COST Options History — December 2009

In December 2009, COST traded between $57.80 and $60.87. ATM implied volatility averaged 22.2%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.8% (HV 20d: 16.4%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2009-12-01: Highest Volume — 33,003 contracts
  • 2009-12-10: Largest IV drop — 34.4% change
  • 2009-12-09: Highest IV Rank — 29.4%
  • 2009-12-09: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.43$57.80$60.87$60.73$59.17
Max Pain$55.80$55.00$60.00$60.00$55.00
ATM IV22.2%17.9%32.6%25.6%18.9%
Expected Move6.2%5.1%7.8%7.3%5.4%
HV 20d16.4%14.3%17.8%14.4%17.1%
HV 60d17.3%16.4%17.8%17.0%16.8%
IV Rank8.0%0.0%29.4%12.4%2.9%
IV Percentile12.6%0.0%54.0%31.0%1.6%
Term Structure1.2%-1.9%3.6%-1.6%0.4%
VWIV22.1%18.2%27.6%25.4%21.0%
Skew 25d2.3%0.0%5.1%3.3%5.1%
Skew 10d5.2%1.7%12.0%6.0%12.0%
Call IV 25d21.3%17.0%25.0%23.8%17.0%
Put IV 25d23.6%19.5%28.9%27.0%22.1%
Bid-Ask Spread %6.503.3510.7210.723.39
Gamma HHI0.330.190.670.190.39
Net GEX2.0M-12.7M5.0M2.7M3.2M
Net DEX-115.4M-178.7M-33.4M-142.2M-105.5M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.094.860.091.13
Total Volume12,242.8182,24333,00333,0035,168
Total OI179,445.909154,695196,222159,301180,487

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$60.73$60.0025.6%7.3%14.4%12.4%25.4%3.3%-1.6%2.7M-142.2M-1.1M0.0910.7230,1652,83873,34185,960
2009-12-02$60.87$60.0025.8%7.4%14.3%14.1%25.3%2.7%-1.9%5.0M-173.5M-1.1M0.678.733,3122,22881,18787,847
2009-12-03$59.02$60.0024.6%7.1%17.3%11.9%25.2%1.7%-1.0%3.1M-100.3M-1.2M0.799.356,8685,44982,21189,216
2009-12-04$59.19$55.0025.0%6.8%16.9%12.8%23.9%3.5%1.3%3.4M-104.4M-1.2M0.188.9214,6672,67884,64692,659
2009-12-07$59.35$55.0027.7%7.0%16.9%18.6%24.8%3.7%0.9%4.8M-116.2M-1.2M0.805.984,5833,65089,09293,851
2009-12-08$58.75$55.0030.3%7.4%16.0%24.5%26.3%3.1%0.6%3.8M-90.7M-1.2M1.597.554,8947,79590,70895,182
2009-12-09$58.66$55.0032.6%7.8%15.9%29.4%27.6%3.8%-0.4%2.9M-81.5M-1.2M2.195.216,90615,14590,36897,210
2009-12-10$58.76$55.0021.4%6.1%15.7%5.0%23.3%3.3%2.6%1.7M-75.8M-1.2M0.877.857,8236,82692,248103,974
2009-12-11$59.32$55.0020.8%6.0%16.1%4.6%21.4%3.5%3.5%3.6M-107.6M-1.2M0.198.2615,6782,91390,179103,107
2009-12-14$59.47$55.0021.1%6.0%16.0%5.6%22.1%3.1%3.1%2.7M-109.4M-1.1M0.506.461,49874587,506102,353
2009-12-15$58.98$55.0020.7%5.9%15.6%4.5%21.8%2.8%3.2%-306.0K-84.8M-1.1M1.646.452,4744,05086,482102,256
2009-12-16$58.77$55.0020.5%5.9%15.4%4.0%21.0%2.3%3.2%-3.3M-69.7M-1.1M0.135.799,7291,27685,923104,141
2009-12-17$57.80$55.0021.5%6.2%16.2%6.8%21.6%2.1%3.0%-12.7M-33.4M-1.1M1.084.362,3142,50388,011103,624
2009-12-18$58.43$55.0020.9%6.0%16.9%5.0%21.1%2.0%3.6%-607.5K-68.2M-1.0M1.485.072,2103,27788,079103,806
2009-12-21$59.27$55.0019.6%5.6%17.7%1.0%20.2%0.6%0.8%4.0M-129.4M-1.0M0.483.355,1212,45071,95382,742
2009-12-22$59.57$55.0018.6%5.3%17.5%0.0%19.5%0.3%0.9%4.3M-137.9M-1.0M0.459.7420,9929,43973,39383,311
2009-12-23$60.07$55.0017.9%5.1%17.8%0.0%18.2%0.9%1.5%4.6M-166.1M-1.1M4.863.903,24315,74879,11989,054
2009-12-24$60.40$57.5018.4%5.3%17.7%1.5%18.7%1.5%0.8%2.0M-152.9M-1.1M0.424.7216,2096,74079,18497,614
2009-12-28$60.56$55.0019.4%5.5%17.0%4.3%19.9%1.0%0.4%3.4M-178.7M-1.1M1.576.561,3262,07781,44496,327
2009-12-29$60.26$55.0019.1%5.5%17.1%3.6%19.5%0.3%0.5%3.1M-160.4M-1.1M1.714.011,2572,14681,52796,934
2009-12-30$60.05$55.0018.8%5.4%16.4%2.8%19.5%0.0%0.3%3.2M-148.9M-1.1M1.056.561,4311,50181,86297,692
2009-12-31$59.17$55.0018.9%5.4%17.1%2.9%21.0%5.1%0.4%3.2M-105.5M-1.2M1.133.392,4302,73882,20398,284