COST Options History — August 2010

In August 2010, COST traded between $54.90 and $57.40. ATM implied volatility averaged 19.7%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.2% (HV 20d: 20.9%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2010-08-20: Highest Volume — 8,228 contracts
2010-08-11: Largest IV spike — 21.8% change
2010-08-30: Highest IV Rank — 44.8%
2010-08-30: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.11	$54.90	$57.40	$56.84	$56.50
Max Pain	$56.25	$55.00	$57.50	$57.50	$57.50
ATM IV	19.7%	17.2%	22.2%	17.3%	20.2%
Expected Move	5.7%	5.0%	6.4%	5.0%	5.8%
HV 20d	20.9%	15.1%	24.5%	23.9%	17.8%
HV 60d	22.5%	20.2%	23.6%	23.0%	20.2%
IV Rank	35.1%	25.7%	44.8%	26.2%	37.1%
IV Percentile	41.8%	21.4%	67.5%	21.8%	46.4%
Term Structure	1.9%	1.1%	3.9%	1.1%	3.9%
VWIV	20.1%	18.2%	24.8%	18.3%	20.7%
Skew 25d	4.0%	3.0%	5.0%	3.2%	3.6%
Skew 10d	8.1%	6.3%	9.3%	8.6%	8.0%
Call IV 25d	18.5%	17.2%	20.2%	17.2%	20.1%
Put IV 25d	22.5%	20.4%	24.2%	20.4%	23.8%
Bid-Ask Spread %	5.17	3.74	7.80	6.27	7.09
Gamma HHI	0.27	0.16	0.93	0.22	0.16
Net GEX	-5.0M	-95.7M	4.2M	786.1K	2.4M
Net DEX	-9.4M	-63.4M	43.8M	-30.3M	-39.7M
Net VEX	-1.3M	-1.4M	-1.2M	-1.4M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.22	4.53	0.24	0.50
Total Volume	3,821.091	1,574	8,228	2,224	2,719
Total OI	155,454.545	133,912	168,656	160,098	141,814

Daily Data (22 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
2010-08-02	$56.84	$57.50	17.3%	5.0%	23.9%	26.2%	18.3%	3.2%	1.1%	786.1K	-30.3M	-1.4M	0.24	6.27	1,790	434	89,810	70,288
2010-08-03	$56.55	$57.50	17.4%	5.0%	23.9%	26.5%	24.8%	3.3%	1.2%	228.9K	-21.1M	-1.4M	0.37	4.95	4,471	1,664	90,423	70,292
2010-08-04	$57.40	$57.50	18.0%	5.2%	24.3%	28.8%	18.2%	3.0%	1.2%	3.3M	-63.4M	-1.4M	0.42	4.66	5,037	2,136	89,789	70,968
2010-08-05	$56.46	$57.50	17.8%	5.1%	23.6%	27.9%	19.1%	3.9%	1.1%	846.5K	-17.2M	-1.4M	1.35	5.16	2,093	2,826	90,785	70,727
2010-08-06	$56.54	$55.00	17.4%	5.4%	23.5%	26.5%	19.6%	4.3%	1.4%	1.0M	-26.1M	-1.4M	1.25	3.95	980	1,227	90,318	71,524
2010-08-09	$57.16	$55.00	17.6%	5.4%	23.7%	27.1%	19.0%	4.1%	1.5%	4.2M	-62.0M	-1.3M	0.42	5.32	2,174	912	90,536	71,753
2010-08-10	$56.98	$55.00	17.2%	5.3%	23.5%	25.7%	19.2%	4.3%	1.8%	2.6M	-45.6M	-1.4M	0.91	4.70	1,256	1,141	91,486	71,670
2010-08-11	$55.87	$55.00	20.9%	6.2%	24.5%	40.0%	20.3%	5.0%	1.3%	-1.6M	7.4M	-1.3M	1.67	3.91	1,516	2,539	91,834	71,824
2010-08-12	$55.67	$55.00	21.6%	6.2%	24.5%	42.5%	20.2%	4.9%	1.3%	-3.0M	15.4M	-1.3M	0.80	4.75	934	751	91,892	72,799
2010-08-13	$55.31	$55.00	21.6%	6.2%	22.4%	42.5%	21.6%	4.6%	1.5%	-4.1M	27.9M	-1.3M	0.99	4.84	1,320	1,310	92,225	72,937
2010-08-16	$55.37	$55.00	21.8%	6.2%	22.4%	43.1%	21.1%	4.7%	1.4%	-5.6M	31.7M	-1.3M	1.59	4.64	1,107	1,758	92,960	73,911
2010-08-17	$55.83	$55.00	21.3%	6.1%	22.5%	41.4%	20.3%	4.3%	1.5%	-3.7M	8.8M	-1.3M	1.91	5.77	786	1,503	92,955	73,858
2010-08-18	$55.68	$55.00	21.0%	6.0%	20.0%	40.4%	21.1%	4.1%	1.5%	-5.1M	12.0M	-1.3M	1.26	5.76	1,880	2,369	93,108	74,513
2010-08-19	$55.01	$55.00	21.2%	6.1%	18.8%	41.1%	21.2%	4.2%	1.6%	-11.5M	43.8M	-1.3M	2.88	3.74	655	1,887	93,491	74,792
2010-08-20	$55.04	$55.00	19.9%	5.7%	17.4%	35.9%	18.8%	4.0%	2.2%	-95.7M	33.1M	-1.2M	4.53	4.44	1,489	6,739	93,504	75,152
2010-08-23	$54.90	$57.50	19.7%	5.6%	17.4%	35.1%	20.2%	3.8%	2.3%	66.7K	18.0M	-1.2M	1.31	4.70	1,149	1,507	77,932	55,980
2010-08-24	$55.60	$57.50	20.3%	5.8%	15.1%	37.7%	19.1%	4.4%	1.9%	478.7K	248.0K	-1.2M	0.34	5.21	4,839	1,633	78,429	56,206
2010-08-25	$57.07	$57.50	18.7%	5.4%	17.4%	31.4%	20.1%	3.2%	2.8%	1.5M	-45.0M	-1.3M	0.71	6.39	3,447	2,450	78,708	56,785
2010-08-26	$56.28	$57.50	18.9%	5.4%	18.0%	32.4%	19.7%	3.7%	2.8%	955.6K	-19.6M	-1.3M	0.65	7.80	1,200	779	79,275	57,560
2010-08-27	$56.19	$57.50	20.3%	5.8%	17.7%	37.4%	19.2%	3.6%	2.8%	993.1K	-18.1M	-1.3M	1.41	4.57	654	920	79,933	57,497
2010-08-30	$56.07	$57.50	22.2%	6.4%	17.7%	44.8%	21.2%	3.7%	3.3%	1.0M	-17.6M	-1.3M	0.22	5.12	5,005	1,078	80,067	57,690
2010-08-31	$56.50	$57.50	20.2%	5.8%	17.8%	37.1%	20.7%	3.6%	3.9%	2.4M	-39.7M	-1.3M	0.50	7.09	1,818	901	83,589	58,225