COST Options History — July 2011

In July 2011, COST traded between $78.25 and $82.64. ATM implied volatility averaged 18.5%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.6% (HV 20d: 15.9%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-07-18: Highest Volume — 16,660 contracts
  • 2011-07-11: Largest IV spike — 32.1% change
  • 2011-07-29: Highest IV Rank — 61.8%
  • 2011-07-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.59$78.25$82.64$81.54$78.25
Max Pain$79.75$77.50$80.00$77.50$80.00
ATM IV18.5%15.1%22.5%16.1%22.5%
Expected Move5.4%4.6%6.4%4.6%6.4%
HV 20d15.9%14.3%17.3%15.6%16.2%
HV 60d16.9%16.3%18.3%18.3%17.3%
IV Rank31.6%6.0%61.8%13.5%61.8%
IV Percentile46.0%2.4%92.9%7.1%92.9%
Term Structure1.1%-0.4%2.1%0.3%-0.4%
VWIV19.7%17.3%22.8%17.5%22.8%
Skew 25d3.8%2.8%4.6%3.2%4.5%
Skew 10d8.2%6.9%10.3%7.8%7.9%
Call IV 25d17.3%16.0%20.4%16.0%20.4%
Put IV 25d21.1%18.9%25.0%19.2%25.0%
Bid-Ask Spread %4.793.098.248.244.19
Gamma HHI0.220.160.530.240.22
Net GEX-568.8K-18.0M4.8M3.1M-2.9M
Net DEX-161.1M-261.5M-64.6M-208.0M-64.6M
Net VEX-1.4M-1.6M-1.4M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.332.180.931.34
Total Volume6,087.31,59616,6608,2068,402
Total OI135,312.55105,077152,138146,482127,513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$81.54$77.5016.1%4.6%15.6%13.5%17.5%3.2%0.3%3.1M-208.0M-1.5M0.938.244,2553,95163,82982,653
2011-07-05$81.29$77.5017.8%4.9%15.6%26.8%17.6%3.6%2.1%2.2M-203.6M-1.4M0.454.092,5631,16363,58583,105
2011-07-06$82.64$80.0018.1%5.0%16.3%28.9%18.3%3.8%1.6%4.8M-261.5M-1.4M0.337.298,2732,74264,26083,078
2011-07-07$82.06$80.0016.4%5.1%16.5%16.1%18.9%3.7%1.7%3.2M-232.6M-1.4M0.846.955,5244,65564,79083,470
2011-07-08$81.41$80.0015.1%5.0%16.9%6.0%18.6%3.6%1.7%1.6M-212.4M-1.4M0.534.151,9611,04765,74884,835
2011-07-11$80.68$80.0019.9%5.7%16.9%43.1%20.1%4.3%1.1%-617.8K-181.9M-1.4M0.843.481,7871,50065,84083,996
2011-07-12$80.71$80.0019.7%5.7%16.9%41.4%19.6%4.2%1.1%-468.2K-185.0M-1.4M0.623.091,32182165,51984,082
2011-07-13$80.84$80.0018.6%5.6%16.6%32.7%19.6%4.0%1.5%-553.1K-194.1M-1.4M0.643.471,6791,06765,73984,124
2011-07-14$80.33$80.0019.9%5.7%15.5%41.7%21.9%4.6%1.6%-3.7M-172.7M-1.4M1.284.842,4863,17565,59984,472
2011-07-15$79.86$80.0019.4%5.6%15.2%37.5%21.3%4.3%1.9%-18.0M-137.0M-1.4M1.793.842,0723,71466,12086,018
2011-07-18$79.11$80.0018.9%5.4%15.2%33.3%22.0%3.9%1.3%-49.5K-99.6M-1.4M2.183.775,23211,42851,29053,787
2011-07-19$80.81$80.0018.2%5.2%15.4%28.5%21.0%4.5%1.1%365.8K-141.0M-1.4M2.064.832,0354,18553,62060,991
2011-07-20$80.69$80.0018.3%5.2%15.4%29.0%18.6%3.7%0.7%233.2K-140.9M-1.5M1.474.373,5765,26654,27862,506
2011-07-21$81.52$80.0017.0%4.9%15.3%18.6%17.3%3.3%1.2%1.2M-168.3M-1.4M0.505.496,4613,22755,85564,661
2011-07-22$81.67$80.0016.4%4.7%15.3%14.4%18.0%2.8%1.2%2.2M-179.8M-1.5M1.006.002,0082,00458,22865,603
2011-07-25$81.16$80.0018.4%5.3%14.3%29.6%19.5%3.4%0.7%1.3M-162.7M-1.5M1.335.031,0611,40859,20566,616
2011-07-26$80.55$80.0018.3%5.3%14.3%29.1%17.9%3.3%0.9%570.7K-142.9M-1.5M0.554.991,02756959,69567,285
2011-07-27$78.39$80.0020.8%6.0%17.3%48.3%21.3%3.9%0.1%-2.9M-67.9M-1.6M1.384.111,8142,50759,54967,370
2011-07-28$78.33$80.0021.1%6.1%17.3%51.4%21.9%4.3%0.2%-3.0M-66.4M-1.6M1.843.531,3292,45159,68567,652
2011-07-29$78.25$80.0022.5%6.4%16.2%61.8%22.8%4.5%-0.4%-2.9M-64.6M-1.6M1.344.193,5854,81759,71767,796