COST Options History — August 2011

In August 2011, COST traded between $70.39 and $78.54. ATM implied volatility averaged 30.1%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 10.1% (HV 20d: 40.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-08-08: Highest Volume — 34,133 contracts
  • 2011-08-08: Largest IV spike — 57.8% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.42$70.39$78.54$77.70$78.54
Max Pain$76.63$75.00$80.00$80.00$75.00
ATM IV30.1%21.5%45.6%22.7%26.5%
Expected Move8.4%6.2%10.8%6.5%7.6%
HV 20d40.2%16.2%49.2%16.2%48.1%
HV 60d27.4%17.3%31.1%17.3%30.8%
IV Rank60.2%36.3%100.0%63.6%38.4%
IV Percentile96.5%87.3%100.0%93.7%91.7%
Term Structure-0.4%-2.9%1.6%-1.0%1.1%
VWIV29.7%21.9%41.8%23.3%25.4%
Skew 25d7.3%3.4%9.8%4.9%6.3%
Skew 10d14.8%5.3%20.7%8.0%15.0%
Call IV 25d26.3%20.7%33.8%20.9%23.4%
Put IV 25d33.6%24.7%43.5%25.8%29.7%
Bid-Ask Spread %7.804.5010.884.5010.40
Gamma HHI0.200.110.310.230.12
Net GEX-2.5M-7.1M3.0M-4.0M2.9M
Net DEX10.3M-110.8M175.7M-43.6M-110.8M
Net VEX-1.5M-1.7M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.194.021.410.46
Total Volume9,802.3482,98434,1335,9687,178
Total OI132,438.13117,117142,412132,278125,513

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$77.70$80.0022.7%6.5%16.2%63.6%23.3%4.9%-1.0%-4.0M-43.6M-1.6M1.414.502,4733,49561,56370,715
2011-08-02$75.83$80.0024.6%7.1%18.0%78.9%24.1%4.6%-1.4%-6.5M20.4M-1.5M0.194.707,8201,44861,43071,051
2011-08-03$77.08$80.0021.5%6.2%17.9%54.4%21.9%3.9%0.5%-4.7M308.6K-1.6M0.894.798,4217,46258,07271,408
2011-08-04$76.51$77.5028.3%8.1%18.0%100.0%30.5%6.1%-2.0%-3.8M11.2M-1.7M0.996.245,6115,53561,93073,336
2011-08-05$76.74$77.5028.1%7.8%18.0%98.0%28.6%5.8%0.4%-3.8M4.0M-1.7M0.505.034,1472,07863,17874,761
2011-08-08$70.62$77.5044.3%10.5%33.7%100.0%33.6%3.4%-0.9%-4.7M162.7M-1.5M4.028.686,79727,33664,42575,716
2011-08-09$74.66$77.5035.1%8.8%40.3%68.9%32.7%8.4%-1.1%-5.1M67.8M-1.6M0.9910.295,7195,67664,56176,374
2011-08-10$70.39$77.5045.6%10.8%44.7%100.0%41.8%9.8%-2.9%-5.0M175.7M-1.5M2.049.337,98416,29664,93877,131
2011-08-11$72.61$77.5034.3%9.8%46.7%63.6%34.1%9.5%-1.7%-4.9M110.8M-1.5M0.698.264,5263,13865,62174,639
2011-08-12$72.79$77.5032.4%9.3%46.7%57.5%32.8%8.8%-1.5%-5.7M113.7M-1.5M0.598.371,8801,10466,18373,861
2011-08-15$74.08$77.5027.0%7.7%47.4%40.0%27.7%7.7%0.7%-7.1M78.6M-1.4M0.928.432,9952,75765,77273,226
2011-08-16$75.14$77.5027.8%8.0%46.9%42.5%27.7%6.9%0.3%-6.9M35.5M-1.5M0.937.863,8113,55066,79473,944
2011-08-17$76.12$75.0026.7%7.7%47.3%39.0%25.8%6.2%0.5%-4.1M-17.2M-1.4M0.598.206,4273,81867,24368,382
2011-08-18$74.36$75.0032.2%9.2%47.6%56.8%33.2%8.6%-1.4%-6.0M40.4M-1.4M0.888.946,4235,67169,71868,283
2011-08-19$74.36$75.0032.3%9.3%47.5%57.2%34.5%9.4%-1.2%-4.6M47.7M-1.4M0.9210.886,5966,03872,07470,338
2011-08-22$74.42$75.0032.3%9.2%47.6%56.9%33.2%9.8%-1.2%1.1M-9.8M-1.4M0.556.925,4192,99859,94757,170
2011-08-23$76.22$75.0030.5%8.7%48.6%51.2%28.9%8.8%-0.2%2.4M-56.6M-1.5M0.648.643,6312,32262,06258,538
2011-08-24$77.49$75.0027.8%8.0%48.2%42.6%28.3%8.1%0.8%3.0M-87.1M-1.5M0.647.833,2602,07762,15559,411
2011-08-25$75.86$75.0032.6%9.3%48.7%58.0%31.8%9.1%-0.6%2.0M-45.5M-1.5M2.278.072,3725,39362,10959,704
2011-08-26$77.21$75.0027.8%8.0%49.2%42.5%28.3%7.7%1.0%2.3M-75.0M-1.5M1.257.682,7843,48461,76962,302
2011-08-29$77.79$75.0026.7%7.7%49.2%39.0%27.9%7.7%0.7%2.5M-90.2M-1.5M0.896.101,6801,50361,57662,188
2011-08-30$78.07$75.0025.9%7.4%48.4%36.3%27.9%6.7%1.6%2.4M-95.7M-1.5M0.899.392,2922,02961,56863,398
2011-08-31$78.54$75.0026.5%7.6%48.1%38.4%25.4%6.3%1.1%2.9M-110.8M-1.4M0.4610.404,9262,25262,22163,292