COST Options History — June 2011

In June 2011, COST traded between $77.69 and $81.39. ATM implied volatility averaged 19.5%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.6% (HV 20d: 18.9%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2011-06-02: Highest Volume — 10,475 contracts
2011-06-15: Largest IV spike — 13.0% change
2011-06-15: Highest IV Rank — 52.9%
2011-06-15: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.42	$77.69	$81.39	$80.21	$81.24
Max Pain	$77.95	$77.50	$82.50	$82.50	$77.50
ATM IV	19.5%	18.0%	21.2%	19.8%	18.5%
Expected Move	5.6%	5.2%	6.1%	5.7%	5.3%
HV 20d	18.9%	16.7%	20.6%	18.5%	16.7%
HV 60d	18.1%	17.5%	18.7%	18.5%	18.3%
IV Rank	40.3%	28.7%	52.9%	42.1%	32.0%
IV Percentile	60.2%	36.1%	82.1%	60.7%	45.6%
Term Structure	0.9%	0.1%	2.2%	0.1%	0.2%
VWIV	20.6%	17.8%	22.7%	19.7%	17.8%
Skew 25d	4.0%	3.0%	4.8%	3.2%	3.1%
Skew 10d	9.2%	6.3%	11.2%	6.3%	8.2%
Call IV 25d	18.4%	17.0%	19.6%	18.6%	17.0%
Put IV 25d	22.4%	20.1%	24.4%	21.8%	20.1%
Bid-Ask Spread %	7.05	4.70	8.58	7.24	7.49
Gamma HHI	0.21	0.16	0.44	0.23	0.19
Net GEX	-7.1M	-15.2M	-657.0K	-8.1M	-657.0K
Net DEX	-72.4M	-181.0M	14.9M	-85.8M	-181.0M
Net VEX	-1.6M	-1.7M	-1.5M	-1.7M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.24	2.71	1.55	0.24
Total Volume	5,467.227	1,629	10,475	8,206	8,749
Total OI	147,273.136	132,018	158,914	149,073	145,634

Daily Data (22 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
2011-06-01	$80.21	$82.50	19.8%	5.7%	18.5%	42.1%	19.7%	3.2%	0.1%	-8.1M	-85.8M	-1.7M	1.55	7.24	3,216	4,990	60,198	88,875
2011-06-02	$79.00	$82.50	18.4%	5.3%	19.2%	31.2%	20.3%	3.0%	0.7%	-9.8M	-33.2M	-1.7M	2.28	4.70	3,193	7,282	60,506	89,289
2011-06-03	$77.81	$77.50	19.9%	5.8%	19.8%	42.9%	20.1%	3.8%	0.9%	-9.4M	9.3M	-1.6M	1.50	6.31	3,234	4,860	60,537	88,648
2011-06-06	$77.69	$77.50	20.1%	5.9%	19.3%	44.7%	21.5%	4.3%	0.7%	-9.8M	14.9M	-1.6M	0.87	5.56	3,987	3,463	60,991	88,642
2011-06-07	$78.36	$77.50	19.4%	5.9%	19.1%	39.4%	21.2%	3.9%	0.8%	-9.6M	-22.4M	-1.6M	2.71	6.32	2,019	5,471	62,362	88,831
2011-06-08	$78.93	$77.50	18.0%	5.6%	18.9%	28.7%	21.5%	4.0%	1.2%	-10.3M	-37.0M	-1.6M	1.16	7.18	2,505	2,908	62,381	91,317
2011-06-09	$79.03	$77.50	19.0%	5.5%	18.8%	36.3%	20.2%	4.0%	1.5%	-11.2M	-36.3M	-1.6M	0.46	7.11	3,133	1,428	62,426	91,741
2011-06-10	$78.30	$77.50	20.4%	5.9%	17.2%	47.3%	20.6%	3.8%	1.2%	-10.9M	-4.2M	-1.6M	1.78	5.36	1,127	2,005	64,203	92,236
2011-06-13	$78.45	$77.50	21.0%	6.0%	17.2%	51.5%	20.6%	4.3%	0.7%	-10.9M	-14.9M	-1.6M	1.76	7.65	590	1,039	64,429	92,089
2011-06-14	$79.24	$77.50	18.7%	5.4%	17.8%	34.1%	19.6%	4.3%	2.1%	-11.5M	-50.6M	-1.6M	0.92	5.23	2,122	1,957	64,467	92,189
2011-06-15	$77.93	$77.50	21.2%	6.1%	18.3%	52.9%	21.6%	4.5%	0.8%	-11.1M	12.5M	-1.6M	1.20	6.55	1,722	2,069	65,316	93,130
2011-06-16	$78.85	$77.50	20.5%	5.9%	18.8%	47.6%	22.7%	4.8%	1.7%	-11.3M	-24.7M	-1.6M	2.51	8.43	1,208	3,028	64,698	93,006
2011-06-17	$79.63	$77.50	20.4%	5.9%	19.0%	47.0%	20.9%	4.6%	2.2%	-15.2M	-49.4M	-1.6M	0.89	8.58	4,350	3,868	64,852	94,062
2011-06-20	$81.25	$77.50	20.1%	5.8%	20.6%	44.5%	20.6%	4.1%	0.9%	-1.7M	-155.5M	-1.5M	0.83	6.43	2,342	1,946	54,575	77,443
2011-06-21	$81.39	$77.50	18.0%	5.2%	20.4%	28.7%	20.8%	3.9%	1.3%	-941.9K	-161.9M	-1.5M	1.19	6.84	1,255	1,491	55,481	78,077
2011-06-22	$80.52	$77.50	19.0%	5.4%	20.0%	36.0%	19.6%	3.8%	1.2%	-1.3M	-146.1M	-1.5M	1.50	7.50	1,139	1,705	55,929	78,078
2011-06-23	$80.40	$77.50	19.1%	5.5%	19.4%	36.5%	20.6%	3.8%	1.2%	-2.0M	-135.2M	-1.5M	1.12	7.24	2,400	2,688	55,959	78,899
2011-06-24	$79.13	$77.50	20.3%	5.8%	20.1%	46.0%	21.5%	4.4%	0.5%	-3.4M	-96.6M	-1.6M	1.14	8.35	2,151	2,449	56,481	79,826
2011-06-27	$79.85	$77.50	20.4%	5.8%	20.1%	46.7%	21.1%	4.4%	0.2%	-2.9M	-120.9M	-1.5M	0.52	8.30	3,323	1,714	57,190	81,227
2011-06-28	$79.99	$77.50	19.6%	5.6%	19.6%	40.8%	20.1%	3.9%	0.4%	-2.4M	-132.9M	-1.5M	1.03	8.21	2,096	2,163	59,113	82,007
2011-06-29	$80.03	$77.50	18.2%	5.2%	16.9%	30.3%	21.1%	3.4%	0.5%	-2.1M	-140.1M	-1.5M	1.71	8.54	2,176	3,718	59,853	82,816
2011-06-30	$81.24	$77.50	18.5%	5.3%	16.7%	32.0%	17.8%	3.1%	0.2%	-657.0K	-181.0M	-1.5M	0.24	7.49	7,056	1,693	60,681	84,953