COST Options History — March 2011

In March 2011, COST traded between $69.76 and $74.16. ATM implied volatility averaged 19.2%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.1% (HV 20d: 20.3%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-03-01: Highest Volume — 24,495 contracts
  • 2011-03-02: Largest IV drop — 20.8% change
  • 2011-03-01: Highest IV Rank — 86.5%
  • 2011-03-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.05$69.76$74.16$73.62$73.32
Max Pain$70.33$70.00$72.50$72.50$70.00
ATM IV19.2%16.5%26.8%26.8%16.5%
Expected Move5.6%4.7%7.7%7.7%4.7%
HV 20d20.3%17.3%24.6%22.9%18.0%
HV 60d17.8%16.7%18.8%16.7%18.8%
IV Rank46.4%32.1%86.5%86.5%32.1%
IV Percentile50.2%17.1%97.6%97.6%17.1%
Term Structure0.5%-3.5%1.3%-3.5%1.2%
VWIV20.1%17.0%26.0%26.0%17.0%
Skew 25d3.4%2.6%4.5%3.5%2.8%
Skew 10d8.3%3.3%11.1%6.9%8.1%
Call IV 25d18.4%15.2%25.0%25.0%15.2%
Put IV 25d21.8%18.0%28.4%28.4%18.0%
Bid-Ask Spread %6.483.998.897.667.52
Gamma HHI0.340.240.610.260.24
Net GEX-5.0M-13.5M1.6M-5.4M1.6M
Net DEX-21.9M-108.5M99.4M-52.5M-108.5M
Net VEX-1.4M-1.5M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.254.300.980.25
Total Volume6,019.6091,32824,49524,4952,654
Total OI126,962.739110,173136,945119,926120,240

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$73.62$72.5026.8%7.7%22.9%86.5%26.0%3.5%-3.5%-5.4M-52.5M-1.5M0.987.6612,38112,11447,03872,888
2011-03-02$71.76$72.5021.2%6.1%24.6%57.0%21.8%3.7%-0.5%-8.8M25.8M-1.5M0.878.268,7467,56853,71576,937
2011-03-03$72.49$72.5018.9%5.4%23.5%44.4%18.8%2.6%0.5%-7.3M-16.1M-1.5M0.466.6212,6605,76755,53276,428
2011-03-04$72.81$70.0017.9%5.5%17.3%39.4%19.9%3.4%0.8%-6.1M-36.6M-1.5M2.144.972,2824,88857,37876,756
2011-03-07$72.19$70.0018.8%5.6%17.5%43.9%19.9%3.6%0.7%-6.3M-17.9M-1.5M1.885.641,4392,70457,65675,907
2011-03-08$73.62$70.0018.6%5.5%19.0%43.0%19.7%2.8%0.9%-3.9M-87.9M-1.4M0.995.281,6701,65057,81777,409
2011-03-09$74.16$70.0017.0%5.3%19.0%34.6%19.6%3.1%1.3%-3.3M-97.2M-1.4M1.043.991,4301,49157,78677,239
2011-03-10$73.38$70.0020.2%5.8%19.4%51.5%20.1%3.3%0.7%-4.5M-65.7M-1.5M1.844.911,4602,68657,68676,708
2011-03-11$72.55$70.0019.9%5.7%19.7%49.7%20.6%3.2%1.0%-5.6M-35.8M-1.4M0.956.021,1511,09257,82876,413
2011-03-14$71.84$70.0020.2%5.8%19.7%51.8%20.1%3.7%0.8%-7.7M2.8M-1.4M0.535.572,0491,09157,78976,497
2011-03-15$71.56$70.0020.6%5.9%19.7%53.6%21.6%4.0%0.7%-8.9M22.5M-1.4M0.886.092,6602,34457,53576,517
2011-03-16$69.76$70.0023.4%6.7%21.4%68.9%24.2%4.5%-0.5%-12.0M99.4M-1.4M2.286.962,1514,89458,46776,400
2011-03-17$70.46$70.0022.2%6.4%21.5%62.4%23.8%4.2%0.2%-13.5M73.5M-1.4M1.287.952,3342,97859,32677,517
2011-03-18$70.66$70.0021.0%6.0%21.6%55.9%21.9%3.6%0.8%-8.7M63.5M-1.4M4.306.381,1594,97859,46377,482
2011-03-21$71.04$70.0019.3%5.5%21.4%47.0%19.3%3.6%0.6%-3.5M-1.5M-1.3M0.827.253,2612,68047,59762,576
2011-03-22$71.55$70.0017.1%4.9%20.7%35.3%18.6%3.5%1.1%-2.6M-24.4M-1.4M0.306.473,23097849,25263,783
2011-03-23$70.92$70.0018.6%5.3%20.3%42.9%18.4%3.6%0.6%-2.9M-6.7M-1.4M0.396.593,1011,21351,07563,747
2011-03-24$72.11$70.0016.7%4.8%21.3%33.0%18.8%3.0%1.1%-1.2M-54.0M-1.4M0.806.832,2081,76153,28764,129
2011-03-25$71.46$70.0016.6%4.8%21.2%32.7%18.0%3.2%1.1%-1.8M-29.5M-1.4M0.655.981,22979853,69564,975
2011-03-28$71.26$70.0017.1%4.9%20.1%35.3%18.3%3.2%0.7%-2.3M-25.1M-1.3M0.797.1774058854,18365,326
2011-03-29$71.90$70.0016.7%4.8%19.9%32.7%17.3%3.3%0.9%-1.3M-49.7M-1.4M0.578.891,24170854,43065,550
2011-03-30$72.81$70.0016.7%4.8%18.2%33.2%17.4%2.7%0.7%202.0K-81.7M-1.3M0.636.001,37786754,45565,729
2011-03-31$73.32$70.0016.5%4.7%18.0%32.1%17.0%2.8%1.2%1.6M-108.5M-1.3M0.257.522,12153354,60565,635