COST Options History — January 2011

In January 2011, COST traded between $70.48 and $73.12. ATM implied volatility averaged 16.6%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.9% (HV 20d: 11.6%). Max pain ranged from $60.00 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2011-01-05: Highest Volume — 9,568 contracts
  • 2011-01-05: Largest IV spike — 14.2% change
  • 2011-01-05: Highest IV Rank — 49.0%
  • 2011-01-05: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.93$70.48$73.12$72.47$71.84
Max Pain$69.00$60.00$72.50$60.00$72.50
ATM IV16.6%15.0%19.7%17.4%16.6%
Expected Move4.9%4.4%5.7%5.0%4.7%
HV 20d11.6%10.7%14.4%12.9%12.1%
HV 60d14.9%14.4%15.7%15.5%14.7%
IV Rank32.4%24.2%49.0%36.7%32.3%
IV Percentile21.4%5.6%57.1%29.8%23.0%
Term Structure1.4%0.1%2.0%1.0%1.6%
VWIV17.5%15.5%20.1%18.8%18.7%
Skew 25d2.7%1.6%3.6%1.9%3.4%
Skew 10d8.0%3.7%10.4%3.7%9.3%
Call IV 25d16.3%14.7%18.2%17.2%16.1%
Put IV 25d19.0%17.2%21.5%19.1%19.6%
Bid-Ask Spread %6.674.219.886.775.96
Gamma HHI0.240.150.430.210.22
Net GEX4.0M1.1M7.2M6.1M1.1M
Net DEX-267.4M-379.1M-104.2M-365.9M-104.2M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.213.330.482.76
Total Volume4,253.352,1179,5683,3892,635
Total OI142,489.6578,786172,788159,91182,013

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$72.47$60.0017.4%5.0%12.9%36.7%18.8%1.9%1.0%6.1M-365.9M-1.1M0.486.772,2911,09886,91672,995
2011-01-04$72.33$60.0017.3%5.0%12.5%36.0%17.8%1.6%1.1%6.1M-360.4M-1.1M3.336.271,2234,07387,35573,504
2011-01-05$70.99$60.0019.7%5.7%14.4%49.0%20.1%3.2%0.1%4.7M-306.9M-1.1M1.147.904,4675,10187,41976,235
2011-01-06$70.65$60.0017.2%4.9%14.4%35.9%17.4%2.7%2.0%4.2M-287.0M-1.1M0.919.884,3183,90989,41079,225
2011-01-07$70.65$72.5016.6%5.4%11.2%32.6%18.6%3.1%0.8%3.4M-284.0M-1.2M1.628.901,2382,00989,70380,982
2011-01-10$70.48$72.5017.1%5.5%11.1%35.2%17.7%3.6%0.9%3.4M-280.5M-1.1M0.737.362,0961,53889,54480,605
2011-01-11$71.07$72.5016.2%5.4%11.3%30.3%18.4%2.9%1.0%3.4M-299.6M-1.1M2.367.808411,98389,06581,116
2011-01-12$71.49$72.5015.0%5.0%11.2%24.2%18.1%3.0%1.4%3.8M-319.9M-1.1M0.718.191,23887989,10281,342
2011-01-13$71.60$72.5016.9%4.8%11.2%33.9%17.8%2.7%1.5%3.8M-314.5M-1.1M0.218.625,1041,07089,23881,506
2011-01-14$72.51$70.0016.2%4.7%10.8%30.5%17.5%2.4%1.8%5.0M-359.9M-1.1M1.404.722,0262,83389,83981,810
2011-01-18$72.60$70.0017.0%4.9%10.7%34.4%17.2%2.4%1.3%5.9M-365.6M-1.0M0.414.211,55364289,94881,132
2011-01-19$72.07$70.0016.5%4.7%10.8%32.0%17.9%2.8%1.6%5.6M-343.7M-1.0M0.564.682,5941,45490,20181,220
2011-01-20$72.36$70.0016.8%4.8%10.9%33.3%17.0%2.9%1.2%5.7M-354.2M-1.0M0.385.424,5451,71790,56582,054
2011-01-21$72.77$70.0016.1%4.6%11.1%30.0%16.7%2.4%1.8%7.2M-379.1M-1.0M0.394.473,5611,38490,28482,504
2011-01-24$72.62$70.0015.9%4.5%11.1%28.5%16.1%2.7%1.5%2.0M-125.1M-1.0M1.006.571,0791,07742,16936,617
2011-01-25$72.46$70.0015.7%4.5%11.1%27.5%16.4%2.6%1.9%1.8M-118.8M-1.0M0.907.061,2101,08942,68136,918
2011-01-26$72.62$70.0015.5%4.4%10.7%26.7%15.9%2.4%1.9%2.2M-127.5M-1.0M1.645.512,4073,94143,34037,432
2011-01-27$73.12$72.5015.8%4.5%11.0%28.2%15.5%2.5%1.7%3.3M-144.1M-1.0M0.826.651,3161,08044,13637,534
2011-01-28$71.93$72.5016.3%4.7%12.4%30.6%16.9%2.9%1.6%1.6M-107.8M-1.0M1.166.451,1331,31544,25737,877
2011-01-31$71.84$72.5016.6%4.7%12.1%32.3%18.7%3.4%1.6%1.1M-104.2M-1.0M2.765.967011,93443,72938,284