COST Options History — May 2010

In May 2010, COST traded between $55.98 and $60.36. ATM implied volatility averaged 23.7%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.0% (HV 20d: 18.7%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2010-05-26: Highest Volume — 21,472 contracts
2010-05-27: Largest IV drop — 21.4% change
2010-05-20: Highest IV Rank — 72.1%
2010-05-20: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.89	$55.98	$60.36	$59.31	$58.22
Max Pain	$58.38	$57.50	$60.00	$60.00	$57.50
ATM IV	23.7%	15.9%	29.3%	15.9%	22.1%
Expected Move	6.9%	4.6%	8.4%	4.6%	6.3%
HV 20d	18.7%	12.2%	26.9%	13.0%	26.9%
HV 60d	14.4%	12.1%	17.8%	12.1%	17.8%
IV Rank	50.6%	20.8%	72.1%	20.8%	44.5%
IV Percentile	57.0%	11.5%	85.7%	11.5%	46.4%
Term Structure	-0.2%	-1.7%	3.6%	3.6%	0.4%
VWIV	24.6%	16.9%	30.0%	16.9%	21.1%
Skew 25d	5.3%	2.4%	8.7%	2.4%	4.6%
Skew 10d	11.4%	4.1%	19.7%	5.6%	10.1%
Call IV 25d	22.5%	16.2%	27.4%	16.2%	20.1%
Put IV 25d	27.8%	18.6%	35.9%	18.6%	24.7%
Bid-Ask Spread %	7.80	5.21	11.29	5.21	7.07
Gamma HHI	0.33	0.15	0.76	0.29	0.23
Net GEX	-4.3M	-30.5M	4.7M	-3.6M	3.7M
Net DEX	12.6M	-84.4M	82.2M	-7.8M	-58.1M
Net VEX	-1.8M	-1.9M	-1.7M	-1.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.25	1.87	0.54	0.36
Total Volume	9,097.45	2,107	21,472	3,003	8,058
Total OI	171,204.55	157,991	182,757	160,604	172,449

Daily Data (20 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
2010-05-03	$59.31	$60.00	15.9%	4.6%	13.0%	20.8%	16.9%	2.4%	3.6%	-3.6M	-7.8M	-1.7M	0.54	5.21	1,951	1,052	81,655	78,949
2010-05-04	$59.88	$60.00	17.8%	5.1%	12.2%	28.0%	18.5%	2.4%	2.9%	-2.1M	-41.0M	-1.7M	0.78	7.35	7,094	5,503	82,319	79,681
2010-05-05	$60.36	$60.00	19.4%	5.6%	12.7%	34.2%	19.3%	2.8%	2.8%	-298.2K	-73.8M	-1.7M	0.78	5.62	6,670	5,231	82,612	79,908
2010-05-06	$58.03	$60.00	22.9%	6.6%	18.3%	47.5%	22.7%	2.4%	2.0%	-4.0M	33.6M	-1.7M	0.99	11.29	8,498	8,417	83,277	80,138
2010-05-07	$57.31	$60.00	26.5%	8.1%	18.4%	61.4%	28.4%	6.0%	-1.3%	-3.9M	52.8M	-1.7M	1.20	8.53	4,759	5,705	83,236	80,126
2010-05-10	$57.52	$60.00	23.2%	7.3%	18.1%	48.7%	25.6%	5.5%	-0.8%	-5.3M	60.8M	-1.7M	0.25	6.26	11,619	2,878	84,440	81,526
2010-05-11	$57.94	$57.50	21.8%	7.0%	18.3%	43.3%	23.5%	4.7%	-0.6%	-4.2M	20.2M	-1.9M	0.86	8.51	3,035	2,615	93,850	81,547
2010-05-12	$57.88	$60.00	20.0%	6.5%	18.3%	36.3%	24.6%	4.2%	-0.8%	-5.2M	32.7M	-1.8M	1.87	6.60	1,547	2,898	94,688	82,213
2010-05-13	$57.67	$57.50	22.9%	6.6%	18.0%	47.5%	23.3%	4.0%	-0.9%	-5.8M	40.1M	-1.8M	0.98	5.97	1,975	1,941	95,180	82,392
2010-05-14	$57.74	$57.50	24.5%	7.0%	18.0%	53.5%	24.3%	5.8%	-0.9%	-5.1M	30.2M	-1.8M	1.17	8.00	1,315	1,539	95,962	82,384
2010-05-17	$58.35	$57.50	24.7%	7.1%	18.4%	54.3%	25.3%	5.7%	-0.8%	-4.7M	-375.7K	-1.8M	0.72	7.64	3,920	2,841	96,119	82,884
2010-05-18	$57.78	$57.50	25.2%	7.2%	18.6%	56.5%	25.9%	5.8%	-1.2%	-5.8M	30.1M	-1.8M	0.84	8.05	3,421	2,858	96,922	82,395
2010-05-19	$57.77	$57.50	25.9%	7.4%	18.6%	59.1%	27.9%	5.9%	-1.0%	-6.9M	35.1M	-1.8M	0.78	7.53	1,186	921	97,337	83,664
2010-05-20	$56.59	$57.50	29.3%	8.4%	19.1%	72.1%	30.0%	8.6%	-1.7%	-5.9M	82.2M	-1.8M	0.94	10.28	3,134	2,944	97,309	83,648
2010-05-21	$57.44	$57.50	28.3%	8.1%	20.1%	68.4%	28.2%	8.7%	-1.7%	-30.5M	53.6M	-1.8M	0.56	8.31	10,036	5,621	99,041	83,716
2010-05-24	$56.76	$57.50	27.1%	7.8%	20.4%	63.6%	29.4%	8.4%	-1.6%	388.2K	-782.1K	-1.8M	1.01	10.22	4,983	5,034	89,617	68,374
2010-05-25	$56.50	$57.50	26.9%	7.7%	19.9%	62.9%	28.3%	6.8%	-1.3%	-153.5K	13.5M	-1.8M	0.73	7.83	2,809	2,064	92,446	71,824
2010-05-26	$55.98	$57.50	27.9%	8.0%	20.0%	66.6%	26.0%	6.1%	-1.6%	-703.0K	34.5M	-1.7M	0.26	10.26	17,070	4,402	92,934	72,015
2010-05-27	$58.74	$57.50	21.9%	6.3%	26.7%	43.7%	22.0%	4.6%	0.4%	4.7M	-84.4M	-1.9M	0.76	5.46	8,201	6,204	101,764	73,550
2010-05-28	$58.22	$57.50	22.1%	6.3%	26.9%	44.5%	21.1%	4.6%	0.4%	3.7M	-58.1M	-1.8M	0.36	7.07	5,913	2,145	99,140	73,309