COST Options History — December 2011

In December 2011, COST traded between $82.06 and $88.06. ATM implied volatility averaged 20.2%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.1% (HV 20d: 19.2%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2011-12-08: Highest Volume — 20,035 contracts
  • 2011-12-08: Largest IV drop — 21.8% change
  • 2011-12-07: Highest IV Rank — 45.7%
  • 2011-12-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.60$82.06$88.06$87.09$83.32
Max Pain$79.29$77.50$82.50$82.50$77.50
ATM IV20.2%15.5%28.8%22.7%18.5%
Expected Move5.6%4.4%6.9%6.5%5.3%
HV 20d19.2%14.6%20.5%19.8%14.6%
HV 60d18.6%18.3%19.2%19.1%18.3%
IV Rank18.1%2.8%45.7%26.0%12.6%
IV Percentile45.0%3.2%90.9%69.8%36.9%
Term Structure1.4%-2.8%3.1%-1.7%1.1%
VWIV20.4%16.9%25.9%23.7%19.5%
Skew 25d4.6%3.5%6.2%5.5%3.5%
Skew 10d10.0%6.9%13.3%11.7%7.1%
Call IV 25d17.8%14.4%22.5%21.0%16.7%
Put IV 25d22.4%17.9%28.7%26.5%20.1%
Bid-Ask Spread %7.365.0211.9411.946.50
Gamma HHI0.150.120.200.140.16
Net GEX4.5M415.0K8.8M6.5M7.0M
Net DEX-183.9M-289.0M-83.1M-271.9M-172.3M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.372.262.260.58
Total Volume8,015.5242,58620,03515,4484,821
Total OI143,577.905129,327156,910129,327140,679

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$87.09$82.5022.7%6.5%19.8%26.0%23.7%5.5%-1.7%6.5M-271.9M-1.4M2.2611.944,73210,71663,42865,899
2011-12-02$86.73$82.5023.9%6.9%19.8%30.1%25.9%6.2%-2.8%3.8M-239.4M-1.5M0.8210.061,8401,50865,11273,709
2011-12-05$87.20$80.0026.7%6.3%19.4%39.0%24.4%5.7%0.9%4.2M-246.9M-1.5M1.447.294,6416,66965,28273,932
2011-12-06$88.06$80.0026.9%6.3%19.6%39.5%22.3%5.3%0.8%4.9M-289.0M-1.4M0.526.286,8943,55567,20075,762
2011-12-07$87.47$80.0028.8%6.4%19.6%45.7%24.0%5.3%0.8%4.9M-272.8M-1.5M0.747.789,2636,81869,77977,662
2011-12-08$85.76$80.0022.5%6.3%19.7%25.4%22.5%5.4%1.6%3.1M-200.5M-1.5M2.028.466,62413,41172,94978,475
2011-12-09$84.37$80.0019.3%5.8%20.5%15.2%21.5%4.8%2.4%741.3K-141.3M-1.5M0.938.336,2315,78073,16278,728
2011-12-12$84.15$80.0020.0%5.7%20.5%17.2%22.2%4.9%2.6%1.7M-145.1M-1.4M0.548.833,9732,13274,01578,861
2011-12-13$83.63$80.0021.0%6.0%20.5%20.6%20.6%4.9%2.2%2.0M-127.5M-1.4M0.796.477,1215,64175,18478,521
2011-12-14$82.75$80.0020.7%5.9%20.3%19.5%20.8%4.9%2.6%1.9M-99.4M-1.4M1.508.771,7782,66978,41477,600
2011-12-15$82.57$80.0019.6%5.6%19.3%16.2%18.7%5.2%2.7%1.6M-83.6M-1.4M0.797.033,9023,08378,59277,099
2011-12-16$82.57$80.0018.8%5.4%18.8%13.4%18.4%4.3%3.1%415.0K-100.9M-1.4M0.405.672,7071,08379,38177,529
2011-12-19$82.06$80.0018.4%5.3%18.9%12.1%18.2%4.7%1.8%1.5M-83.1M-1.3M2.176.664,1228,96367,33668,381
2011-12-20$83.64$77.5018.2%5.2%19.9%11.4%17.8%4.1%1.8%5.5M-165.6M-1.3M0.725.691,5001,08668,30665,373
2011-12-21$83.79$77.5015.9%4.6%19.8%4.2%16.9%3.6%1.9%5.9M-184.2M-1.3M0.726.452,8482,05068,56565,532
2011-12-22$83.77$77.5016.2%4.6%19.1%5.0%17.5%3.8%1.6%5.9M-182.6M-1.3M0.446.864,4071,95469,31466,647
2011-12-23$84.66$77.5015.5%4.4%19.4%2.8%16.9%3.5%2.0%8.5M-230.1M-1.3M0.375.022,7461,02471,86567,075
2011-12-27$84.58$77.5016.8%4.8%18.6%6.9%18.2%3.7%1.3%8.8M-226.6M-1.3M0.757.622,1261,59772,15067,218
2011-12-28$84.18$77.5017.5%5.0%17.9%9.2%19.7%3.9%0.9%7.6M-196.4M-1.3M0.406.211,85174472,55067,671
2011-12-29$84.34$77.5016.9%4.8%16.2%7.2%18.1%4.0%1.0%7.9M-202.5M-1.3M1.396.581,5522,16472,42267,777
2011-12-30$83.32$77.5018.5%5.3%14.6%12.6%19.5%3.5%1.1%7.0M-172.3M-1.3M0.586.503,0581,76372,61668,063