COST Options History — January 2012

In January 2012, COST traded between $79.01 and $84.60. ATM implied volatility averaged 17.0%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.8% (HV 20d: 17.8%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2012-01-09: Highest Volume — 26,242 contracts
2012-01-20: Largest IV drop — 14.4% change
2012-01-09: Highest IV Rank — 13.1%
2012-01-06: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.55	$79.01	$84.60	$84.60	$82.27
Max Pain	$80.00	$77.50	$82.50	$77.50	$80.00
ATM IV	17.0%	15.4%	18.7%	16.9%	15.9%
Expected Move	4.9%	4.4%	5.4%	4.8%	4.6%
HV 20d	17.8%	15.3%	19.0%	15.8%	18.0%
HV 60d	18.3%	17.4%	19.3%	18.3%	17.4%
IV Rank	7.7%	2.7%	13.1%	7.3%	4.1%
IV Percentile	17.8%	2.8%	38.5%	15.9%	5.6%
Term Structure	1.1%	0.3%	2.0%	1.0%	2.0%
VWIV	17.9%	16.1%	19.8%	18.9%	17.0%
Skew 25d	3.1%	2.4%	4.3%	3.6%	2.4%
Skew 10d	6.7%	4.8%	9.3%	7.9%	5.2%
Call IV 25d	16.1%	14.5%	17.6%	16.1%	15.2%
Put IV 25d	19.3%	17.2%	21.6%	19.7%	17.6%
Bid-Ask Spread %	6.82	4.88	9.83	7.73	8.19
Gamma HHI	0.16	0.13	0.22	0.19	0.16
Net GEX	1.3M	-4.6M	9.8M	9.8M	3.5M
Net DEX	-54.3M	-229.4M	15.7M	-229.4M	-41.8M
Net VEX	-1.3M	-1.3M	-1.2M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.39	3.27	0.61	0.82
Total Volume	8,045.95	2,416	26,242	9,198	2,416
Total OI	136,970.3	90,466	168,331	141,781	102,836

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$84.60	$77.50	16.9%	4.8%	15.8%	7.3%	18.9%	3.6%	1.0%	9.8M	-229.4M	-1.2M	0.61	7.73	5,719	3,479	74,472	67,309
2012-01-04	$84.07	$77.50	18.3%	5.2%	15.7%	11.7%	19.1%	4.0%	0.3%	8.7M	-198.7M	-1.3M	0.76	7.90	5,040	3,852	74,691	67,196
2012-01-05	$83.26	$77.50	17.4%	5.0%	15.3%	8.9%	17.4%	3.5%	0.9%	7.2M	-161.2M	-1.2M	0.83	9.83	8,515	7,039	76,098	69,022
2012-01-06	$81.13	$82.50	18.5%	5.4%	17.3%	12.7%	17.6%	4.3%	0.4%	2.6M	-67.8M	-1.3M	1.11	7.54	5,463	6,038	78,002	72,287
2012-01-09	$79.01	$82.50	18.7%	5.3%	18.3%	13.1%	19.8%	3.6%	0.3%	-1.3M	15.7M	-1.2M	1.46	5.56	10,667	15,575	78,217	73,279
2012-01-10	$79.15	$82.50	17.3%	5.0%	17.8%	8.5%	18.5%	3.4%	0.7%	-3.0M	15.7M	-1.2M	3.27	7.21	2,933	9,580	79,048	78,684
2012-01-11	$79.99	$80.00	17.2%	5.1%	18.5%	8.4%	17.9%	3.4%	1.0%	-4.6M	5.6M	-1.3M	0.62	4.88	3,990	2,456	80,160	87,894
2012-01-12	$79.95	$80.00	17.8%	5.1%	18.4%	10.3%	18.6%	3.2%	1.1%	-3.4M	-3.1M	-1.3M	0.69	5.69	2,538	1,761	79,226	84,850
2012-01-13	$80.61	$80.00	18.0%	5.2%	18.5%	11.0%	18.3%	2.9%	1.1%	-1.2M	-36.8M	-1.3M	0.71	5.10	2,765	1,971	80,418	85,488
2012-01-17	$81.42	$80.00	17.5%	5.0%	18.9%	9.3%	18.9%	3.1%	0.6%	1.2M	-71.0M	-1.3M	1.27	6.27	3,786	4,801	80,785	85,635
2012-01-18	$81.76	$80.00	17.3%	4.9%	19.0%	8.5%	18.9%	3.2%	0.9%	2.6M	-81.4M	-1.3M	0.93	8.17	2,217	2,052	80,957	87,292
2012-01-19	$81.21	$80.00	18.6%	5.3%	19.0%	12.8%	18.2%	3.0%	0.7%	-1.7M	-53.7M	-1.3M	0.94	5.82	2,252	2,113	80,042	87,723
2012-01-20	$81.41	$80.00	15.9%	4.6%	17.6%	4.1%	16.8%	2.9%	1.8%	-1.1M	-68.0M	-1.3M	0.86	6.02	2,693	2,319	80,728	87,603
2012-01-23	$81.64	$80.00	15.7%	4.5%	17.7%	3.4%	16.6%	2.4%	1.7%	-1.4M	2.8M	-1.2M	0.62	5.97	4,575	2,854	40,867	49,599
2012-01-24	$81.73	$80.00	15.8%	4.5%	17.7%	3.9%	17.5%	2.8%	1.5%	-443.0K	-5.4M	-1.3M	0.72	7.50	5,525	3,964	41,904	48,889
2012-01-25	$82.72	$80.00	15.4%	4.4%	17.8%	2.7%	16.7%	2.7%	1.4%	2.9M	-45.0M	-1.3M	0.54	5.20	4,772	2,555	44,802	50,670
2012-01-26	$82.06	$80.00	16.1%	4.6%	18.0%	4.7%	17.1%	2.9%	1.4%	2.2M	-28.7M	-1.3M	0.59	7.44	3,740	2,199	46,977	51,771
2012-01-27	$81.62	$80.00	15.5%	4.4%	18.0%	2.8%	16.1%	2.9%	1.8%	1.7M	-21.4M	-1.3M	0.39	8.47	2,793	1,092	48,302	52,770
2012-01-30	$81.44	$80.00	16.5%	4.7%	17.9%	6.1%	17.8%	2.7%	1.4%	1.4M	-12.4M	-1.3M	0.78	5.86	1,586	1,234	49,627	53,286
2012-01-31	$82.27	$80.00	15.9%	4.6%	18.0%	4.1%	17.0%	2.4%	2.0%	3.5M	-41.8M	-1.3M	0.82	8.19	1,327	1,089	49,605	53,231