COST Options History — October 2011

In October 2011, COST traded between $79.02 and $85.30. ATM implied volatility averaged 24.9%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.2% (HV 20d: 18.7%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-10-04: Highest Volume — 15,338 contracts
  • 2011-10-31: Largest IV spike — 24.2% change
  • 2011-10-03: Highest IV Rank — 78.7%
  • 2011-10-03: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.59$79.02$85.30$81.63$83.25
Max Pain$80.36$80.00$82.50$80.00$80.00
ATM IV24.9%18.0%39.0%39.0%22.3%
Expected Move7.2%5.2%11.2%11.2%6.4%
HV 20d18.7%16.4%20.8%19.7%20.8%
HV 60d31.9%31.5%32.3%31.5%31.9%
IV Rank33.1%10.9%78.7%78.7%24.9%
IV Percentile76.3%31.7%99.2%99.2%72.6%
Term Structure0.5%-3.1%1.9%-3.1%0.6%
VWIV26.3%19.6%39.7%38.9%23.7%
Skew 25d6.0%4.1%8.3%8.3%5.1%
Skew 10d12.9%8.7%17.5%17.5%10.2%
Call IV 25d23.0%16.7%36.2%36.2%19.7%
Put IV 25d29.0%20.8%44.5%44.5%24.8%
Bid-Ask Spread %6.923.9712.027.9210.61
Gamma HHI0.170.110.510.110.11
Net GEX5.3M41.6K17.0M2.4M3.3M
Net DEX-179.1M-348.7M-43.8M-134.3M-155.3M
Net VEX-1.5M-1.7M-1.3M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.381.921.051.70
Total Volume7,9472,81315,3387,6387,843
Total OI147,673.333119,850170,883144,336129,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$81.63$80.0039.0%11.2%19.7%78.7%38.9%8.3%-3.1%2.4M-134.3M-1.6M1.057.923,7213,91770,21674,120
2011-10-04$81.65$80.0037.7%10.8%19.7%74.5%39.7%7.5%-2.9%2.5M-136.5M-1.7M1.2912.026,6968,64271,71875,996
2011-10-05$80.25$80.0032.0%9.2%18.3%56.0%32.1%6.1%0.0%1.4M-87.2M-1.6M0.916.777,1096,49472,17677,253
2011-10-06$79.20$80.0028.4%8.2%18.9%44.6%28.9%6.2%1.8%41.6K-46.4M-1.6M0.853.976,5835,60472,37278,011
2011-10-07$79.02$82.5026.1%8.1%16.9%37.0%28.9%7.8%-0.0%303.6K-43.8M-1.6M1.216.303,8314,65374,34678,120
2011-10-10$81.23$82.5025.7%7.9%19.3%35.8%27.2%6.7%-0.3%3.3M-133.7M-1.5M0.645.742,7291,74474,85678,430
2011-10-11$80.90$82.5025.1%7.8%18.9%33.8%27.5%6.7%-0.1%3.1M-119.7M-1.5M0.655.234,5682,97275,41278,331
2011-10-12$81.42$80.0022.3%7.0%18.2%24.7%25.7%6.2%0.6%4.9M-153.5M-1.5M0.676.044,5263,01077,19277,572
2011-10-13$81.67$80.0023.9%6.9%17.6%30.1%25.2%6.1%1.0%5.7M-167.0M-1.4M1.925.672,0703,97977,83478,147
2011-10-14$81.77$80.0022.7%6.5%16.6%26.2%23.9%5.7%1.2%6.3M-173.3M-1.5M1.026.872,0862,12978,15781,116
2011-10-17$82.36$80.0023.6%6.8%16.4%29.0%24.2%5.7%0.6%7.1M-198.1M-1.4M0.486.431,97595378,16781,648
2011-10-18$84.57$80.0022.6%6.5%19.2%25.9%24.7%5.1%0.9%11.0M-306.1M-1.3M0.557.228,2024,54578,42081,516
2011-10-19$84.38$80.0022.6%6.5%19.0%25.9%25.0%5.5%1.2%11.0M-296.2M-1.5M0.625.338,5635,31981,39484,696
2011-10-20$84.26$80.0023.4%6.7%18.2%28.3%25.0%5.7%1.1%12.3M-288.6M-1.5M0.707.204,5463,17982,90086,282
2011-10-21$85.30$80.0022.2%6.4%18.7%24.4%23.4%5.3%1.4%17.0M-348.7M-1.5M0.386.344,6081,76883,27687,607
2011-10-24$84.48$80.0021.1%6.0%18.5%20.8%22.5%5.6%1.4%3.6M-189.9M-1.5M0.876.143,0762,68660,37959,471
2011-10-25$83.23$80.0022.5%6.5%19.3%25.6%23.1%5.7%1.0%3.1M-159.4M-1.5M1.725.702,8014,81161,93460,843
2011-10-26$83.73$80.0022.0%6.3%19.3%23.9%21.9%5.7%1.2%3.8M-177.3M-1.5M1.107.631,3411,47263,11763,068
2011-10-27$85.22$80.0019.3%5.5%19.9%15.1%20.5%4.6%1.1%5.0M-226.1M-1.5M0.468.714,4682,06163,78263,721
2011-10-28$84.93$80.0018.0%5.2%19.5%10.9%19.6%4.1%1.9%5.0M-219.3M-1.4M0.787.403,1572,45064,09164,107
2011-10-31$83.25$80.0022.3%6.4%20.8%24.9%23.7%5.1%0.6%3.3M-155.3M-1.5M1.7010.612,9074,93664,46864,878