COST Options History — March 2010

In March 2010, COST traded between $59.71 and $61.65. ATM implied volatility averaged 16.2%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.8% (HV 20d: 11.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.28.

Notable Days

  • 2010-03-03: Highest Volume — 25,398 contracts
  • 2010-03-03: Largest IV drop — 19.3% change
  • 2010-03-01: Highest IV Rank — 18.4%
  • 2010-03-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.55$59.71$61.65$61.65$59.71
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV16.2%14.4%21.2%21.2%14.9%
Expected Move4.7%4.3%6.1%6.1%4.3%
HV 20d11.5%8.4%13.6%13.3%8.4%
HV 60d12.7%11.7%14.4%14.4%11.8%
IV Rank7.0%1.3%18.4%18.4%3.2%
IV Percentile5.2%0.4%22.2%22.2%1.2%
Term Structure1.4%-1.6%3.0%-1.1%1.4%
VWIV16.8%15.3%22.2%21.7%15.6%
Skew 25d1.8%0.8%2.9%2.0%1.8%
Skew 10d4.1%0.8%7.0%6.2%0.8%
Call IV 25d16.0%14.4%21.0%21.0%14.9%
Put IV 25d17.8%16.5%23.3%23.0%16.7%
Bid-Ask Spread %8.014.7014.1812.175.21
Gamma HHI0.280.220.330.240.32
Net GEX-5.9M-10.1M2.6M2.6M-7.0M
Net DEX-32.5M-98.1M27.3M-98.1M-14.9M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.333.502.731.05
Total Volume5,940.0871,29525,39819,0151,977
Total OI156,326.261131,361174,278131,361143,595

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$61.65$60.0021.2%6.1%13.3%18.4%21.7%2.0%-1.1%2.6M-98.1M-1.2M2.7312.175,09413,92164,96966,392
2010-03-02$61.38$60.0021.1%6.1%13.5%18.3%22.2%2.7%-1.6%599.7K-74.4M-1.3M1.2910.369,81812,62166,83975,552
2010-03-03$60.68$60.0017.1%4.9%13.6%8.5%17.0%1.7%0.1%-4.2M-32.0M-1.3M2.0710.628,27917,11969,70986,199
2010-03-04$60.80$60.0015.3%4.4%13.3%4.5%15.6%0.8%1.2%-5.7M-33.2M-1.3M0.798.043,8923,09371,61892,737
2010-03-05$60.68$60.0015.2%4.7%13.4%3.9%16.7%2.0%2.8%-5.6M-26.2M-1.3M1.208.834,1424,96172,49392,449
2010-03-08$60.67$60.0015.1%4.7%13.4%3.5%16.8%1.6%3.0%-5.8M-27.6M-1.3M2.667.715941,57975,07195,095
2010-03-09$60.13$60.0015.3%4.7%13.5%4.1%17.0%2.4%2.8%-8.6M7.1M-1.3M2.498.241,1582,87875,06595,339
2010-03-10$59.84$60.0014.4%4.7%13.3%1.3%17.8%1.8%2.3%-10.1M27.3M-1.3M1.545.921,1751,80775,24495,935
2010-03-11$59.90$60.0016.2%4.7%13.1%7.6%16.8%1.4%2.7%-10.0M21.8M-1.3M0.566.111,12862775,36695,040
2010-03-12$60.17$60.0015.9%4.6%12.9%6.4%16.1%1.8%2.6%-10.1M886.2K-1.3M3.507.171,4465,05975,38895,071
2010-03-15$60.55$60.0016.0%4.6%12.7%6.7%16.1%1.9%2.6%-10.0M-23.4M-1.2M0.8910.481,3301,18575,44097,934
2010-03-16$60.91$60.0016.0%4.6%9.9%6.9%15.9%1.5%2.6%-8.3M-50.8M-1.2M1.2414.181,3831,71075,72698,176
2010-03-17$61.33$60.0016.0%4.6%10.0%7.0%16.5%1.2%1.5%-4.2M-79.0M-1.2M0.856.981,3701,16275,95198,327
2010-03-18$61.27$60.0016.3%4.7%10.0%7.9%16.2%1.1%1.2%-4.3M-71.3M-1.2M0.337.253,6301,18075,69398,392
2010-03-19$60.72$60.0016.4%4.7%10.4%8.3%16.3%2.9%2.0%-7.7M-58.1M-1.2M0.456.802,2801,03675,80297,979
2010-03-22$60.88$60.0016.2%4.7%10.3%7.6%15.7%2.0%1.0%-4.5M-45.8M-1.2M0.754.702,3741,78457,03576,763
2010-03-23$60.76$60.0015.5%4.5%10.2%5.2%15.3%2.4%1.3%-4.6M-42.2M-1.2M0.867.381,1701,00558,57378,085
2010-03-24$60.07$60.0015.8%4.5%10.7%6.2%16.1%1.7%1.0%-5.8M-17.6M-1.2M0.506.321,65481959,09478,447
2010-03-25$60.05$60.0015.8%4.5%10.1%6.0%17.1%1.7%1.1%-6.1M-21.6M-1.2M0.656.461,6751,09759,97278,901
2010-03-26$60.13$60.0016.1%4.6%9.9%7.2%16.3%2.2%0.8%-5.8M-24.4M-1.2M0.635.731,6141,01860,71279,279
2010-03-29$60.14$60.0016.4%4.7%8.9%8.3%16.5%1.7%0.5%-5.8M-29.8M-1.2M1.207.821,1281,35561,50179,744
2010-03-30$60.17$60.0015.4%4.4%8.9%4.8%15.7%1.3%1.1%-5.7M-33.4M-1.2M1.139.7860968662,19580,617
2010-03-31$59.71$60.0014.9%4.3%8.4%3.2%15.6%1.8%1.4%-7.0M-14.9M-1.2M1.055.219661,01162,56181,034