COST Options History — October 2010

In October 2010, COST traded between $62.21 and $65.41. ATM implied volatility averaged 20.1%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.5% (HV 20d: 15.6%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2010-10-06: Highest Volume — 20,457 contracts
2010-10-06: Largest IV drop — 25.2% change
2010-10-05: Highest IV Rank — 64.4%
2010-10-01: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.77	$62.21	$65.41	$65.05	$62.77
Max Pain	$62.38	$60.00	$62.50	$60.00	$62.50
ATM IV	20.1%	17.2%	27.3%	24.4%	18.2%
Expected Move	5.7%	5.0%	7.0%	7.0%	5.2%
HV 20d	15.6%	13.8%	18.1%	13.8%	14.1%
HV 60d	17.6%	16.0%	19.3%	19.0%	16.0%
IV Rank	41.6%	30.5%	64.4%	53.3%	34.8%
IV Percentile	47.7%	22.2%	96.4%	84.9%	31.0%
Term Structure	0.7%	-1.5%	2.0%	-1.5%	2.0%
VWIV	20.3%	18.2%	24.9%	24.9%	18.5%
Skew 25d	2.9%	1.8%	4.7%	1.8%	2.2%
Skew 10d	5.7%	3.2%	8.0%	8.0%	3.8%
Call IV 25d	18.9%	17.6%	24.3%	24.3%	17.6%
Put IV 25d	21.8%	19.7%	26.2%	26.1%	19.7%
Bid-Ask Spread %	6.16	3.81	8.02	4.51	6.58
Gamma HHI	0.22	0.19	0.33	0.20	0.19
Net GEX	4.0M	1.9M	5.9M	4.7M	3.1M
Net DEX	-206.4M	-318.8M	-117.1M	-278.9M	-125.8M
Net VEX	-1.3M	-1.4M	-1.3M	-1.4M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.22	1.86	1.18	1.07
Total Volume	7,437.952	1,707	20,457	12,342	1,707
Total OI	167,102.286	146,350	189,611	166,316	154,924

Daily Data (21 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
2010-10-01	$65.05	$60.00	24.4%	7.0%	13.8%	53.3%	24.9%	1.8%	-1.5%	4.7M	-278.9M	-1.4M	1.18	4.51	5,653	6,689	94,371	71,945
2010-10-04	$64.56	$62.50	26.8%	6.6%	14.4%	62.3%	24.5%	4.7%	-0.5%	3.7M	-263.2M	-1.4M	0.74	3.81	6,054	4,466	96,350	75,984
2010-10-05	$64.66	$62.50	27.3%	6.6%	14.4%	64.4%	22.8%	4.4%	-1.1%	4.3M	-268.7M	-1.4M	0.74	5.26	10,641	7,861	98,276	76,482
2010-10-06	$65.41	$62.50	20.4%	5.9%	14.5%	38.1%	21.4%	3.3%	0.0%	5.5M	-318.8M	-1.4M	1.21	6.91	9,269	11,188	103,614	79,108
2010-10-07	$65.26	$62.50	18.3%	5.8%	14.4%	35.4%	20.9%	3.4%	0.2%	5.9M	-318.0M	-1.4M	1.86	5.87	3,197	5,950	104,601	79,717
2010-10-08	$64.29	$62.50	17.2%	5.5%	15.9%	30.5%	20.9%	3.5%	0.4%	4.6M	-268.4M	-1.4M	0.43	5.86	6,811	2,932	104,593	80,372
2010-10-11	$64.32	$62.50	18.8%	5.6%	15.8%	37.7%	20.4%	3.4%	0.2%	4.8M	-268.4M	-1.4M	0.75	5.73	3,512	2,638	104,943	80,848
2010-10-12	$63.34	$62.50	21.5%	6.0%	16.4%	49.8%	20.8%	3.5%	0.3%	4.3M	-214.5M	-1.3M	1.58	5.45	3,494	5,536	104,269	81,098
2010-10-13	$63.36	$62.50	21.3%	5.9%	16.4%	49.0%	20.6%	3.5%	0.4%	4.6M	-210.3M	-1.4M	1.27	6.20	1,878	2,394	103,863	82,157
2010-10-14	$63.18	$62.50	20.3%	5.8%	16.5%	44.3%	20.8%	3.4%	0.4%	4.7M	-202.5M	-1.3M	1.83	5.41	2,977	5,450	103,753	82,657
2010-10-15	$63.70	$62.50	19.8%	5.7%	16.6%	42.3%	19.1%	3.2%	0.5%	3.5M	-235.5M	-1.3M	0.34	6.64	3,237	1,096	104,147	85,464
2010-10-18	$63.21	$62.50	19.1%	5.5%	17.0%	39.2%	19.3%	3.1%	1.1%	3.0M	-144.0M	-1.4M	0.63	4.45	1,526	964	83,686	62,664
2010-10-19	$62.21	$62.50	19.0%	5.4%	18.1%	38.4%	19.4%	2.4%	1.1%	1.9M	-117.1M	-1.3M	0.24	7.72	5,840	1,401	84,374	62,938
2010-10-20	$62.61	$62.50	18.9%	5.4%	17.2%	38.2%	19.1%	2.4%	1.1%	2.4M	-124.4M	-1.4M	0.51	6.23	1,997	1,012	83,823	63,079
2010-10-21	$63.60	$62.50	18.8%	5.4%	18.0%	37.4%	18.5%	2.3%	1.5%	3.7M	-170.8M	-1.3M	1.26	7.57	1,715	2,162	84,725	63,660
2010-10-22	$64.03	$62.50	17.6%	5.0%	15.9%	32.3%	18.2%	2.0%	1.5%	4.5M	-187.8M	-1.3M	0.62	6.48	1,792	1,112	85,361	64,119
2010-10-25	$64.11	$62.50	17.7%	5.1%	15.8%	32.7%	19.0%	1.9%	1.2%	4.7M	-193.4M	-1.3M	0.97	8.02	6,323	6,115	85,790	64,553
2010-10-26	$63.68	$62.50	19.0%	5.5%	14.2%	38.6%	19.9%	2.1%	1.6%	4.2M	-168.2M	-1.4M	0.22	7.90	3,809	823	90,159	67,402
2010-10-27	$62.98	$62.50	18.9%	5.4%	14.6%	38.2%	19.6%	2.5%	1.7%	3.5M	-131.8M	-1.3M	1.04	5.63	1,581	1,639	86,823	67,526
2010-10-28	$62.80	$62.50	18.7%	5.3%	14.6%	37.0%	18.2%	2.2%	1.7%	3.1M	-124.4M	-1.3M	0.51	7.25	1,165	591	87,297	67,633
2010-10-29	$62.77	$62.50	18.2%	5.2%	14.1%	34.8%	18.5%	2.2%	2.0%	3.1M	-125.8M	-1.3M	1.07	6.58	824	883	87,333	67,591