COST Options History — February 2010

In February 2010, COST traded between $57.91 and $61.40. ATM implied volatility averaged 19.7%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.6% (HV 20d: 13.1%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.10.

Notable Days

2010-02-09: Highest Volume — 66,248 contracts
2010-02-11: Largest IV spike — 28.5% change
2010-02-11: Highest IV Rank — 17.5%
2010-02-05: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.77	$57.91	$61.40	$57.91	$60.97
Max Pain	$59.47	$57.50	$60.00	$57.50	$60.00
ATM IV	19.7%	16.2%	20.8%	19.4%	20.1%
Expected Move	5.9%	5.3%	6.8%	5.6%	5.8%
HV 20d	13.1%	11.9%	15.1%	11.9%	13.0%
HV 60d	14.3%	13.8%	14.7%	14.6%	14.5%
IV Rank	14.6%	5.5%	17.5%	13.9%	15.6%
IV Percentile	11.9%	1.2%	16.7%	10.3%	14.7%
Term Structure	0.2%	-1.3%	2.8%	2.4%	-1.2%
VWIV	20.6%	19.1%	23.4%	19.7%	20.4%
Skew 25d	3.6%	1.7%	4.9%	4.1%	2.0%
Skew 10d	8.0%	2.5%	12.4%	11.3%	5.4%
Call IV 25d	19.1%	17.7%	21.4%	17.7%	19.2%
Put IV 25d	22.7%	20.4%	26.0%	21.8%	21.3%
Bid-Ask Spread %	15.27	11.21	21.59	14.95	16.57
Gamma HHI	0.25	0.17	0.33	0.33	0.22
Net GEX	111.7K	-3.2M	3.3M	-3.2M	2.1M
Net DEX	-57.8M	-153.5M	29.6M	29.6M	-77.5M
Net VEX	-1.2M	-1.3M	-1.2M	-1.2M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.02	2.19	1.08	1.29
Total Volume	9,709.053	1,353	66,248	22,476	1,353
Total OI	149,198.105	122,803	162,333	142,082	131,855

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
2010-02-01	$57.91	$57.50	19.4%	5.6%	11.9%	13.9%	19.7%	4.1%	2.4%	-3.2M	29.6M	-1.2M	1.08	14.95	10,791	11,685	68,006	74,076
2010-02-02	$58.77	$57.50	18.4%	5.3%	13.0%	11.3%	19.1%	2.9%	2.8%	-1.7M	-37.9M	-1.3M	0.96	12.90	10,151	9,727	74,156	76,691
2010-02-03	$58.42	$57.50	19.1%	5.5%	13.1%	13.0%	19.1%	1.7%	2.5%	-2.3M	-11.5M	-1.3M	1.08	11.21	4,750	5,109	76,671	81,095
2010-02-04	$58.52	$57.50	20.6%	5.9%	12.2%	16.8%	20.2%	3.4%	2.4%	-2.3M	-12.0M	-1.3M	2.06	11.51	2,443	5,029	77,389	83,195
2010-02-05	$58.58	$60.00	20.3%	6.8%	12.1%	16.0%	22.5%	4.6%	-0.8%	-1.7M	-19.6M	-1.3M	1.97	19.97	1,177	2,324	77,836	81,812
2010-02-08	$58.14	$60.00	20.5%	6.7%	12.1%	16.6%	22.5%	4.0%	-0.4%	-2.6M	6.2M	-1.3M	0.83	15.72	1,867	1,545	78,083	82,683
2010-02-09	$58.76	$60.00	17.0%	6.1%	12.8%	7.7%	22.1%	4.6%	-0.3%	-1.9M	-23.6M	-1.3M	0.02	21.59	64,995	1,253	78,763	83,570
2010-02-10	$59.15	$60.00	16.2%	6.1%	12.9%	5.5%	23.4%	4.6%	-0.0%	-905.1K	-23.4M	-1.3M	2.19	16.24	1,471	3,220	72,545	83,603
2010-02-11	$59.67	$60.00	20.8%	6.0%	13.1%	17.5%	22.6%	4.9%	0.2%	764.1K	-54.4M	-1.3M	0.96	16.42	1,803	1,739	73,021	83,460
2010-02-12	$59.28	$60.00	20.4%	5.8%	12.6%	16.4%	21.0%	4.0%	0.1%	150.1K	-30.7M	-1.3M	0.78	20.79	1,744	1,359	72,857	84,710
2010-02-16	$60.67	$60.00	20.7%	5.9%	15.0%	17.1%	21.1%	4.0%	-0.2%	3.3M	-121.2M	-1.2M	0.71	15.84	4,085	2,905	73,542	84,748
2010-02-17	$61.05	$60.00	20.1%	5.8%	15.1%	15.6%	19.7%	3.3%	0.2%	2.9M	-139.4M	-1.2M	0.47	11.59	2,387	1,127	74,771	84,582
2010-02-18	$60.96	$60.00	19.9%	5.7%	14.3%	15.0%	19.3%	3.5%	0.1%	2.8M	-146.3M	-1.2M	0.90	11.65	2,442	2,192	75,716	84,695
2010-02-19	$61.14	$60.00	20.3%	5.8%	13.1%	16.0%	19.6%	3.3%	-0.5%	1.6M	-153.5M	-1.2M	1.07	13.22	2,884	3,095	76,549	85,760
2010-02-22	$60.79	$60.00	20.4%	5.8%	12.9%	16.4%	19.8%	3.2%	-1.2%	1.3M	-67.7M	-1.2M	1.32	13.01	1,406	1,854	61,022	61,781
2010-02-23	$60.51	$60.00	20.6%	5.9%	13.0%	16.8%	19.8%	3.3%	-1.3%	1.1M	-59.6M	-1.2M	1.88	15.24	1,090	2,045	61,396	62,363
2010-02-24	$60.86	$60.00	20.2%	5.8%	13.0%	15.8%	19.2%	3.4%	-1.0%	1.3M	-69.1M	-1.2M	0.62	16.53	1,571	971	61,629	63,505
2010-02-25	$61.40	$60.00	19.4%	5.6%	12.7%	13.9%	20.3%	2.7%	-0.1%	1.7M	-85.9M	-1.2M	0.71	15.26	5,197	3,686	62,639	63,989
2010-02-26	$60.97	$60.00	20.1%	5.8%	13.0%	15.6%	20.4%	2.0%	-1.2%	2.1M	-77.5M	-1.2M	1.29	16.57	592	761	65,522	66,333