COST Options History — June 2010

In June 2010, COST traded between $54.83 and $59.16. ATM implied volatility averaged 21.5%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 4.9% (HV 20d: 26.4%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2010-06-22: Highest Volume — 12,613 contracts
  • 2010-06-29: Largest IV spike — 28.3% change
  • 2010-06-07: Highest IV Rank — 60.7%
  • 2010-06-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.30$54.83$59.16$57.98$54.83
Max Pain$57.95$57.50$60.00$57.50$57.50
ATM IV21.5%19.1%26.4%24.1%25.0%
Expected Move6.2%5.5%7.3%6.9%7.2%
HV 20d26.4%21.7%28.8%26.8%21.8%
HV 60d20.1%17.8%21.2%17.8%21.1%
IV Rank42.3%33.1%60.7%52.2%55.7%
IV Percentile45.2%27.0%81.0%59.5%77.0%
Term Structure1.3%-0.3%2.6%-0.3%0.2%
VWIV21.6%18.7%25.2%22.7%24.6%
Skew 25d5.1%4.2%6.7%5.1%5.5%
Skew 10d11.4%7.9%14.5%10.4%12.2%
Call IV 25d19.9%17.3%23.7%22.2%23.7%
Put IV 25d24.9%21.8%29.2%27.2%29.2%
Bid-Ask Spread %6.304.309.617.836.39
Gamma HHI0.220.150.380.230.21
Net GEX240.9K-4.4M7.4M4.1M-3.4M
Net DEX-9.1M-104.1M92.7M-51.6M92.7M
Net VEX-1.6M-1.8M-1.4M-1.8M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.331.740.440.68
Total Volume4,166.4091,31812,6133,9995,214
Total OI168,734.636148,714177,843172,532166,835

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$57.98$57.5024.1%6.9%26.8%52.2%22.7%5.1%-0.3%4.1M-51.6M-1.8M0.447.832,7681,23199,83472,698
2010-06-02$58.95$57.5019.8%5.7%27.3%35.8%21.5%4.5%0.4%4.5M-82.7M-1.8M0.335.301,78459797,79173,293
2010-06-03$57.93$57.5020.5%5.9%27.7%38.4%20.5%4.2%0.5%2.6M-36.2M-1.7M0.765.294,1963,17097,71573,185
2010-06-04$56.17$60.0025.5%7.2%26.3%57.6%23.6%6.7%0.5%121.1K33.8M-1.7M0.929.612,8552,62298,17072,616
2010-06-07$55.85$60.0026.4%7.3%26.1%60.7%24.5%6.3%0.0%-810.1K49.6M-1.6M1.107.291,3161,44798,50773,125
2010-06-08$56.66$60.0021.8%6.4%26.6%43.5%22.6%5.5%1.6%392.5K17.6M-1.6M0.366.541,91068298,63172,855
2010-06-09$57.40$60.0021.1%6.3%26.9%40.8%22.7%5.4%2.3%2.1M-19.9M-1.7M0.697.401,8841,29198,61872,769
2010-06-10$57.65$57.5020.9%6.0%27.0%39.9%21.5%4.7%2.4%1.4M-25.2M-1.6M0.916.6189381599,23073,119
2010-06-11$57.52$57.5020.4%5.8%27.0%37.9%20.7%4.3%2.6%2.5M-26.0M-1.6M1.126.411,2421,38699,34673,473
2010-06-14$57.52$57.5020.2%5.8%27.0%37.3%20.0%5.0%2.5%2.1M-20.6M-1.6M0.846.3578365499,88773,964
2010-06-15$59.16$57.5019.2%5.5%28.6%33.5%21.8%5.1%2.4%7.4M-104.1M-1.6M1.746.933,3885,880100,14773,955
2010-06-16$58.34$57.5020.9%6.0%28.8%40.0%21.1%4.8%1.8%3.0M-61.2M-1.6M0.455.283,8281,734101,00076,843
2010-06-17$58.58$57.5020.3%5.8%28.8%37.4%20.2%4.5%1.9%2.2M-71.0M-1.6M1.515.79643972100,97076,444
2010-06-18$58.21$57.5019.2%5.5%27.9%33.5%18.9%4.5%2.4%1.9M-56.1M-1.6M0.714.66769549100,91876,301
2010-06-21$57.78$57.5019.1%5.5%27.5%33.1%18.7%4.5%1.0%-2.8M-14.9M-1.5M1.126.831,4171,58183,20165,513
2010-06-22$57.61$57.5019.9%5.7%27.2%36.1%20.1%4.5%0.9%-2.8M-9.0M-1.5M1.054.306,1516,46283,88966,362
2010-06-23$57.44$57.5019.7%5.6%27.2%35.1%20.4%4.6%1.3%-3.3M2.5M-1.6M0.865.471,7541,51689,50771,962
2010-06-24$56.22$57.5023.3%6.7%28.1%49.1%22.3%5.5%0.7%-3.7M46.7M-1.5M1.535.092,1493,29090,32372,519
2010-06-25$56.44$57.5020.4%5.8%21.8%37.9%21.6%5.2%1.5%-3.8M37.2M-1.6M0.995.981,9381,91291,00573,724
2010-06-28$56.65$57.5020.0%5.7%21.7%36.2%20.3%4.9%1.5%-4.4M32.2M-1.6M1.237.738561,05091,53574,357
2010-06-29$55.63$57.5025.6%7.3%22.5%57.8%25.2%6.0%-0.0%-3.9M65.4M-1.5M1.105.462,4192,66391,80074,226
2010-06-30$54.83$57.5025.0%7.2%21.8%55.7%24.6%5.5%0.2%-3.4M92.7M-1.4M0.686.393,1122,10292,24174,594