COST Options History — February 2012

In February 2012, COST traded between $83.22 and $86.06. ATM implied volatility averaged 16.9%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.2% (HV 20d: 14.7%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2012-02-29: Highest Volume — 19,256 contracts
2012-02-29: Largest IV drop — 29.3% change
2012-02-28: Highest IV Rank — 18.3%
2012-02-28: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.53	$83.22	$86.06	$83.22	$86.06
Max Pain	$82.25	$80.00	$82.50	$80.00	$82.50
ATM IV	16.9%	14.2%	20.1%	16.6%	14.2%
Expected Move	5.0%	4.1%	5.8%	4.8%	4.1%
HV 20d	14.7%	13.2%	20.0%	17.6%	13.2%
HV 60d	17.3%	15.4%	18.3%	17.6%	15.4%
IV Rank	7.9%	0.0%	18.3%	6.5%	0.0%
IV Percentile	17.5%	0.0%	52.0%	10.7%	0.0%
Term Structure	-0.3%	-2.9%	1.6%	0.9%	1.1%
VWIV	17.7%	14.2%	20.3%	16.4%	14.2%
Skew 25d	2.3%	1.0%	2.9%	2.2%	1.0%
Skew 10d	5.2%	2.5%	7.0%	4.7%	2.5%
Call IV 25d	16.7%	13.8%	19.4%	15.7%	13.8%
Put IV 25d	18.9%	14.8%	21.2%	17.9%	14.8%
Bid-Ask Spread %	8.21	5.16	12.97	9.69	12.97
Gamma HHI	0.22	0.15	0.28	0.18	0.25
Net GEX	9.5M	5.4M	13.0M	5.8M	12.1M
Net DEX	-113.3M	-167.6M	-71.1M	-75.1M	-166.7M
Net VEX	-1.3M	-1.4M	-1.3M	-1.3M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.17	1.37	0.56	0.45
Total Volume	6,099.45	1,226	19,256	11,216	19,256
Total OI	107,198.75	89,787	114,868	103,980	109,747

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
2012-02-01	$83.22	$80.00	16.6%	4.8%	17.6%	6.5%	16.4%	2.2%	0.9%	5.8M	-75.1M	-1.3M	0.56	9.69	7,195	4,021	50,256	53,724
2012-02-02	$85.51	$80.00	15.4%	4.4%	20.0%	2.6%	16.0%	2.0%	1.6%	9.9M	-167.6M	-1.3M	0.57	6.06	6,989	3,980	52,664	55,648
2012-02-03	$85.36	$82.50	14.8%	4.9%	19.7%	0.7%	16.8%	2.3%	-0.1%	11.4M	-163.5M	-1.3M	0.72	5.16	2,146	1,540	55,118	56,552
2012-02-06	$85.04	$82.50	15.4%	4.9%	17.0%	2.5%	17.3%	2.4%	-0.0%	11.0M	-147.1M	-1.4M	0.38	9.14	2,228	854	55,490	56,781
2012-02-07	$84.56	$82.50	15.0%	4.9%	13.6%	1.3%	17.5%	2.4%	-0.1%	10.7M	-129.3M	-1.4M	0.17	5.67	5,981	1,009	55,972	56,644
2012-02-08	$84.28	$82.50	14.4%	4.8%	13.8%	0.0%	17.4%	2.6%	0.1%	10.7M	-114.9M	-1.4M	0.77	6.42	1,359	1,042	54,483	56,515
2012-02-09	$84.53	$82.50	16.9%	4.8%	13.5%	8.0%	16.8%	2.5%	0.1%	11.5M	-122.3M	-1.3M	0.46	7.24	1,108	515	54,154	56,667
2012-02-10	$84.20	$82.50	17.6%	5.1%	13.7%	10.4%	17.7%	2.8%	0.1%	11.3M	-109.9M	-1.3M	0.99	10.94	2,236	2,214	54,349	56,824
2012-02-13	$83.87	$82.50	17.9%	5.1%	13.7%	11.2%	18.3%	2.8%	-0.3%	11.3M	-97.0M	-1.3M	1.37	9.16	1,957	2,684	54,966	57,828
2012-02-14	$84.10	$82.50	17.9%	5.1%	13.4%	11.3%	18.7%	2.9%	-0.1%	12.7M	-105.1M	-1.3M	0.91	8.39	642	584	55,487	58,986
2012-02-15	$83.24	$82.50	19.2%	5.5%	14.0%	15.5%	18.9%	2.8%	-0.1%	8.7M	-71.1M	-1.3M	0.65	7.08	969	627	55,569	59,104
2012-02-16	$84.05	$82.50	17.5%	5.0%	14.0%	10.0%	18.2%	2.9%	0.1%	13.0M	-101.6M	-1.3M	0.51	7.01	1,568	793	55,619	59,249
2012-02-17	$84.47	$82.50	17.2%	4.9%	14.0%	9.0%	17.8%	2.5%	0.0%	10.2M	-109.9M	-1.3M	0.50	6.49	1,408	708	54,861	59,469
2012-02-21	$84.26	$82.50	17.1%	4.9%	14.1%	8.7%	18.2%	2.4%	-0.4%	5.5M	-78.8M	-1.3M	1.09	6.79	2,592	2,818	44,818	44,969
2012-02-22	$84.31	$82.50	17.2%	4.9%	14.1%	8.9%	17.9%	2.4%	-0.8%	5.4M	-79.5M	-1.3M	0.66	8.55	2,286	1,506	45,154	45,477
2012-02-23	$84.77	$82.50	17.1%	4.9%	13.7%	8.8%	17.6%	1.8%	-1.1%	6.1M	-94.8M	-1.3M	0.93	9.53	6,909	6,400	45,918	45,642
2012-02-24	$84.40	$82.50	17.3%	5.0%	13.4%	9.3%	17.6%	1.4%	-1.2%	6.3M	-91.0M	-1.3M	0.52	11.68	2,884	1,505	50,574	50,976
2012-02-27	$85.09	$82.50	18.9%	5.4%	13.3%	14.5%	19.3%	1.7%	-2.3%	7.7M	-113.8M	-1.3M	0.80	6.91	3,043	2,433	51,960	51,398
2012-02-28	$85.27	$82.50	20.1%	5.8%	13.2%	18.3%	20.3%	1.8%	-2.9%	7.8M	-126.5M	-1.3M	0.68	9.29	8,332	5,668	52,592	51,771
2012-02-29	$86.06	$82.50	14.2%	4.1%	13.2%	0.0%	14.2%	1.0%	1.1%	12.1M	-166.7M	-1.3M	0.45	12.97	13,249	6,007	55,791	53,956