COST Options History — April 2011

In April 2011, COST traded between $74.17 and $81.46. ATM implied volatility averaged 17.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.3% (HV 20d: 18.8%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2011-04-05: Highest Volume — 20,916 contracts
  • 2011-04-11: Largest IV spike — 20.9% change
  • 2011-04-11: Highest IV Rank — 50.2%
  • 2011-04-11: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.39$74.17$81.46$74.25$80.89
Max Pain$71.88$70.00$72.50$70.00$72.50
ATM IV17.5%14.6%21.6%14.6%17.2%
Expected Move5.0%4.2%5.7%4.2%4.9%
HV 20d18.8%17.0%21.6%18.5%19.0%
HV 60d20.0%18.5%20.7%18.5%20.2%
IV Rank25.8%9.8%50.2%21.9%19.5%
IV Percentile28.6%3.2%79.8%3.2%23.0%
Term Structure1.5%0.3%2.4%1.5%1.9%
VWIV18.9%15.5%21.3%15.5%18.2%
Skew 25d3.0%2.0%3.5%3.1%2.0%
Skew 10d6.9%5.6%7.9%7.9%5.6%
Call IV 25d16.8%13.2%18.5%13.2%16.3%
Put IV 25d19.7%16.3%21.7%16.3%18.3%
Bid-Ask Spread %8.126.2014.576.937.21
Gamma HHI0.250.200.300.250.23
Net GEX946.9K-1.1M2.6M2.2M1.2M
Net DEX-177.8M-227.6M-118.6M-139.4M-215.0M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.163.520.720.30
Total Volume6,894.91,38920,9163,1141,389
Total OI126,151.05106,615141,445119,658130,361

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$74.25$70.0014.6%4.2%18.5%21.9%15.5%3.1%1.5%2.2M-139.4M-1.3M0.726.931,8121,30253,83865,820
2011-04-04$74.17$70.0016.2%4.9%18.1%30.1%18.6%3.2%1.8%2.3M-134.6M-1.3M0.347.554,2431,42453,84766,045
2011-04-05$74.93$70.0017.8%5.1%17.2%38.7%19.1%3.2%1.3%2.6M-162.9M-1.3M2.316.206,32814,58855,31566,515
2011-04-06$74.99$70.0018.3%5.2%17.0%41.6%18.9%3.2%1.3%-101.3K-139.8M-1.4M0.677.382,5221,69955,22377,317
2011-04-07$77.82$70.0017.7%5.2%20.8%38.5%19.7%2.7%0.7%2.3M-223.5M-1.3M0.477.8410,4874,88355,09477,931
2011-04-08$76.41$72.5017.9%5.4%21.6%26.0%19.8%3.2%0.7%-594.5K-170.9M-1.4M0.5314.573,7591,99256,01079,281
2011-04-11$76.20$72.5021.6%5.7%21.2%50.2%19.5%3.3%0.3%-839.9K-162.9M-1.4M0.797.784,2863,37456,07979,988
2011-04-12$76.45$72.5019.1%5.5%21.0%32.5%20.2%3.2%0.7%727.5K-178.1M-1.4M0.207.553,07661257,48979,986
2011-04-13$76.41$72.5017.7%5.4%18.2%22.9%20.5%3.3%0.9%1.1M-182.1M-1.4M0.267.891,90949857,95579,786
2011-04-14$76.34$72.5018.3%5.2%18.2%26.8%20.2%3.4%1.3%1.2M-183.7M-1.4M0.998.453,5283,50458,54079,864
2011-04-15$76.97$72.5017.4%5.0%18.2%20.9%18.1%3.3%1.6%932.7K-204.1M-1.3M0.169.043,67760359,58381,862
2011-04-18$76.90$72.5018.0%5.1%18.3%24.7%21.3%3.4%1.7%-1.1M-118.6M-1.3M0.508.763,4911,74643,27963,336
2011-04-19$76.71$72.5017.0%4.9%18.4%18.5%19.0%3.5%2.2%-861.2K-124.9M-1.3M0.319.005,6081,73545,41964,435
2011-04-20$78.56$72.5017.2%4.9%19.1%19.3%17.4%2.9%1.7%1.5M-191.8M-1.2M0.348.485,6931,95948,93765,543
2011-04-21$78.87$72.5015.8%4.5%18.7%9.8%17.7%2.7%2.4%1.8M-188.8M-1.3M0.958.653,3023,12449,15066,471
2011-04-25$78.66$72.5017.8%5.1%18.2%23.2%19.7%2.8%1.6%1.2M-176.6M-1.3M0.817.491,6891,37549,15368,771
2011-04-26$79.78$72.5016.6%4.8%18.2%15.2%19.0%2.5%2.1%1.9M-204.8M-1.2M3.527.502,1107,43250,05469,634
2011-04-27$81.10$72.5017.3%4.9%18.6%19.8%18.5%2.3%1.7%631.3K-226.0M-1.2M1.107.734,6795,16150,08475,976
2011-04-28$81.46$72.5016.7%4.8%18.4%16.3%18.0%2.1%2.0%739.7K-227.6M-1.3M0.446.405,0652,23451,32277,728
2011-04-29$80.89$72.5017.2%4.9%19.0%19.5%18.2%2.0%1.9%1.2M-215.0M-1.3M0.307.211,07031952,29478,067