COST Options History — July 2012

In July 2012, COST traded between $93.68 and $97.11. ATM implied volatility averaged 15.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.8% (HV 20d: 15.0%). Max pain ranged from $87.50 to $95.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-07-19: Highest Volume — 11,491 contracts
  • 2012-07-31: Largest IV spike — 12.8% change
  • 2012-07-31: Highest IV Rank — 16.6%
  • 2012-07-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.96$93.68$97.11$94.40$96.18
Max Pain$91.90$87.50$95.00$87.50$92.50
ATM IV15.8%14.6%17.8%15.7%17.8%
Expected Move4.6%4.3%5.1%4.5%5.1%
HV 20d15.0%12.2%17.8%17.6%12.7%
HV 60d16.5%15.5%17.0%17.0%15.5%
IV Rank10.7%7.2%16.6%10.4%16.6%
IV Percentile24.7%10.7%49.6%21.4%49.6%
Term Structure1.0%-0.2%1.7%0.9%-0.2%
VWIV16.9%15.5%18.1%16.0%18.0%
Skew 25d3.2%2.3%3.7%3.6%3.1%
Skew 10d7.0%5.9%9.2%9.2%6.7%
Call IV 25d14.9%14.2%16.0%15.2%16.0%
Put IV 25d18.1%16.7%19.2%18.8%19.1%
Bid-Ask Spread %7.005.669.188.176.72
Gamma HHI0.210.140.330.170.16
Net GEX6.7M-344.0K11.7M7.9M2.6M
Net DEX-234.7M-328.1M-117.6M-255.4M-175.0M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.373.620.431.03
Total Volume4,243.4761,62611,4915,7813,722
Total OI106,466.33381,344121,006111,45187,997

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$94.40$87.5015.7%4.5%17.6%10.4%16.0%3.6%0.9%7.9M-255.4M-1.2M0.438.174,0331,74853,29758,154
2012-07-03$94.42$87.5015.3%4.4%17.6%9.2%16.1%3.1%0.9%8.4M-253.3M-1.2M0.667.821,35889754,12158,724
2012-07-05$94.00$87.5014.9%4.3%17.6%8.1%16.4%2.3%1.2%8.9M-245.3M-1.2M1.639.182,2733,69854,43858,901
2012-07-06$93.68$92.5015.8%4.9%17.8%10.8%17.9%3.7%1.3%7.7M-226.6M-1.2M3.627.438483,06754,87960,786
2012-07-09$93.97$92.5014.6%4.5%17.7%7.3%17.7%3.3%1.7%8.2M-237.3M-1.1M1.326.691,3341,75555,16360,844
2012-07-10$93.80$92.5014.8%4.6%17.3%7.7%17.4%3.3%1.7%8.1M-235.5M-1.1M1.426.951,6022,26755,17060,666
2012-07-11$94.50$92.5014.6%4.6%17.3%7.2%16.5%3.2%1.7%9.3M-260.8M-1.1M0.757.671,29996955,47461,317
2012-07-12$94.02$92.5016.0%4.6%16.6%11.5%16.7%3.3%1.6%8.6M-245.7M-1.1M1.136.431,1511,29755,89161,907
2012-07-13$94.81$92.5015.6%4.5%14.3%10.3%17.7%3.2%1.7%10.8M-280.7M-1.1M0.447.253,6281,58956,21262,052
2012-07-16$95.15$92.5016.0%4.6%13.1%11.4%17.0%3.0%1.3%11.1M-295.0M-1.0M0.717.361,30292956,33562,046
2012-07-17$96.06$92.5015.8%4.5%13.3%10.8%15.8%2.7%1.4%11.7M-328.1M-1.0M0.456.733,2331,44456,28262,123
2012-07-18$95.96$92.5015.7%4.5%13.3%10.5%15.8%2.8%1.3%11.5M-323.5M-1.0M0.395.931,87673056,93762,596
2012-07-19$95.95$92.5015.5%4.5%13.1%9.9%15.5%2.5%1.3%10.1M-323.3M-1.0M0.377.288,3763,11556,68362,298
2012-07-20$95.61$92.5015.5%4.5%12.2%10.0%17.0%2.7%1.1%7.5M-314.6M-1.0M1.596.822,2033,49957,04163,965
2012-07-23$94.39$92.5016.2%4.6%13.3%11.9%17.1%3.3%0.4%867.6K-133.9M-1.1M1.536.021,9182,93337,54443,800
2012-07-24$94.08$92.5016.7%4.8%13.4%13.3%18.1%3.6%0.6%565.0K-129.5M-1.1M1.256.561,7512,18638,39145,086
2012-07-25$93.75$92.5017.4%5.0%13.3%15.4%17.7%3.4%0.4%-344.0K-117.6M-1.1M2.845.669782,77938,68546,289
2012-07-26$95.91$92.5016.5%4.7%15.2%12.8%16.8%3.3%0.4%2.2M-172.6M-1.0M0.877.291,5911,38839,18647,407
2012-07-27$97.11$92.5015.1%4.3%14.6%8.5%17.0%3.4%0.7%3.4M-197.3M-1.0M2.486.071,9294,79239,59047,967
2012-07-30$96.46$95.0015.7%4.5%12.9%10.5%16.6%3.3%0.4%1.5M-177.6M-1.1M0.726.9094668039,86649,683
2012-07-31$96.18$92.5017.8%5.1%12.7%16.6%18.0%3.1%-0.2%2.6M-175.0M-1.1M1.036.721,8291,89339,84648,151