COST Options History — March 2012

In March 2012, COST traded between $86.16 and $91.52. ATM implied volatility averaged 13.5%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.4% (HV 20d: 10.1%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-03-05: Highest Volume — 7,997 contracts
  • 2012-03-09: Largest IV drop — 13.3% change
  • 2012-03-22: Highest IV Rank — 5.5%
  • 2012-03-06: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.59$86.16$91.52$86.16$90.80
Max Pain$84.43$82.50$85.00$82.50$85.00
ATM IV13.5%12.2%15.1%14.1%13.4%
Expected Move4.0%3.7%4.5%4.0%3.8%
HV 20d10.1%8.1%12.7%12.7%12.1%
HV 60d14.6%14.1%15.6%15.4%14.2%
IV Rank2.8%0.0%5.5%0.0%3.6%
IV Percentile1.9%0.0%4.4%0.0%2.8%
Term Structure2.0%1.0%3.1%1.2%1.6%
VWIV14.2%13.2%15.8%13.6%13.5%
Skew 25d1.8%1.1%2.5%1.4%1.6%
Skew 10d4.6%1.9%7.5%3.3%4.0%
Call IV 25d13.4%12.8%15.0%13.3%12.8%
Put IV 25d15.2%14.0%17.4%14.7%14.3%
Bid-Ask Spread %7.045.398.748.747.98
Gamma HHI0.200.170.240.230.20
Net GEX12.0M10.3M15.7M11.1M11.8M
Net DEX-254.6M-346.3M-163.9M-164.8M-248.4M
Net VEX-1.2M-1.4M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.241.620.730.28
Total Volume4,301.3641,1807,9977,6712,029
Total OI114,587.727104,397125,639109,380110,005

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$86.16$82.5014.1%4.0%12.7%0.0%13.6%1.4%1.2%11.1M-164.8M-1.3M0.738.744,4273,24454,62954,751
2012-03-02$86.23$82.5013.5%3.9%8.5%0.0%13.2%1.1%1.5%11.9M-163.9M-1.3M0.975.393,1583,05757,08157,204
2012-03-05$87.63$82.5014.3%4.3%10.1%2.5%15.3%2.5%2.9%13.1M-219.8M-1.3M0.246.726,4671,53058,16958,229
2012-03-06$87.58$82.5015.1%4.5%9.9%5.0%15.8%2.4%2.6%13.6M-229.6M-1.3M0.306.933,5991,06760,70958,822
2012-03-07$87.89$82.5014.2%4.5%9.6%2.1%15.7%2.3%2.6%13.7M-230.9M-1.4M0.646.541,9201,23661,16758,902
2012-03-08$88.30$85.0014.2%4.3%9.4%2.2%14.7%2.4%2.8%13.9M-250.0M-1.3M0.406.634,6871,86261,05359,394
2012-03-09$89.34$85.0012.3%4.0%10.0%0.0%14.4%2.1%2.7%15.7M-300.7M-1.2M0.417.104,5171,84661,97760,348
2012-03-12$89.43$85.0012.8%4.0%9.7%1.5%14.9%2.3%2.7%14.6M-293.2M-1.3M0.406.233,9081,54462,34860,956
2012-03-13$89.98$85.0012.2%4.0%9.4%0.0%14.3%2.1%2.6%12.4M-311.1M-1.2M0.547.372,7461,48061,86161,888
2012-03-14$90.90$85.0012.3%4.0%9.7%0.3%14.4%1.7%2.7%11.2M-334.5M-1.2M0.386.594,3241,64661,84862,080
2012-03-15$91.46$85.0013.4%3.8%8.1%3.5%14.9%1.8%2.5%11.5M-346.3M-1.2M0.787.202,8942,24761,79462,656
2012-03-16$90.44$85.0013.4%3.8%9.7%3.6%13.5%1.5%3.1%11.7M-334.1M-1.2M0.486.854,3702,11762,69462,945
2012-03-19$90.02$85.0013.5%3.9%10.1%4.0%13.7%1.4%1.6%10.3M-232.4M-1.2M0.727.961,8091,30753,02751,370
2012-03-20$90.26$85.0013.6%3.9%9.9%4.2%13.3%1.7%1.4%10.6M-225.3M-1.2M0.366.953,1321,12853,79951,892
2012-03-21$90.64$85.0014.0%4.0%9.8%5.4%13.9%1.4%1.1%11.0M-251.2M-1.2M0.367.861,67160454,66952,396
2012-03-22$90.50$85.0014.0%4.0%10.0%5.5%13.9%1.7%1.3%11.0M-229.8M-1.3M0.566.131,35175155,16052,592
2012-03-23$90.27$85.0013.7%3.9%9.8%4.5%14.3%1.6%1.3%10.7M-228.6M-1.3M0.976.9360058054,72353,005
2012-03-26$91.52$85.0013.2%3.8%10.3%3.1%13.9%1.5%1.0%11.9M-267.7M-1.2M0.486.141,33063854,92553,225
2012-03-27$91.28$85.0012.9%3.7%10.6%2.1%13.7%1.4%1.2%11.6M-272.8M-1.2M0.897.021,3901,23955,00953,349
2012-03-28$90.62$85.0013.7%3.9%11.0%4.3%13.7%1.5%1.3%11.3M-249.4M-1.2M0.906.941,2361,11655,18053,657
2012-03-29$89.84$85.0013.5%3.9%11.7%3.9%14.3%1.2%1.5%10.6M-215.7M-1.2M1.628.601,0801,74655,50753,935
2012-03-30$90.80$85.0013.4%3.8%12.1%3.6%13.5%1.6%1.6%11.8M-248.4M-1.2M0.287.981,58944055,72254,283