COST Options History — December 2010

In December 2010, COST traded between $68.31 and $72.85. ATM implied volatility averaged 18.5%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.1% (HV 20d: 14.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-12-08: Highest Volume — 21,484 contracts
  • 2010-12-08: Largest IV drop — 27.7% change
  • 2010-12-07: Highest IV Rank — 68.7%
  • 2010-12-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.12$68.31$72.85$68.31$72.21
Max Pain$60.57$60.00$65.00$62.50$60.00
ATM IV18.5%15.5%25.7%23.8%16.8%
Expected Move5.2%4.4%6.8%6.8%4.8%
HV 20d14.4%13.0%18.1%18.1%13.5%
HV 60d16.1%15.5%16.8%16.0%15.5%
IV Rank39.8%26.6%68.7%60.4%33.3%
IV Percentile38.9%7.9%94.8%88.9%23.8%
Term Structure1.4%-2.7%3.3%-2.7%1.5%
VWIV19.0%16.6%23.6%23.6%17.0%
Skew 25d2.4%1.8%3.0%3.0%1.9%
Skew 10d6.2%2.2%9.2%6.9%4.7%
Call IV 25d17.5%15.2%22.7%22.7%16.7%
Put IV 25d19.9%17.0%25.7%25.7%18.6%
Bid-Ask Spread %7.003.7311.508.663.73
Gamma HHI0.290.220.580.250.22
Net GEX8.9M6.0M19.7M8.6M6.5M
Net DEX-368.9M-443.4M-308.2M-308.2M-361.2M
Net VEX-1.0M-1.1M-965.6K-1.0M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.301.840.641.84
Total Volume7,143.3182,12821,4848,3714,076
Total OI159,236.909145,001174,216145,001157,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$68.31$62.5023.8%6.8%18.1%60.4%23.6%3.0%-2.7%8.6M-308.2M-1.0M0.648.665,0923,27983,95361,048
2010-12-02$69.01$65.0020.7%5.9%17.6%46.2%22.2%2.8%-1.6%9.2M-320.6M-1.1M0.6511.506,7334,36185,54862,824
2010-12-03$68.39$65.0021.5%6.2%13.7%50.0%21.5%2.7%-1.7%9.9M-313.2M-1.1M0.6010.932,7231,63688,59364,211
2010-12-06$69.19$60.0024.2%5.7%14.1%62.0%20.1%2.6%1.4%8.4M-332.2M-1.1M0.304.6415,1004,51086,44864,580
2010-12-07$69.64$60.0025.7%5.9%13.4%68.7%21.9%2.7%0.7%11.3M-352.5M-1.1M0.977.249,3549,11695,36966,550
2010-12-08$69.25$60.0018.6%5.3%13.0%36.5%19.3%2.8%2.4%8.5M-320.0M-1.1M0.568.4413,7357,74997,28570,855
2010-12-09$71.02$60.0018.1%5.4%15.1%34.5%20.7%2.5%2.3%12.8M-397.0M-1.1M0.878.705,3444,67196,82572,184
2010-12-10$71.25$60.0017.0%5.3%14.7%34.6%19.4%2.5%2.3%10.9M-404.9M-1.1M0.347.806,9632,34494,74474,558
2010-12-13$70.74$60.0019.1%5.3%15.1%46.0%19.0%2.7%2.3%10.3M-387.7M-1.1M0.697.913,1592,17895,62975,075
2010-12-14$71.21$60.0019.7%5.2%15.1%48.8%19.5%2.7%2.4%11.2M-407.5M-1.0M1.248.111,9682,43596,08875,693
2010-12-15$71.05$60.0018.3%5.2%15.3%41.5%18.8%2.8%2.5%10.0M-397.5M-1.1M0.705.991,39998696,17377,337
2010-12-16$72.12$60.0017.0%4.9%14.8%34.8%18.0%2.3%3.0%19.7M-443.4M-1.0M0.475.892,01393896,00377,714
2010-12-17$71.84$60.0016.3%4.7%14.3%30.7%17.3%2.1%3.3%6.0M-425.2M-999.8K0.465.903,8811,77696,03478,182
2010-12-20$72.31$60.0015.8%4.5%14.3%28.1%16.6%1.8%1.7%6.1M-364.2M-973.4K0.966.681,7891,71780,76865,944
2010-12-21$72.32$60.0015.5%4.4%14.2%26.6%17.7%1.8%1.8%6.2M-370.6M-965.6K1.165.002,1182,46081,46865,863
2010-12-22$72.27$60.0016.0%4.6%13.9%29.3%16.6%1.8%1.6%6.3M-361.2M-1.0M0.435.762,7611,19382,59567,068
2010-12-23$72.24$60.0015.8%4.5%13.8%28.3%16.9%1.8%1.6%6.8M-363.9M-1.0M0.805.712,6622,14083,82667,572
2010-12-27$72.08$60.0016.7%4.8%13.6%33.0%18.1%2.2%1.2%6.9M-357.5M-1.0M0.897.312,9932,67784,55568,329
2010-12-28$72.71$60.0017.2%4.9%13.4%35.7%18.1%2.1%1.0%6.8M-375.0M-1.0M1.306.571,1861,53885,39669,720
2010-12-29$72.70$60.0016.6%4.8%13.4%32.6%17.2%2.1%1.4%6.7M-373.6M-1.0M0.835.541,16596385,53370,571
2010-12-30$72.85$60.0016.9%4.8%13.1%33.8%18.2%2.2%1.3%6.6M-377.4M-1.0M0.565.901,45282085,84771,014
2010-12-31$72.21$60.0016.8%4.8%13.5%33.3%17.0%1.9%1.5%6.5M-361.2M-1.0M1.843.731,4342,64286,30771,333