$60.0022.0%6.3%17.3%0.0%23.1%3.1%3.2%11.3M-283.8M-1.3M0.988.542,9292,877118,776125,317
2009-10-16$58.48$60.0022.3%6.4%17.4%0.6%22.1%2.8%3.5%1.1M-267.1M-1.3M1.407.543,4544,826119,628126,539
2009-10-19$59.23$60.0019.2%5.5%16.8%0.0%19.6%2.7%4.2%1.0M-106.6M-1.3M0.888.592,6912,38171,81782,979
2009-10-20$59.09$60.0019.3%5.5%16.8%0.2%19.6%2.7%4.0%880.1K-101.4M-1.3M0.399.307,9443,05972,18583,828
2009-10-21$57.71$60.0021.2%6.1%18.7%3.2%21.0%2.7%3.3%866.7K-51.6M-1.3M2.2411.762,2555,04271,70884,254
2009-10-22$58.27$60.0021.2%6.1%18.7%3.2%21.2%3.0%3.8%381.4K-66.7M-1.3M1.4011.141,0641,49471,78685,751
2009-10-23$57.81$60.0020.9%6.0%17.3%2.8%21.2%2.5%4.0%167.3K-51.2M-1.3M1.8514.659371,73571,98785,779
2009-10-26$57.65$60.0022.0%6.3%17.3%4.4%22.8%2.9%3.5%-47.4K-47.0M-1.3M1.3215.282,2112,91172,34286,633
2009-10-27$57.15$60.0022.0%6.3%17.6%4.5%22.5%2.5%3.5%-312.8K-29.9M-1.3M1.2813.572,8093,58473,77888,352
2009-10-28$56.72$60.0023.2%6.6%17.9%6.3%23.7%3.5%3.3%-568.8K-20.8M-1.3M1.086.821,1941,29073,56688,122
2009-10-29$57.92$60.0023.0%6.6%18.6%6.0%22.4%3.4%3.7%149.8K-59.4M-1.3M1.0713.663,9494,24173,81387,879
2009-10-30$56.85$60.0024.6%7.1%19.4%8.6%24.9%3.5%3.7%386.6K-34.3M-1.3M1.2814.852,8033,59574,20085,609