COST Options History — February 2011

In February 2011, COST traded between $70.85 and $75.43. ATM implied volatility averaged 18.4%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.5% (HV 20d: 19.9%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.87.

Notable Days

2011-02-22: Highest Volume — 43,982 contracts
2011-02-10: Largest IV spike — 24.0% change
2011-02-24: Highest IV Rank — 68.2%
2011-02-24: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.05	$70.85	$75.43	$72.43	$74.79
Max Pain	$72.50	$72.50	$72.50	$72.50	$72.50
ATM IV	18.4%	14.8%	23.3%	16.2%	22.9%
Expected Move	5.5%	4.4%	6.7%	4.6%	6.6%
HV 20d	19.9%	12.4%	22.3%	12.4%	22.0%
HV 60d	15.6%	12.9%	16.4%	12.9%	16.4%
IV Rank	42.2%	22.8%	68.2%	30.3%	65.7%
IV Percentile	43.6%	3.6%	90.1%	17.9%	87.3%
Term Structure	-0.3%	-2.1%	2.6%	1.7%	-2.1%
VWIV	20.3%	16.2%	24.4%	16.9%	23.7%
Skew 25d	3.2%	2.3%	3.6%	2.7%	3.2%
Skew 10d	6.9%	5.7%	8.6%	8.0%	7.2%
Call IV 25d	18.4%	14.6%	22.3%	15.6%	22.3%
Put IV 25d	21.5%	16.9%	25.6%	18.3%	25.5%
Bid-Ask Spread %	6.10	3.10	10.35	6.21	7.06
Gamma HHI	0.30	0.16	0.38	0.22	0.26
Net GEX	-1.8M	-5.5M	4.1M	752.7K	-3.6M
Net DEX	-112.3M	-160.1M	-40.7M	-111.5M	-94.2M
Net VEX	-1.2M	-1.4M	-1.0M	-1.0M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.87	0.18	24.22	0.68	1.08
Total Volume	8,920.053	1,342	43,982	2,377	12,120
Total OI	111,048.158	83,952	117,605	83,952	113,086

Daily Data (19 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
2011-02-01	$72.43	$72.50	16.2%	4.6%	12.4%	30.3%	16.9%	2.7%	1.7%	752.7K	-111.5M	-1.0M	0.68	6.21	1,415	962	43,819	40,133
2011-02-02	$70.85	$72.50	18.1%	5.2%	14.6%	40.3%	17.6%	3.5%	1.6%	-295.6K	-75.4M	-1.0M	9.56	10.35	3,378	32,280	44,178	39,784
2011-02-03	$74.03	$72.50	15.2%	4.4%	20.4%	25.0%	16.2%	2.3%	2.6%	-4.2M	-122.2M	-1.2M	1.24	6.75	7,357	9,148	45,603	66,510
2011-02-04	$74.13	$72.50	14.8%	5.3%	20.2%	22.8%	19.8%	3.6%	-0.3%	-4.0M	-122.0M	-1.2M	1.55	4.36	3,148	4,868	46,491	67,580
2011-02-07	$74.25	$72.50	15.4%	5.3%	20.2%	25.9%	20.1%	3.5%	-0.7%	-4.2M	-122.7M	-1.2M	1.01	3.10	879	885	47,326	69,748
2011-02-08	$74.80	$72.50	14.9%	5.2%	20.2%	23.5%	19.5%	3.2%	-0.4%	-1.8M	-145.9M	-1.2M	0.18	5.97	14,683	2,640	47,506	70,065
2011-02-09	$74.67	$72.50	14.8%	5.3%	20.1%	23.0%	19.5%	3.1%	-0.4%	-2.6M	-125.9M	-1.2M	1.25	6.25	1,184	1,480	45,557	70,607
2011-02-10	$74.55	$72.50	18.4%	5.3%	20.1%	41.9%	19.5%	3.4%	-0.3%	-2.3M	-127.3M	-1.2M	0.99	6.83	722	718	45,705	70,375
2011-02-11	$75.04	$72.50	18.1%	5.2%	20.2%	40.4%	19.7%	3.2%	-0.2%	-588.3K	-143.4M	-1.2M	1.16	5.45	1,429	1,664	45,910	70,281
2011-02-14	$74.66	$72.50	18.5%	5.3%	20.0%	42.6%	18.9%	3.0%	-0.5%	-166.1K	-137.3M	-1.2M	0.43	5.92	991	422	46,269	69,999
2011-02-15	$74.33	$72.50	18.2%	5.2%	20.1%	41.0%	20.0%	3.1%	-0.4%	-743.5K	-125.5M	-1.2M	0.52	6.86	885	457	46,589	70,186
2011-02-16	$74.96	$72.50	18.5%	5.3%	20.0%	42.3%	20.0%	3.1%	-0.4%	2.5M	-145.0M	-1.2M	3.14	7.05	798	2,506	46,589	70,276
2011-02-17	$74.84	$72.50	18.2%	5.2%	20.0%	41.1%	19.6%	3.0%	-0.1%	4.1M	-138.5M	-1.1M	1.18	7.07	694	817	46,584	70,810
2011-02-18	$75.43	$72.50	18.8%	5.4%	20.1%	43.9%	20.1%	2.9%	-0.3%	2.9M	-160.1M	-1.1M	0.81	6.77	3,649	2,942	46,508	71,097
2011-02-22	$73.89	$72.50	20.6%	5.9%	21.6%	53.8%	24.2%	2.8%	-1.0%	-5.5M	-92.4M	-1.2M	24.22	7.70	1,744	42,238	42,283	62,394
2011-02-23	$72.84	$72.50	22.6%	6.5%	22.2%	64.4%	23.3%	3.5%	-1.3%	-5.1M	-40.7M	-1.4M	1.60	4.28	1,617	2,591	42,763	66,056
2011-02-24	$72.98	$72.50	23.3%	6.7%	22.2%	68.2%	24.4%	3.5%	-1.8%	-5.2M	-44.5M	-1.4M	2.90	4.06	823	2,384	43,009	66,844
2011-02-25	$73.57	$72.50	22.9%	6.6%	22.3%	65.7%	22.3%	3.4%	-1.8%	-5.0M	-58.9M	-1.4M	1.07	3.94	1,428	1,535	43,542	67,853
2011-02-28	$74.79	$72.50	22.9%	6.6%	22.0%	65.7%	23.7%	3.2%	-2.1%	-3.6M	-94.2M	-1.4M	1.08	7.06	5,823	6,297	44,289	68,797