COST Options History — November 2009

In November 2009, COST traded between $57.65 and $61.12. ATM implied volatility averaged 24.0%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.5% (HV 20d: 18.5%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-11-18: Highest Volume — 14,276 contracts
  • 2009-11-12: Largest IV spike — 24.7% change
  • 2009-11-03: Highest IV Rank — 11.9%
  • 2009-11-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.97$57.65$61.12$57.75$59.91
Max Pain$59.38$57.50$60.00$60.00$60.00
ATM IV24.0%20.7%26.7%25.7%25.2%
Expected Move7.2%6.3%7.6%7.4%7.2%
HV 20d18.5%14.7%20.0%20.0%14.7%
HV 60d24.1%16.9%25.3%25.3%16.9%
IV Rank8.0%2.4%11.9%10.3%11.5%
IV Percentile16.6%0.8%29.4%25.0%28.2%
Term Structure0.6%-1.0%5.1%2.9%-1.0%
VWIV25.2%22.3%28.4%25.0%25.1%
Skew 25d3.5%2.6%4.6%3.8%3.3%
Skew 10d7.3%3.7%9.7%8.6%5.5%
Call IV 25d23.5%20.8%25.2%24.0%23.9%
Put IV 25d27.0%23.8%29.2%27.8%27.2%
Bid-Ask Spread %10.986.9914.348.0911.84
Gamma HHI0.260.150.720.170.19
Net GEX4.3M333.1K17.7M553.0K2.3M
Net DEX-143.6M-204.5M-55.2M-56.3M-119.6M
Net VEX-1.1M-1.3M-1.0M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.213.440.281.02
Total Volume5,687.352,61014,2764,2043,835
Total OI166,290.8146,093181,100161,805158,165

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$57.75$60.0025.7%7.4%20.0%10.3%25.0%3.8%2.9%553.0K-56.3M-1.2M0.288.093,27592974,46387,342
2009-11-03$57.65$60.0026.7%7.6%18.9%11.9%26.1%3.6%2.0%333.1K-55.2M-1.2M0.296.995,6171,65574,14887,363
2009-11-04$58.81$60.0024.6%7.1%19.2%8.6%24.9%4.0%3.0%2.2M-104.0M-1.3M0.2113.634,9601,05977,12087,367
2009-11-05$59.41$60.0021.8%6.3%19.4%4.2%23.0%3.3%5.1%3.5M-128.4M-1.2M0.3212.724,8391,53679,63687,700
2009-11-06$59.41$57.5020.7%7.6%19.4%2.4%26.7%4.2%-0.1%3.3M-125.3M-1.2M0.6814.211,6041,09179,14788,048
2009-11-09$60.44$57.5022.0%7.6%19.7%4.4%28.4%4.6%-0.5%4.6M-167.6M-1.2M0.6811.444,6043,12779,22488,399
2009-11-10$60.04$57.5021.6%7.6%19.8%3.9%26.6%4.2%-0.4%4.2M-151.5M-1.2M0.5711.981,7631,00781,13089,659
2009-11-11$60.40$57.5021.0%7.5%19.9%2.8%25.7%3.9%-0.2%5.1M-170.4M-1.2M0.2911.804,0051,14581,32488,772
2009-11-12$60.12$57.5026.2%7.5%20.0%11.1%26.5%4.2%-0.1%5.1M-162.1M-1.1M1.1312.654,3224,90181,37788,632
2009-11-13$60.47$60.0025.4%7.3%19.7%9.9%26.3%3.3%0.1%4.9M-171.3M-1.2M0.9513.451,4281,36082,36892,022
2009-11-16$61.12$60.0026.1%7.5%19.6%11.0%25.0%4.1%-0.7%6.2M-204.5M-1.1M0.6712.631,5601,05082,86691,732
2009-11-17$60.62$60.0025.0%7.2%19.8%9.3%25.1%3.0%0.0%5.2M-185.2M-1.1M0.6314.343,8952,45483,10591,911
2009-11-18$60.77$60.0025.2%7.2%17.5%9.6%25.1%3.4%-0.0%5.3M-194.0M-1.1M3.4410.713,21311,06383,93592,740
2009-11-19$60.48$60.0024.9%7.1%17.5%9.1%24.5%2.9%-0.1%6.7M-178.9M-1.1M0.468.493,0281,38985,18295,918
2009-11-20$60.06$60.0024.2%6.9%17.4%8.0%25.1%3.2%0.2%17.7M-161.5M-1.1M0.719.663,9172,78685,33195,680
2009-11-23$60.57$60.0023.7%6.8%17.5%8.1%25.1%3.2%0.2%2.2M-134.3M-1.0M1.449.512,4793,57067,35978,734
2009-11-24$60.51$60.0022.8%6.5%17.1%6.9%23.3%3.1%0.6%2.2M-134.3M-1.0M2.057.521,7503,59168,82480,886
2009-11-25$60.89$60.0022.6%6.5%16.6%6.5%22.3%2.6%0.4%2.4M-146.5M-1.0M0.607.523,8882,33269,80982,608
2009-11-27$60.03$60.0024.2%6.9%16.4%9.7%24.1%2.6%-0.2%1.8M-120.5M-1.1M0.3510.412,76595571,54284,248
2009-11-30$59.91$60.0025.2%7.2%14.7%11.5%25.1%3.3%-1.0%2.3M-119.6M-1.1M1.0211.841,9031,93273,42284,743