COST Options History — September 2010

In September 2010, COST traded between $57.79 and $65.00. ATM implied volatility averaged 20.0%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.0% (HV 20d: 16.1%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-09-28: Highest Volume — 12,806 contracts
  • 2010-09-09: Largest IV spike — 17.5% change
  • 2010-09-30: Highest IV Rank — 51.3%
  • 2010-09-30: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.21$57.79$65.00$57.79$64.49
Max Pain$57.98$57.50$60.00$57.50$60.00
ATM IV20.0%17.2%23.9%20.0%23.9%
Expected Move5.9%5.2%6.8%5.7%6.8%
HV 20d16.1%13.6%18.9%18.9%14.1%
HV 60d19.8%19.1%20.6%20.5%19.5%
IV Rank36.6%25.7%51.3%36.3%51.3%
IV Percentile48.1%21.4%82.9%44.8%82.9%
Term Structure0.5%-2.3%4.1%2.8%-2.3%
VWIV21.3%17.1%24.3%19.9%24.3%
Skew 25d3.5%2.0%5.1%3.1%2.7%
Skew 10d9.5%4.0%11.9%11.9%9.1%
Call IV 25d19.5%16.8%23.6%19.0%23.6%
Put IV 25d23.0%19.7%26.3%22.1%26.3%
Bid-Ask Spread %5.423.918.005.226.34
Gamma HHI0.240.170.370.170.17
Net GEX6.9M3.8M9.7M3.8M5.3M
Net DEX-183.8M-279.5M-84.1M-84.1M-255.4M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.162.150.341.65
Total Volume5,793.3331,93812,80611,5424,247
Total OI146,342.619135,424163,883142,364163,883

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$57.79$57.5020.0%5.7%18.9%36.3%19.9%3.1%2.8%3.8M-84.1M-1.3M0.345.228,6322,91084,03358,331
2010-09-02$58.59$57.5018.1%5.2%18.3%29.0%17.1%2.9%4.1%4.9M-103.4M-1.3M0.168.008,5671,32984,21258,525
2010-09-03$58.57$57.5017.7%6.1%18.4%27.6%20.7%5.0%1.0%5.4M-103.3M-1.3M2.155.931,8824,03784,45758,290
2010-09-07$58.64$57.5019.2%6.4%18.0%33.5%21.8%5.1%0.5%6.4M-109.1M-1.3M1.056.871,7241,80584,87457,037
2010-09-08$59.21$57.5017.2%5.9%18.2%25.7%22.3%4.6%1.4%7.6M-133.5M-1.3M0.566.002,1081,17585,91357,133
2010-09-09$58.94$57.5020.2%5.8%16.5%37.2%22.4%4.5%1.2%7.6M-126.1M-1.3M0.984.611,5161,47986,21657,243
2010-09-10$59.54$57.5020.0%5.7%16.5%36.4%21.6%4.1%1.4%8.9M-147.9M-1.3M1.125.899131,02586,41957,345
2010-09-13$60.05$57.5020.2%5.8%16.2%37.1%21.7%3.7%0.9%9.7M-167.3M-1.2M0.205.214,15984486,13157,325
2010-09-14$61.04$57.5020.2%5.8%16.7%37.3%20.2%3.9%0.8%9.1M-207.5M-1.2M0.835.792,4432,01987,29457,338
2010-09-15$61.19$57.5020.4%5.9%16.7%38.1%19.8%3.7%0.7%8.5M-207.4M-1.2M0.524.053,1041,62287,65557,950
2010-09-16$61.24$57.5020.4%5.8%16.6%37.8%21.6%4.0%0.8%8.8M-210.1M-1.2M0.824.841,3991,14188,78658,437
2010-09-17$61.29$57.5018.2%5.2%15.4%29.4%19.2%3.5%1.7%7.2M-213.6M-1.2M0.243.912,89968789,04958,859
2010-09-20$61.28$57.5019.2%5.5%15.4%33.2%20.3%3.7%-0.0%6.9M-169.9M-1.2M0.464.555,0452,30882,24953,175
2010-09-21$61.27$57.5019.4%5.6%15.3%34.1%22.3%3.7%0.1%7.4M-168.6M-1.3M1.334.361,3711,81783,97254,239
2010-09-22$62.33$57.5019.5%5.6%15.7%34.6%20.6%2.9%0.4%7.6M-209.8M-1.2M2.045.374,0198,19284,60854,896
2010-09-23$62.50$57.5019.8%5.7%13.7%35.7%21.1%2.8%0.5%6.4M-203.5M-1.3M1.435.852,4693,54186,47261,444
2010-09-24$64.05$57.5019.4%5.6%13.6%34.2%20.7%2.0%-0.0%6.2M-259.3M-1.3M1.115.963,6334,04487,23663,050
2010-09-27$63.73$60.0022.6%6.5%13.9%46.2%22.9%3.4%-0.8%6.0M-234.8M-1.3M1.123.921,9222,16088,09264,549
2010-09-28$65.00$60.0022.2%6.4%14.3%44.8%23.0%2.8%-1.5%5.6M-279.5M-1.3M0.586.568,0934,71388,61265,797
2010-09-29$64.67$60.0023.1%6.6%15.0%48.4%23.5%2.3%-2.1%6.0M-264.8M-1.4M0.994.682,3472,32093,65268,417
2010-09-30$64.49$60.0023.9%6.8%14.1%51.3%24.3%2.7%-2.3%5.3M-255.4M-1.4M1.656.341,6022,64594,02769,856