COST Options History — January 2010

In January 2010, COST traded between $57.07 and $60.00. ATM implied volatility averaged 17.6%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.6% (HV 20d: 13.0%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.04.

Notable Days

2010-01-28: Highest Volume — 23,086 contracts
2010-01-20: Largest IV spike — 17.6% change
2010-01-26: Highest IV Rank — 13.6%
2010-01-26: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.55	$57.07	$60.00	$59.41	$57.43
Max Pain	$59.87	$57.50	$60.00	$60.00	$57.50
ATM IV	17.6%	14.1%	20.0%	20.0%	19.2%
Expected Move	5.0%	4.0%	5.5%	5.5%	5.5%
HV 20d	13.0%	12.2%	14.0%	13.1%	12.3%
HV 60d	16.0%	14.5%	16.6%	16.4%	14.5%
IV Rank	6.0%	0.0%	13.6%	6.2%	13.4%
IV Percentile	3.0%	0.0%	8.3%	4.0%	8.3%
Term Structure	3.2%	2.2%	4.5%	2.9%	2.5%
VWIV	17.9%	14.4%	19.3%	19.2%	19.0%
Skew 25d	2.8%	2.1%	3.6%	3.3%	3.1%
Skew 10d	6.5%	3.6%	9.9%	7.3%	8.5%
Call IV 25d	16.6%	13.8%	18.6%	18.6%	18.3%
Put IV 25d	19.4%	16.1%	21.9%	21.9%	21.3%
Bid-Ask Spread %	11.31	5.89	18.09	13.09	15.10
Gamma HHI	0.33	0.20	0.45	0.38	0.23
Net GEX	484.0K	-4.0M	4.3M	3.2M	-2.0M
Net DEX	-52.7M	-148.1M	48.5M	-122.2M	35.3M
Net VEX	-1.1M	-1.2M	-997.3K	-1.1M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.31	9.27	0.31	9.27
Total Volume	9,183.789	3,083	23,086	3,857	19,034
Total OI	157,068.579	104,401	196,091	180,988	138,284

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$59.41	$60.00	20.0%	5.5%	13.1%	6.2%	19.2%	3.3%	2.9%	3.2M	-122.2M	-1.1M	0.31	13.09	2,954	903	82,416	98,572
2010-01-05	$59.23	$60.00	19.4%	5.3%	13.2%	4.4%	19.2%	3.6%	2.9%	3.6M	-115.6M	-1.1M	0.56	18.09	7,965	4,444	83,452	98,503
2010-01-06	$60.00	$60.00	19.5%	5.2%	13.9%	4.7%	18.8%	2.9%	3.3%	3.5M	-148.1M	-1.1M	1.54	10.97	5,313	8,189	83,949	100,219
2010-01-07	$59.71	$60.00	17.3%	5.1%	13.5%	0.0%	18.3%	2.4%	3.4%	4.2M	-136.6M	-1.1M	0.61	13.60	7,783	4,731	86,532	102,913
2010-01-08	$59.28	$60.00	15.8%	4.9%	13.8%	0.0%	18.3%	2.7%	3.3%	3.6M	-115.2M	-1.1M	0.81	9.79	2,942	2,372	89,955	103,992
2010-01-11	$59.35	$60.00	17.5%	4.9%	13.8%	4.9%	17.3%	2.1%	3.3%	4.3M	-118.1M	-1.1M	0.71	13.16	2,623	1,858	90,447	104,316
2010-01-12	$59.03	$60.00	16.2%	4.9%	13.5%	1.2%	18.6%	2.8%	3.1%	3.7M	-97.5M	-1.1M	1.61	14.48	2,762	4,434	90,455	104,638
2010-01-13	$59.40	$60.00	16.2%	4.6%	13.6%	1.2%	16.6%	2.3%	3.9%	3.2M	-114.3M	-1.1M	0.48	8.70	2,195	1,048	89,748	106,343
2010-01-14	$58.72	$60.00	17.4%	5.0%	14.0%	4.4%	16.6%	2.5%	3.4%	-1.1M	-76.3M	-1.0M	0.45	8.93	2,131	952	89,273	106,321
2010-01-15	$58.79	$60.00	14.7%	4.2%	13.9%	0.0%	15.8%	3.2%	4.5%	-1.6M	-76.5M	-1.0M	1.08	13.61	1,761	1,901	89,363	106,601
2010-01-19	$58.95	$60.00	14.1%	4.0%	12.4%	0.0%	14.4%	2.4%	4.1%	-2.1M	-24.0M	-997.3K	0.37	9.16	4,817	1,787	52,762	51,639
2010-01-20	$58.27	$60.00	16.5%	4.7%	12.6%	6.4%	15.7%	2.4%	2.8%	-1.3M	-12.1M	-1.0M	0.85	5.89	5,408	4,594	56,046	52,501
2010-01-21	$57.52	$60.00	16.7%	4.8%	12.2%	6.7%	17.1%	2.5%	3.2%	-1.1M	10.2M	-1.0M	1.42	12.06	3,789	5,391	58,309	54,260
2010-01-22	$57.07	$60.00	18.3%	5.2%	12.2%	10.9%	19.1%	2.4%	2.8%	-1.3M	23.6M	-1.1M	1.95	9.65	2,790	5,436	58,828	57,317
2010-01-25	$57.55	$60.00	18.1%	5.2%	12.2%	10.5%	17.9%	2.5%	2.8%	-1.5M	13.6M	-1.1M	0.80	9.22	2,545	2,036	59,155	59,555
2010-01-26	$57.93	$60.00	19.3%	5.5%	12.2%	13.6%	19.3%	2.9%	2.2%	-1.1M	-3.1M	-1.1M	8.78	7.93	863	7,580	60,586	60,306
2010-01-27	$57.53	$60.00	19.1%	5.5%	12.2%	13.0%	19.3%	3.3%	2.7%	-2.9M	26.9M	-1.1M	6.89	11.21	2,038	14,037	60,911	64,637
2010-01-28	$57.35	$60.00	19.0%	5.4%	12.2%	12.8%	18.7%	3.3%	2.6%	-4.0M	48.5M	-1.2M	0.33	10.31	17,297	5,789	61,358	69,841
2010-01-29	$57.43	$57.50	19.2%	5.5%	12.3%	13.4%	19.0%	3.1%	2.5%	-2.0M	35.3M	-1.2M	9.27	15.10	1,854	17,180	67,271	71,013