COST Options History — September 2011

In September 2011, COST traded between $78.40 and $85.07. ATM implied volatility averaged 29.3%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.1% (HV 20d: 25.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2011-09-22: Highest Volume — 13,909 contracts
  • 2011-09-15: Largest IV spike — 27.2% change
  • 2011-09-30: Highest IV Rank — 69.7%
  • 2011-09-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.15$78.40$85.07$79.48$82.13
Max Pain$77.98$75.00$80.00$75.00$80.00
ATM IV29.3%22.3%36.2%23.6%36.2%
Expected Move8.7%6.8%10.4%6.8%10.4%
HV 20d25.2%19.0%48.4%48.1%20.1%
HV 60d31.5%30.9%31.7%30.9%31.6%
IV Rank47.3%24.7%69.7%29.0%69.7%
IV Percentile93.8%80.2%99.2%88.5%99.2%
Term Structure-0.5%-2.2%2.3%2.3%-1.9%
VWIV31.2%24.8%38.1%24.8%38.1%
Skew 25d7.1%5.9%8.6%6.6%8.6%
Skew 10d15.6%12.0%18.6%15.0%18.6%
Call IV 25d27.2%22.1%32.8%22.1%32.8%
Put IV 25d34.3%28.7%41.4%28.7%41.4%
Bid-Ask Spread %7.635.9412.3912.397.16
Gamma HHI0.150.110.270.140.11
Net GEX4.7M2.5M8.0M4.2M2.5M
Net DEX-196.7M-309.0M-106.6M-143.6M-147.8M
Net VEX-1.5M-1.7M-1.3M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.272.390.600.89
Total Volume6,875.6672,72313,90911,0323,569
Total OI131,084.429117,326144,080126,398144,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$79.48$75.0023.6%6.8%48.1%29.0%24.8%6.6%2.3%4.2M-143.6M-1.4M0.6012.396,9104,12262,77263,626
2011-09-02$78.56$75.0027.0%7.7%48.4%39.8%27.4%6.2%2.1%3.5M-116.7M-1.5M1.349.142,1482,87863,19563,608
2011-09-06$78.40$77.5030.8%8.9%36.8%52.2%31.9%7.9%-2.2%2.8M-106.6M-1.5M1.508.991,0911,63263,42064,530
2011-09-07$80.61$77.5025.7%8.0%32.9%35.7%28.2%7.2%-0.7%5.3M-179.5M-1.4M1.277.451,4631,85363,52464,478
2011-09-08$80.76$77.5026.2%8.2%23.1%37.4%28.4%7.4%-1.3%5.6M-185.9M-1.4M1.196.722,8303,36263,73065,495
2011-09-09$78.90$77.5028.6%8.8%23.6%45.1%33.1%7.6%-1.5%3.4M-120.6M-1.4M2.395.992,1015,02564,99566,717
2011-09-12$79.72$77.5029.2%9.0%23.7%47.2%30.5%7.4%-1.4%4.1M-145.3M-1.4M0.276.775,6261,50465,24767,894
2011-09-13$80.71$77.5027.1%9.0%23.4%40.4%31.0%7.2%-1.8%6.3M-190.8M-1.4M0.596.933,8402,27267,33167,072
2011-09-14$81.90$77.5022.3%8.2%23.4%24.7%30.0%6.9%-0.4%7.6M-232.9M-1.4M0.806.642,7622,20467,11667,491
2011-09-15$83.01$77.5028.3%8.1%23.4%44.3%28.0%6.4%-0.1%8.0M-269.3M-1.3M0.625.943,0671,90167,04167,808
2011-09-16$84.24$77.5026.0%7.4%21.3%36.7%26.7%5.9%0.8%6.5M-309.0M-1.3M0.607.395,8123,50167,85068,758
2011-09-19$85.03$77.5028.0%8.0%21.1%43.1%29.2%6.2%0.2%5.0M-252.6M-1.3M0.926.314,9424,54358,96658,360
2011-09-20$85.07$77.5027.7%8.0%21.2%42.4%29.1%6.1%0.3%5.5M-256.1M-1.4M1.067.284,0764,30361,88760,314
2011-09-21$84.43$77.5028.9%8.3%20.7%46.1%31.1%6.1%-0.6%5.1M-240.5M-1.4M0.867.683,6433,13063,57062,517
2011-09-22$83.19$80.0033.6%9.6%21.4%61.2%35.1%7.2%-0.9%4.1M-199.5M-1.5M1.096.816,6447,26564,65163,682
2011-09-23$83.37$77.5034.2%9.8%19.3%63.3%35.7%7.6%-0.9%3.7M-196.2M-1.5M1.637.281,3152,14264,29966,006
2011-09-26$84.45$80.0033.1%9.5%19.0%59.8%34.1%7.7%-0.5%4.2M-222.7M-1.5M0.616.912,1551,31764,44366,321
2011-09-27$84.33$80.0031.8%9.1%19.0%55.6%32.7%7.4%-0.7%4.3M-224.8M-1.5M1.039.215,4665,60764,72366,822
2011-09-28$83.79$80.0032.6%9.4%19.4%58.1%35.0%7.8%-0.9%4.2M-210.8M-1.6M2.238.032,6305,87667,41269,655
2011-09-29$82.98$80.0033.9%9.7%19.9%62.4%34.3%8.0%-0.7%3.4M-178.7M-1.6M0.829.124,3223,54068,68072,687
2011-09-30$82.13$80.0036.2%10.4%20.1%69.7%38.1%8.6%-1.9%2.5M-147.8M-1.7M0.897.161,8881,68169,74274,338