COST Options History — May 2012

In May 2012, COST traded between $82.62 and $86.97. ATM implied volatility averaged 18.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.3% (HV 20d: 16.4%). Max pain ranged from $85.00 to $92.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2012-05-23: Highest Volume — 18,997 contracts
  • 2012-05-24: Largest IV drop — 23.2% change
  • 2012-05-23: Highest IV Rank — 33.6%
  • 2012-05-23: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.39$82.62$86.97$86.97$86.39
Max Pain$88.52$85.00$92.50$87.50$85.00
ATM IV18.7%14.8%23.4%15.1%16.9%
Expected Move5.5%4.3%6.7%4.3%4.8%
HV 20d16.4%13.5%19.1%14.3%18.9%
HV 60d14.1%12.4%15.5%12.4%15.3%
IV Rank19.3%7.9%33.6%8.6%14.0%
IV Percentile43.1%10.7%73.4%12.7%27.4%
Term Structure0.0%-1.4%2.2%1.1%1.8%
VWIV19.6%15.5%23.9%16.0%18.8%
Skew 25d2.8%1.6%3.7%2.1%2.7%
Skew 10d5.4%3.4%6.3%4.3%6.2%
Call IV 25d18.3%14.8%22.2%14.8%16.7%
Put IV 25d21.1%16.4%25.5%16.9%19.4%
Bid-Ask Spread %7.134.6612.119.057.92
Gamma HHI0.120.090.150.150.11
Net GEX717.3K-1.1M4.8M2.8M2.8M
Net DEX16.5M-78.0M108.2M-57.1M-78.0M
Net VEX-1.2M-1.3M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.504.041.421.72
Total Volume7,1322,01418,9974,2158,672
Total OI95,135.86475,566103,87175,566100,313

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$86.97$87.5015.1%4.3%14.3%8.6%16.0%2.1%1.1%2.8M-57.1M-1.1M1.429.051,7402,47538,40337,163
2012-05-02$86.64$87.5015.4%4.4%13.5%9.4%16.0%1.8%0.8%2.0M-47.8M-1.1M0.8211.471,4411,17638,76138,391
2012-05-03$84.24$87.5014.8%4.3%15.7%7.9%15.5%1.6%2.2%-282.9K5.6M-1.0M2.046.505,87712,00739,15438,609
2012-05-04$83.39$90.0016.7%5.4%15.9%13.5%18.7%3.1%-0.3%-1.1M49.3M-1.1M1.685.274,1146,89740,98045,156
2012-05-07$83.15$90.0017.3%5.5%15.8%15.2%18.4%2.9%-0.3%-663.5K70.9M-1.1M1.984.963,0596,07043,04849,080
2012-05-08$82.64$92.5017.6%5.6%15.5%16.3%20.1%2.5%-0.4%-996.6K108.2M-1.1M1.055.774,6104,82944,39953,308
2012-05-09$82.62$92.5017.3%5.7%15.3%15.2%20.0%2.9%-0.6%-554.0K107.1M-1.1M1.016.152,1472,17846,17055,138
2012-05-10$83.88$90.0018.6%5.3%16.6%19.1%19.5%2.3%-0.4%-363.7K71.2M-1.1M0.706.332,2661,59046,67855,545
2012-05-11$84.60$90.0019.0%5.5%16.7%20.4%19.5%2.6%-0.7%-502.2K30.9M-1.2M0.705.562,1641,51046,90053,558
2012-05-14$84.30$90.0020.5%5.9%16.5%24.8%21.5%2.9%-1.4%-697.6K37.3M-1.2M0.504.682,7241,35147,42053,933
2012-05-15$84.58$90.0020.4%5.8%16.1%24.5%20.5%2.9%-0.7%-536.4K26.1M-1.2M0.535.441,31869648,21054,406
2012-05-16$84.91$90.0020.8%6.0%16.1%25.7%21.3%3.1%-0.6%-707.3K14.5M-1.2M1.025.051,0891,11048,29054,405
2012-05-17$83.47$90.0022.6%6.5%16.7%31.2%22.0%3.7%-1.0%-61.7K62.7M-1.2M1.229.691,6632,02248,24354,969
2012-05-18$82.94$90.0021.4%6.1%16.5%27.6%21.5%3.3%0.3%521.8K74.7M-1.2M1.718.912,9555,04448,43255,439
2012-05-21$83.73$90.0020.3%5.8%16.7%24.2%20.2%3.1%-0.5%673.8K21.1M-1.2M0.544.662,4671,32141,52646,091
2012-05-22$83.38$87.5020.5%5.9%16.8%24.9%21.0%3.1%-0.4%1.0M23.1M-1.2M1.227.552,1532,62543,13846,409
2012-05-23$83.31$87.5023.4%6.7%16.2%33.6%23.9%3.3%-1.0%661.2K19.2M-1.2M1.1812.118,71110,28643,73848,458
2012-05-24$84.48$85.0018.0%5.2%16.7%17.4%19.5%3.1%1.1%2.1M-14.9M-1.3M1.077.688,2878,85747,39552,355
2012-05-25$84.48$85.0017.3%5.0%16.4%15.2%18.3%2.9%1.2%993.6K-9.7M-1.2M0.967.842,5482,44747,42254,536
2012-05-29$86.64$85.0017.0%4.9%19.1%14.2%18.5%2.7%0.7%4.8M-76.4M-1.2M0.535.654,3282,27448,08652,586
2012-05-30$85.81$85.0019.6%5.6%18.7%22.1%20.4%2.3%-0.1%3.7M-75.0M-1.2M4.048.541,1514,65547,47749,271
2012-05-31$86.39$85.0016.9%4.8%18.9%14.0%18.8%2.7%1.8%2.8M-78.0M-1.2M1.727.923,1875,48547,60252,711