COST Options History — May 2011

In May 2011, COST traded between $79.61 and $83.86. ATM implied volatility averaged 19.2%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 15.7%). Max pain ranged from $72.50 to $82.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.11.

Notable Days

2011-05-10: Highest Volume — 85,934 contracts
2011-05-25: Largest IV drop — 15.1% change
2011-05-23: Highest IV Rank — 58.8%
2011-05-23: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.80	$79.61	$83.86	$81.04	$82.48
Max Pain	$79.76	$72.50	$82.50	$72.50	$82.50
ATM IV	19.2%	16.0%	22.3%	17.9%	17.3%
Expected Move	5.6%	4.6%	6.4%	5.1%	5.0%
HV 20d	15.7%	13.5%	19.5%	18.8%	15.6%
HV 60d	18.4%	17.5%	19.1%	18.2%	17.6%
IV Rank	33.8%	13.4%	58.8%	24.1%	23.1%
IV Percentile	50.8%	6.7%	87.7%	33.3%	25.0%
Term Structure	0.2%	-1.1%	1.9%	1.7%	0.8%
VWIV	20.2%	17.3%	23.7%	18.2%	17.6%
Skew 25d	3.1%	2.1%	4.6%	2.1%	2.5%
Skew 10d	7.4%	5.4%	10.4%	6.2%	6.5%
Call IV 25d	18.6%	15.8%	21.0%	17.0%	16.5%
Put IV 25d	21.7%	18.3%	25.1%	19.1%	19.0%
Bid-Ask Spread %	7.34	4.33	10.93	8.34	5.80
Gamma HHI	0.21	0.14	0.25	0.24	0.22
Net GEX	-1.7M	-9.4M	2.5M	1.2M	-3.6M
Net DEX	-192.4M	-256.3M	-81.4M	-216.6M	-188.2M
Net VEX	-1.4M	-1.7M	-1.3M	-1.3M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.01	17.66	0.71	0.92
Total Volume	13,985.381	2,815	85,934	4,216	7,110
Total OI	141,736.048	123,825	148,429	130,634	148,429

Daily Data (21 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
2011-05-02	$81.04	$72.50	17.9%	5.1%	18.8%	24.1%	18.2%	2.1%	1.7%	1.2M	-216.6M	-1.3M	0.71	8.34	2,461	1,755	52,458	78,176
2011-05-03	$80.51	$75.00	19.0%	5.4%	19.1%	31.2%	19.2%	2.2%	1.2%	809.9K	-204.1M	-1.3M	2.81	9.80	2,527	7,108	53,099	78,950
2011-05-04	$80.14	$77.50	20.5%	5.9%	19.2%	41.3%	20.6%	2.3%	1.1%	-2.5M	-175.1M	-1.4M	1.14	9.94	5,853	6,653	53,859	83,489
2011-05-05	$79.61	$77.50	19.3%	5.5%	19.5%	33.6%	20.2%	2.2%	1.9%	-3.6M	-151.1M	-1.5M	1.91	10.93	2,160	4,135	57,466	87,581
2011-05-06	$80.45	$80.00	18.9%	6.0%	15.1%	30.4%	21.6%	3.3%	-0.6%	-2.7M	-181.1M	-1.4M	0.83	9.12	2,680	2,219	57,925	88,706
2011-05-09	$81.40	$80.00	17.9%	5.7%	13.5%	24.1%	20.4%	3.1%	-0.4%	-1.1M	-222.8M	-1.4M	1.25	8.12	1,880	2,349	58,545	89,112
2011-05-10	$82.23	$80.00	17.1%	5.6%	13.6%	18.9%	20.8%	3.0%	-0.5%	404.8K	-256.3M	-1.3M	0.01	6.86	84,666	1,268	58,320	88,755
2011-05-11	$81.70	$80.00	17.5%	5.7%	14.0%	21.3%	21.1%	3.4%	-0.4%	-1.4M	-190.1M	-1.3M	1.75	4.69	1,380	2,418	51,819	88,710
2011-05-12	$83.32	$80.00	19.8%	5.7%	15.1%	36.6%	19.8%	3.3%	-0.3%	676.3K	-242.0M	-1.3M	0.85	7.85	6,064	5,175	51,667	89,507
2011-05-13	$82.72	$80.00	20.7%	5.9%	15.6%	42.5%	20.7%	3.2%	-0.4%	157.9K	-222.3M	-1.4M	17.66	5.75	2,484	43,878	53,992	92,124
2011-05-16	$82.31	$80.00	20.9%	6.0%	15.8%	44.4%	21.3%	3.7%	-0.5%	-590.2K	-194.7M	-1.5M	1.11	5.77	1,592	1,774	54,767	85,773
2011-05-17	$82.71	$80.00	20.8%	6.0%	15.7%	43.6%	22.3%	3.8%	-0.5%	267.1K	-210.1M	-1.5M	1.03	6.02	1,389	1,426	55,078	86,342
2011-05-18	$83.24	$80.00	20.3%	5.8%	15.6%	40.2%	20.3%	3.8%	-0.1%	2.0M	-237.6M	-1.4M	1.05	6.61	1,997	2,095	55,629	86,941
2011-05-19	$83.86	$80.00	18.9%	5.4%	13.8%	30.9%	20.3%	3.1%	0.1%	2.1M	-253.1M	-1.4M	0.87	6.13	2,168	1,885	55,444	87,675
2011-05-20	$83.40	$80.00	20.1%	5.8%	14.1%	41.4%	20.0%	3.3%	-0.3%	2.5M	-243.6M	-1.4M	0.70	7.62	2,935	2,051	55,916	88,241
2011-05-23	$82.64	$80.00	22.3%	6.4%	14.6%	58.8%	23.7%	4.6%	-1.1%	-916.2K	-183.9M	-1.4M	3.44	5.28	6,287	21,654	50,322	73,503
2011-05-24	$81.35	$82.50	21.6%	6.2%	15.3%	53.8%	22.6%	3.5%	-1.0%	-7.3M	-118.3M	-1.6M	1.54	8.78	6,921	10,637	53,397	87,269
2011-05-25	$80.32	$82.50	18.3%	5.3%	14.9%	29.7%	18.7%	3.2%	0.6%	-9.4M	-81.4M	-1.7M	1.95	8.00	6,868	13,421	56,613	88,914
2011-05-26	$80.81	$82.50	17.7%	5.1%	15.0%	26.5%	17.5%	3.0%	1.1%	-6.6M	-119.2M	-1.7M	1.51	8.34	2,843	4,296	58,561	86,761
2011-05-27	$81.53	$82.50	16.0%	4.6%	15.1%	13.4%	17.3%	2.5%	1.3%	-5.9M	-147.8M	-1.6M	1.16	4.33	2,418	2,813	58,665	87,957
2011-05-31	$82.48	$82.50	17.3%	5.0%	15.6%	23.1%	17.6%	2.5%	0.8%	-3.6M	-188.2M	-1.6M	0.92	5.80	3,709	3,401	60,083	88,346