COST Options History — April 2010

In April 2010, COST traded between $58.85 and $61.74. ATM implied volatility averaged 15.1%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.0% (HV 20d: 12.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2010-04-06: Highest Volume — 21,156 contracts
  • 2010-04-12: Largest IV spike — 46.0% change
  • 2010-04-30: Highest IV Rank — 21.7%
  • 2010-04-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.01$58.85$61.74$60.14$59.08
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV15.1%10.5%16.7%14.9%16.2%
Expected Move4.5%4.1%4.8%4.3%4.6%
HV 20d12.1%8.8%13.8%8.8%13.6%
HV 60d12.2%11.8%12.7%11.9%12.1%
IV Rank13.6%0.0%21.7%3.3%21.7%
IV Percentile6.0%0.0%16.3%1.6%13.9%
Term Structure2.5%1.2%3.5%1.2%3.3%
VWIV15.9%14.7%17.2%14.9%16.6%
Skew 25d2.3%1.5%3.0%1.7%1.5%
Skew 10d5.6%2.4%8.2%2.4%3.2%
Call IV 25d15.1%13.9%16.4%14.9%16.4%
Put IV 25d17.4%15.9%19.1%16.6%18.0%
Bid-Ask Spread %13.857.6918.3710.5318.37
Gamma HHI0.230.180.310.300.26
Net GEX-943.6K-6.4M1.4M-6.4M-1.5M
Net DEX-49.2M-115.3M15.9M-32.5M-15.0M
Net VEX-1.4M-1.6M-1.2M-1.2M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.1411.890.1511.89
Total Volume7,935.7141,85121,1565,58517,572
Total OI150,280.381135,198174,895144,487154,191

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$60.14$60.0014.9%4.3%8.8%3.3%14.9%1.7%1.2%-6.4M-32.5M-1.2M0.1510.534,87571062,80981,678
2010-04-05$60.82$60.0016.7%4.8%9.7%10.4%16.8%3.0%1.3%-3.2M-71.1M-1.2M0.1414.525,70379366,27381,641
2010-04-06$61.74$60.0015.7%4.4%11.0%6.3%16.3%2.4%2.1%357.3K-115.3M-1.2M4.5017.143,85017,30667,37081,980
2010-04-07$61.72$60.0016.6%4.6%10.4%10.2%17.0%2.6%1.9%-471.2K-108.7M-1.2M1.4315.404,2326,04868,69283,449
2010-04-08$60.98$60.0014.4%4.7%11.3%1.3%16.1%2.6%1.9%-2.0M-89.2M-1.2M0.7117.874,3733,11368,69283,449
2010-04-09$61.21$60.0010.5%4.6%11.3%0.0%15.0%2.8%2.1%789.3K-92.9M-1.3M0.3811.551,33751471,61380,101
2010-04-12$60.35$60.0015.3%4.6%12.5%17.1%16.0%2.5%2.1%288.0K-58.8M-1.2M1.1617.473,3533,88971,61380,101
2010-04-13$59.89$60.0013.9%4.5%12.5%11.9%16.6%2.0%2.2%-1.2M-33.5M-1.3M0.8713.033,5603,08473,49382,457
2010-04-14$59.62$60.0014.2%4.3%12.4%13.2%15.4%2.8%2.3%-2.3M-15.3M-1.3M0.6314.688,3675,24774,08183,881
2010-04-15$59.03$60.0015.9%4.6%12.4%19.3%16.8%2.1%1.7%-4.7M15.9M-1.3M0.1712.1511,5972,00776,99287,327
2010-04-16$59.19$60.0015.6%4.5%12.5%17.9%16.2%2.6%2.3%-722.0K-18.6M-1.5M0.4714.982,6701,26487,13787,758
2010-04-19$59.48$60.0014.8%4.2%12.4%15.3%15.1%2.0%2.8%-438.7K-37.0M-1.5M0.4511.784,4181,97473,10662,092
2010-04-20$59.49$60.0014.6%4.2%12.3%14.5%14.9%1.9%2.7%128.1K-44.3M-1.5M1.3610.352,4003,25475,29662,860
2010-04-21$59.51$60.0014.2%4.1%12.3%13.3%14.7%1.8%3.1%-257.7K-39.7M-1.6M0.2810.612,30065576,41665,290
2010-04-22$60.22$60.0014.3%4.1%12.5%13.7%14.7%2.2%3.3%1.0M-69.5M-1.6M0.7616.793,0532,33077,44765,555
2010-04-23$60.20$60.0015.5%4.5%12.5%17.9%15.5%1.6%2.9%998.1K-69.8M-1.6M0.4015.147,3552,92577,76365,723
2010-04-26$60.07$60.0015.6%4.5%12.5%18.1%15.9%2.0%3.0%1.4M-65.5M-1.6M0.5314.922,6351,40280,12267,279
2010-04-27$59.17$60.0016.4%4.7%13.6%21.0%16.7%2.7%2.7%12.7K-28.2M-1.6M0.3617.735,7722,06481,52467,985
2010-04-28$58.85$60.0016.1%4.6%13.7%20.8%17.2%2.9%3.5%-1.1M-11.2M-1.6M0.527.691,76891280,65069,133
2010-04-29$59.35$60.0015.5%4.5%13.8%19.3%15.8%2.5%3.3%-494.8K-32.2M-1.6M1.768.172,1593,81081,24869,621
2010-04-30$59.08$60.0016.2%4.6%13.6%21.7%16.6%1.5%3.3%-1.5M-15.0M-1.6M11.8918.371,36316,20981,51172,680