COST Options History — June 2012

In June 2012, COST traded between $85.49 and $95.00. ATM implied volatility averaged 16.3%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.7% (HV 20d: 17.1%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-06-28: Highest Volume — 19,311 contracts
  • 2012-06-21: Largest IV spike — 20.9% change
  • 2012-06-01: Highest IV Rank — 21.2%
  • 2012-06-04: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.86$85.49$95.00$85.49$95.00
Max Pain$85.24$85.00$87.50$85.00$87.50
ATM IV16.3%13.9%19.3%19.3%14.8%
Expected Move4.9%4.0%5.7%5.5%4.2%
HV 20d17.1%15.6%19.0%16.3%17.3%
HV 60d16.3%15.4%17.1%15.4%17.0%
IV Rank12.4%5.1%21.2%21.2%7.8%
IV Percentile26.1%6.0%51.2%51.2%10.7%
Term Structure1.6%1.1%2.3%1.9%1.5%
VWIV18.0%15.1%21.8%20.2%15.8%
Skew 25d4.1%2.6%5.4%2.9%2.6%
Skew 10d8.7%5.8%11.3%5.8%7.4%
Call IV 25d15.7%13.4%18.5%18.1%14.2%
Put IV 25d19.8%16.8%23.0%21.1%16.8%
Bid-Ask Spread %9.017.1611.667.367.16
Gamma HHI0.160.110.280.110.16
Net GEX7.9M2.1M12.7M2.1M7.6M
Net DEX-167.8M-273.8M-55.4M-55.4M-273.8M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.283.333.330.51
Total Volume5,139.5711,32719,3115,67010,151
Total OI100,873.33389,269110,403101,737104,024

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$85.49$85.0019.3%5.5%16.3%21.2%20.2%2.9%1.9%2.1M-55.4M-1.3M3.337.361,3094,36148,78952,948
2012-06-04$86.56$85.0018.8%5.7%16.3%19.6%21.8%4.5%1.5%4.3M-89.8M-1.3M1.2111.532,2082,68048,84452,699
2012-06-05$86.77$85.0017.3%5.5%16.2%15.4%19.0%4.3%2.0%4.8M-95.3M-1.3M0.6011.662,0851,24249,43653,511
2012-06-06$87.78$85.0016.1%5.3%16.2%11.5%20.0%4.6%2.1%7.2M-128.8M-1.2M0.869.802,5322,18550,59254,168
2012-06-07$88.13$85.0015.4%5.1%16.1%9.6%17.7%4.7%2.3%8.4M-142.3M-1.2M0.287.924,1941,19350,85354,913
2012-06-08$88.74$85.0015.8%5.2%15.6%10.7%18.5%4.5%1.9%9.8M-162.0M-1.2M0.629.271,42787851,94255,204
2012-06-11$87.91$85.0017.4%5.5%16.0%15.6%20.2%4.6%1.3%7.6M-131.8M-1.2M1.729.091,3832,38151,96055,308
2012-06-12$88.50$85.0015.8%5.3%16.0%10.6%19.6%4.7%1.9%10.0M-155.6M-1.2M0.7110.311,29691552,01155,235
2012-06-13$87.43$85.0015.8%5.5%16.8%10.8%20.8%5.4%1.6%7.9M-120.2M-1.2M0.909.231,5511,39152,25355,586
2012-06-14$89.83$85.0017.9%5.1%19.0%17.0%19.5%4.6%1.9%12.7M-203.8M-1.1M0.729.715,3123,83052,24055,956
2012-06-15$91.44$85.0016.2%4.6%18.2%11.8%17.4%4.2%2.3%8.8M-255.1M-1.1M0.729.313,3772,43552,78057,623
2012-06-18$92.03$85.0015.4%4.4%17.8%9.5%16.2%4.1%1.3%9.2M-214.9M-1.1M1.108.042,3432,57545,55943,710
2012-06-19$91.86$85.0014.4%4.1%17.8%6.5%15.2%4.0%1.4%9.1M-203.8M-1.1M1.118.272,9023,21346,25344,612
2012-06-20$91.49$85.0013.9%4.0%17.8%5.1%15.1%3.6%1.6%8.4M-191.4M-1.1M0.729.811,9741,42346,05046,321
2012-06-21$90.40$85.0016.8%4.8%18.7%13.8%17.1%4.0%1.4%7.7M-163.0M-1.2M2.618.351,3193,44047,11046,887
2012-06-22$90.93$85.0016.4%4.7%18.4%12.4%15.8%3.7%1.4%7.6M-171.8M-1.2M1.097.421,4711,60247,11848,000
2012-06-25$90.87$85.0017.4%5.0%18.4%15.6%18.1%3.6%1.1%7.3M-166.9M-1.2M0.817.9583067247,22648,956
2012-06-26$91.69$85.0015.8%4.5%16.7%10.9%16.7%3.8%1.5%7.7M-189.2M-1.2M1.167.881,4861,72747,33749,212
2012-06-27$91.32$87.5015.6%4.5%16.2%10.1%16.5%3.8%1.5%7.7M-180.3M-1.1M0.509.0288544247,77949,611
2012-06-28$92.92$85.0016.8%4.8%17.0%13.8%17.0%2.9%1.1%8.8M-229.5M-1.1M1.1610.028,94810,36348,21749,507
2012-06-29$95.00$87.5014.8%4.2%17.3%7.8%15.8%2.6%1.5%7.6M-273.8M-1.1M0.517.166,7453,40649,13554,889