COST Options History — April 2012

In April 2012, COST traded between $86.32 and $91.84. ATM implied volatility averaged 15.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.3% (HV 20d: 14.2%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2012-04-13: Highest Volume — 10,281 contracts
2012-04-12: Largest IV spike — 9.5% change
2012-04-16: Highest IV Rank — 14.9%
2012-04-16: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.91	$86.32	$91.84	$91.84	$88.18
Max Pain	$87.50	$85.00	$90.00	$85.00	$87.50
ATM IV	15.5%	14.0%	17.2%	14.0%	15.0%
Expected Move	4.5%	4.0%	4.9%	4.0%	4.3%
HV 20d	14.2%	11.4%	15.1%	11.4%	14.5%
HV 60d	13.0%	12.0%	14.2%	14.2%	12.0%
IV Rank	9.9%	5.2%	14.9%	5.2%	8.5%
IV Percentile	14.5%	6.0%	26.6%	6.0%	11.9%
Term Structure	0.9%	0.3%	2.1%	0.7%	1.4%
VWIV	16.0%	13.8%	17.9%	14.2%	15.3%
Skew 25d	2.4%	0.9%	3.1%	1.4%	2.0%
Skew 10d	4.7%	1.5%	5.8%	4.4%	3.9%
Call IV 25d	15.1%	13.4%	16.7%	13.9%	14.3%
Put IV 25d	17.5%	14.9%	19.7%	15.3%	16.3%
Bid-Ask Spread %	7.87	6.31	11.24	7.14	8.09
Gamma HHI	0.21	0.11	0.66	0.22	0.19
Net GEX	7.6M	3.0M	27.2M	12.3M	4.4M
Net DEX	-132.2M	-279.4M	-53.5M	-279.4M	-84.4M
Net VEX	-1.1M	-1.2M	-1.1M	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.25	1.82	0.57	1.17
Total Volume	3,845.55	1,484	10,281	5,362	1,544
Total OI	102,122.65	69,645	116,957	110,478	74,778

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
2012-04-02	$91.84	$85.00	14.0%	4.0%	11.4%	5.2%	14.2%	1.4%	0.7%	12.3M	-279.4M	-1.2M	0.57	7.14	3,426	1,936	56,131	54,347
2012-04-03	$90.39	$85.00	14.8%	4.2%	13.1%	7.8%	15.0%	1.1%	0.7%	11.4M	-235.5M	-1.2M	1.82	8.46	1,523	2,767	56,890	55,294
2012-04-04	$89.04	$85.00	15.3%	4.4%	14.4%	9.1%	15.7%	0.9%	0.4%	9.2M	-192.2M	-1.2M	1.07	6.91	2,536	2,721	57,399	56,295
2012-04-05	$88.65	$85.00	14.0%	4.0%	14.4%	5.4%	13.8%	1.5%	2.1%	7.4M	-161.9M	-1.2M	1.60	8.60	2,405	3,856	57,446	57,406
2012-04-09	$87.88	$90.00	15.2%	4.8%	14.1%	9.0%	16.1%	2.9%	0.9%	6.6M	-142.4M	-1.2M	0.25	6.57	2,668	656	57,635	58,383
2012-04-10	$86.89	$90.00	16.0%	4.9%	14.5%	11.4%	17.9%	3.1%	0.9%	5.7M	-108.0M	-1.2M	0.69	6.31	3,245	2,238	57,512	57,561
2012-04-11	$87.32	$90.00	15.1%	4.8%	14.4%	8.7%	16.8%	3.0%	1.2%	6.9M	-127.0M	-1.2M	0.78	7.97	1,076	838	57,668	57,518
2012-04-12	$87.18	$90.00	16.5%	4.7%	13.8%	13.0%	16.9%	2.8%	0.7%	6.7M	-127.3M	-1.1M	0.50	7.84	989	495	57,630	57,543
2012-04-13	$86.32	$87.50	17.0%	4.9%	13.7%	14.4%	17.8%	2.9%	0.6%	4.9M	-88.9M	-1.2M	0.83	6.62	5,605	4,676	57,603	57,625
2012-04-16	$86.88	$87.50	17.2%	4.9%	13.7%	14.9%	17.6%	3.1%	0.3%	7.3M	-120.4M	-1.1M	0.44	11.24	2,609	1,145	58,578	58,379
2012-04-17	$87.67	$87.50	16.7%	4.8%	14.2%	13.4%	17.1%	2.9%	0.5%	7.0M	-148.2M	-1.1M	0.32	6.69	2,012	651	56,971	57,325
2012-04-18	$88.07	$87.50	16.5%	4.7%	14.3%	12.9%	16.5%	2.7%	0.4%	7.9M	-170.8M	-1.1M	0.39	7.42	1,839	723	58,033	57,380
2012-04-19	$87.12	$87.50	15.9%	4.6%	14.5%	11.0%	16.5%	2.9%	0.9%	7.9M	-133.3M	-1.1M	1.48	9.33	1,522	2,250	58,185	57,583
2012-04-20	$87.58	$87.50	15.2%	4.3%	14.7%	8.8%	15.3%	2.5%	1.4%	27.2M	-162.1M	-1.1M	0.61	7.21	2,151	1,310	58,139	57,864
2012-04-23	$86.62	$87.50	15.5%	4.5%	15.1%	10.0%	16.0%	2.8%	0.9%	3.0M	-56.9M	-1.1M	0.85	8.03	1,212	1,027	35,566	34,079
2012-04-24	$86.43	$87.50	15.1%	4.3%	13.9%	8.8%	16.3%	2.8%	0.9%	3.0M	-53.5M	-1.1M	0.53	7.99	1,613	858	36,056	34,481
2012-04-25	$87.28	$87.50	14.9%	4.3%	14.6%	8.1%	15.6%	2.6%	1.0%	3.9M	-70.9M	-1.1M	1.29	9.99	1,654	2,136	37,184	35,063
2012-04-26	$88.08	$87.50	15.2%	4.4%	15.0%	8.9%	15.1%	1.8%	1.1%	4.5M	-85.4M	-1.1M	0.58	7.02	2,134	1,242	37,905	36,246
2012-04-27	$88.69	$87.50	14.8%	4.2%	15.0%	7.8%	14.5%	1.7%	1.1%	5.1M	-96.1M	-1.1M	0.39	8.02	2,606	1,017	38,391	36,381
2012-04-30	$88.18	$87.50	15.0%	4.3%	14.5%	8.5%	15.3%	2.0%	1.4%	4.4M	-84.4M	-1.1M	1.17	8.09	712	832	38,285	36,493