COST Options History — November 2010

In November 2010, COST traded between $63.16 and $67.61. ATM implied volatility averaged 20.0%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.3% (HV 20d: 17.8%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2010-11-16: Highest Volume — 15,840 contracts
2010-11-11: Largest IV spike — 15.8% change
2010-11-30: Highest IV Rank — 59.3%
2010-11-30: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.70	$63.16	$67.61	$63.28	$67.61
Max Pain	$62.50	$62.50	$62.50	$62.50	$62.50
ATM IV	20.0%	16.5%	23.6%	18.9%	23.6%
Expected Move	5.9%	4.7%	6.8%	5.4%	6.8%
HV 20d	17.8%	14.1%	19.4%	14.3%	18.0%
HV 60d	16.6%	15.8%	17.2%	16.0%	15.9%
IV Rank	43.1%	27.2%	59.3%	38.0%	59.3%
IV Percentile	56.6%	18.7%	88.5%	36.9%	88.5%
Term Structure	-0.6%	-2.5%	2.2%	1.7%	-2.4%
VWIV	20.9%	17.6%	24.4%	18.7%	24.2%
Skew 25d	2.5%	0.9%	3.3%	2.1%	2.8%
Skew 10d	5.6%	1.9%	7.5%	3.6%	6.2%
Call IV 25d	19.9%	17.1%	22.8%	18.2%	22.8%
Put IV 25d	22.4%	18.0%	26.0%	20.3%	25.6%
Bid-Ask Spread %	8.92	5.91	14.99	8.76	11.20
Gamma HHI	0.26	0.20	0.42	0.20	0.25
Net GEX	9.2M	3.3M	18.0M	3.4M	8.5M
Net DEX	-240.2M	-323.1M	-134.4M	-138.9M	-287.9M
Net VEX	-1.2M	-1.3M	-1.1M	-1.3M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.18	4.58	0.55	1.01
Total Volume	5,458.714	962	15,840	1,430	2,222
Total OI	156,426.143	141,329	171,821	155,022	144,418

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
2010-11-01	$63.28	$62.50	18.9%	5.4%	14.3%	38.0%	18.7%	2.1%	1.7%	3.4M	-138.9M	-1.3M	0.55	8.76	921	509	86,894	68,128
2010-11-02	$63.72	$62.50	19.2%	5.5%	14.6%	39.4%	19.3%	1.6%	1.5%	4.5M	-153.8M	-1.3M	0.56	8.50	1,622	914	87,063	68,334
2010-11-03	$63.16	$62.50	18.1%	5.2%	14.1%	34.7%	18.5%	1.9%	2.2%	3.3M	-134.4M	-1.3M	0.61	10.65	2,551	1,566	87,462	68,397
2010-11-04	$65.48	$62.50	16.5%	4.7%	19.4%	27.2%	17.6%	0.9%	2.0%	8.6M	-243.6M	-1.2M	0.58	7.40	8,493	4,938	88,077	69,005
2010-11-05	$65.40	$62.50	16.6%	5.4%	18.6%	27.7%	18.6%	2.6%	-0.2%	9.0M	-239.0M	-1.2M	0.40	5.91	3,462	1,371	89,320	68,995
2010-11-08	$64.81	$62.50	17.6%	5.6%	19.0%	32.1%	20.2%	3.0%	-0.5%	7.8M	-215.3M	-1.2M	4.58	5.95	994	4,555	88,325	67,826
2010-11-09	$64.22	$62.50	17.8%	5.7%	18.4%	33.1%	20.3%	2.8%	-0.8%	6.1M	-182.6M	-1.2M	0.85	6.68	2,335	1,986	88,477	70,887
2010-11-10	$64.45	$62.50	16.9%	5.6%	18.4%	28.9%	19.6%	3.0%	-0.6%	6.9M	-194.6M	-1.2M	1.06	6.94	1,002	1,064	89,447	71,624
2010-11-11	$65.35	$62.50	19.5%	5.6%	18.9%	41.0%	19.6%	2.7%	-0.5%	9.4M	-240.8M	-1.2M	0.24	8.88	3,436	820	89,874	71,445
2010-11-12	$65.20	$62.50	20.2%	5.8%	18.8%	44.0%	20.3%	2.8%	-0.8%	9.8M	-234.5M	-1.2M	0.42	7.79	7,736	3,232	90,257	71,529
2010-11-15	$65.48	$62.50	20.7%	5.9%	18.5%	46.1%	20.4%	3.0%	-1.1%	12.9M	-252.9M	-1.2M	0.58	8.05	3,406	1,990	94,330	70,877
2010-11-16	$65.74	$62.50	22.8%	6.5%	17.3%	55.7%	22.4%	2.7%	-1.6%	12.8M	-259.1M	-1.2M	0.21	9.47	13,056	2,784	95,050	71,392
2010-11-17	$67.02	$62.50	22.1%	6.3%	18.3%	52.7%	22.4%	2.5%	-1.2%	18.0M	-323.1M	-1.2M	0.24	8.76	10,350	2,536	96,889	72,124
2010-11-18	$66.41	$62.50	21.4%	6.1%	18.2%	49.4%	22.3%	2.6%	-1.2%	16.8M	-293.9M	-1.2M	0.18	10.90	6,013	1,094	98,799	73,022
2010-11-19	$66.56	$62.50	20.2%	5.8%	18.1%	43.8%	21.0%	2.4%	-0.7%	15.6M	-295.7M	-1.2M	0.45	7.39	1,737	781	97,653	73,288
2010-11-22	$67.26	$62.50	21.0%	6.0%	18.3%	47.6%	22.0%	2.0%	-1.4%	8.0M	-266.1M	-1.1M	2.66	14.99	1,572	4,185	81,910	59,419
2010-11-23	$66.90	$62.50	21.3%	6.1%	18.3%	48.8%	22.1%	2.8%	-1.3%	7.7M	-262.5M	-1.1M	0.48	9.15	1,710	825	82,311	60,229
2010-11-24	$67.54	$62.50	21.1%	6.0%	17.7%	47.9%	21.8%	2.8%	-1.3%	8.2M	-283.4M	-1.1M	0.35	10.46	2,441	850	82,889	60,544
2010-11-26	$67.22	$62.50	21.8%	6.2%	17.8%	51.2%	23.1%	2.9%	-1.9%	8.3M	-275.9M	-1.1M	0.35	11.28	710	252	83,572	60,518
2010-11-29	$66.97	$62.50	23.1%	6.6%	17.9%	57.0%	24.4%	3.3%	-2.5%	8.2M	-267.2M	-1.1M	0.72	8.14	1,517	1,095	83,791	60,558
2010-11-30	$67.61	$62.50	23.6%	6.8%	18.0%	59.3%	24.2%	2.8%	-2.4%	8.5M	-287.9M	-1.1M	1.01	11.20	1,105	1,117	83,683	60,735