COST Options History — November 2011

In November 2011, COST traded between $80.76 and $85.30. ATM implied volatility averaged 23.6%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.1% (HV 20d: 18.5%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2011-11-07: Highest Volume — 16,561 contracts
  • 2011-11-09: Largest IV spike — 35.3% change
  • 2011-11-01: Highest IV Rank — 40.7%
  • 2011-11-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.09$80.76$85.30$83.35$85.30
Max Pain$83.45$80.00$85.00$80.00$82.50
ATM IV23.6%18.9%27.2%27.2%23.3%
Expected Move6.9%6.2%7.8%7.8%6.7%
HV 20d18.5%16.3%20.8%20.8%18.9%
HV 60d20.1%18.7%26.6%26.6%19.5%
IV Rank29.1%13.8%40.7%40.7%28.1%
IV Percentile74.3%43.7%86.9%86.9%72.2%
Term Structure-0.4%-1.5%1.5%-0.8%-1.4%
VWIV24.8%22.2%27.6%27.6%25.3%
Skew 25d5.5%4.8%6.9%6.9%5.6%
Skew 10d11.7%9.7%14.1%13.8%11.9%
Call IV 25d21.8%19.6%23.9%23.9%20.9%
Put IV 25d27.3%24.8%30.7%30.7%26.5%
Bid-Ask Spread %8.776.4512.638.639.15
Gamma HHI0.120.100.150.120.12
Net GEX3.3M635.4K6.7M3.3M5.1M
Net DEX-143.4M-211.3M-69.5M-156.8M-210.5M
Net VEX-1.5M-1.5M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.121.711.400.92
Total Volume5,062.76274316,56110,5057,372
Total OI132,259.714122,850141,770130,849128,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$83.35$80.0027.2%7.8%20.8%40.7%27.6%6.9%-0.8%3.3M-156.8M-1.5M1.408.634,3806,12565,24365,606
2011-11-02$84.43$80.0023.3%6.7%20.0%28.0%25.9%5.9%0.8%4.1M-190.4M-1.5M0.729.441,39099565,66965,798
2011-11-03$84.70$80.0021.8%6.2%19.2%23.2%23.9%5.4%1.5%4.4M-195.5M-1.5M1.1510.601,1061,27466,00866,212
2011-11-04$83.81$85.0021.1%6.7%19.7%21.1%25.8%6.2%-0.2%3.8M-169.7M-1.5M1.297.9074495766,29966,076
2011-11-07$84.16$85.0020.5%6.5%17.4%18.9%24.9%6.0%-0.1%4.2M-184.2M-1.5M0.127.5314,8501,71166,51866,336
2011-11-08$85.00$85.0018.9%6.2%17.5%13.8%22.2%5.2%-0.1%6.0M-211.3M-1.4M0.908.323,0312,73165,48066,982
2011-11-09$83.41$85.0025.6%7.3%19.0%35.3%24.6%6.0%-0.7%3.3M-152.5M-1.5M0.9412.632,3812,24666,29667,932
2011-11-10$82.72$85.0024.5%7.0%19.3%32.1%23.6%6.1%-0.4%3.0M-125.3M-1.5M0.6611.072,0401,34366,81368,453
2011-11-11$83.04$85.0023.7%6.8%19.3%29.4%24.3%5.4%-0.4%3.5M-138.3M-1.5M0.886.602,2942,01666,94368,574
2011-11-14$83.45$85.0023.9%6.8%19.2%29.9%24.4%5.0%-0.7%4.6M-156.4M-1.5M1.017.851,3941,41167,87769,127
2011-11-15$84.48$85.0022.1%6.3%17.3%24.2%22.5%4.8%-0.4%6.7M-190.2M-1.5M0.757.473,1092,33067,94269,317
2011-11-16$82.94$85.0024.0%6.9%18.5%30.3%23.6%5.3%-0.5%3.4M-137.2M-1.5M0.538.902,0181,06569,06371,015
2011-11-17$81.98$85.0024.9%7.1%18.9%33.2%27.4%5.9%-0.3%2.3M-103.5M-1.5M1.139.983,5323,98968,86069,917
2011-11-18$81.72$85.0023.6%6.8%18.2%29.0%24.3%5.4%0.1%1.7M-94.0M-1.5M1.148.111,9002,17169,78371,987
2011-11-21$81.29$82.5023.6%6.8%18.0%29.1%25.6%5.3%-0.3%1.2M-80.7M-1.5M0.488.482,3311,12259,60163,249
2011-11-22$81.81$82.5022.8%6.5%17.5%26.5%23.6%5.2%0.1%1.5M-99.7M-1.5M1.686.454,2577,17160,64263,840
2011-11-23$80.76$82.5026.1%7.5%17.8%36.9%25.9%5.1%-0.8%635.4K-69.5M-1.5M1.067.781,4641,55762,44666,399
2011-11-25$80.82$82.5026.5%7.6%16.3%38.2%26.6%5.2%-1.0%1.1M-76.6M-1.5M1.717.9227446961,88264,833
2011-11-28$82.23$82.5023.8%6.8%17.8%29.6%23.8%5.1%-0.7%2.0M-113.2M-1.5M0.419.361,36355961,74364,919
2011-11-29$83.51$82.5024.9%7.1%17.4%33.1%24.4%5.0%-1.5%3.3M-155.1M-1.5M0.919.992,0151,83162,17065,184
2011-11-30$85.30$82.5023.3%6.7%18.9%28.1%25.3%5.6%-1.4%5.1M-210.5M-1.4M0.929.153,8383,53462,95565,465