COST Options History — August 2012

In August 2012, COST traded between $94.74 and $98.59. ATM implied volatility averaged 14.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.6% (HV 20d: 12.7%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.75.

Notable Days

2012-08-30: Highest Volume — 6,845 contracts
2012-08-16: Largest IV spike — 30.6% change
2012-08-30: Highest IV Rank — 17.4%
2012-08-01: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.19	$94.74	$98.59	$95.94	$97.87
Max Pain	$95.00	$95.00	$95.00	$95.00	$95.00
ATM IV	14.2%	10.7%	16.8%	16.8%	15.5%
Expected Move	4.3%	3.8%	4.8%	4.8%	4.4%
HV 20d	12.7%	10.3%	14.2%	12.7%	11.1%
HV 60d	14.9%	14.0%	15.7%	15.5%	14.3%
IV Rank	9.9%	0.0%	17.4%	13.7%	17.1%
IV Percentile	13.4%	0.0%	37.7%	37.7%	30.2%
Term Structure	1.6%	0.4%	2.2%	0.4%	2.0%
VWIV	15.3%	14.0%	19.1%	19.1%	15.5%
Skew 25d	2.9%	1.7%	3.6%	2.7%	1.7%
Skew 10d	6.0%	3.4%	8.3%	5.6%	3.4%
Call IV 25d	13.7%	12.6%	15.3%	15.3%	14.9%
Put IV 25d	16.6%	15.0%	18.1%	18.1%	16.6%
Bid-Ask Spread %	6.91	4.92	10.44	9.04	7.20
Gamma HHI	0.21	0.17	0.32	0.17	0.22
Net GEX	3.2M	-104.3K	7.5M	868.6K	4.7M
Net DEX	-173.4M	-225.2M	-136.2M	-167.2M	-205.3M
Net VEX	-1.0M	-1.1M	-970.0K	-1.1M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.49	7.38	0.49	0.73
Total Volume	3,539.696	1,214	6,845	5,989	3,038
Total OI	89,805.13	79,663	98,383	91,131	90,064

Daily Data (23 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
2012-08-01	$95.94	$95.00	16.8%	4.8%	12.7%	13.7%	19.1%	2.7%	0.4%	868.6K	-167.2M	-1.1M	0.49	9.04	4,029	1,960	40,785	50,346
2012-08-02	$95.70	$95.00	15.8%	4.5%	12.6%	10.9%	15.7%	2.7%	1.1%	1.3M	-168.3M	-1.1M	1.79	10.44	946	1,691	41,754	49,952
2012-08-03	$97.21	$95.00	13.2%	3.8%	13.6%	2.8%	14.5%	2.3%	2.2%	3.9M	-207.8M	-1.0M	0.78	7.90	3,012	2,337	41,642	50,708
2012-08-06	$96.50	$95.00	13.6%	4.3%	13.9%	4.1%	16.0%	3.4%	1.0%	3.4M	-193.0M	-1.0M	0.98	5.17	1,618	1,587	42,261	50,710
2012-08-07	$95.80	$95.00	14.8%	4.6%	14.2%	7.7%	16.3%	3.5%	1.0%	1.5M	-175.0M	-1.0M	0.70	4.92	1,409	990	42,365	51,281
2012-08-08	$95.63	$95.00	14.5%	4.6%	14.1%	7.0%	15.9%	3.4%	0.9%	743.7K	-158.1M	-1.0M	0.93	5.63	1,431	1,327	40,374	51,581
2012-08-09	$95.37	$95.00	13.7%	4.5%	13.9%	4.5%	15.4%	3.6%	1.3%	-37.3K	-147.0M	-1.1M	1.48	5.04	879	1,298	40,858	52,144
2012-08-10	$95.30	$95.00	13.3%	4.3%	13.7%	4.0%	15.5%	3.4%	1.4%	-104.3K	-148.0M	-1.0M	2.32	5.72	1,205	2,790	41,273	52,457
2012-08-13	$95.63	$95.00	14.4%	4.4%	13.7%	8.1%	15.2%	3.5%	1.3%	1.4M	-161.9M	-1.0M	1.78	6.03	870	1,548	41,833	52,289
2012-08-14	$95.67	$95.00	13.9%	4.4%	13.2%	6.3%	16.1%	3.2%	1.3%	1.9M	-165.9M	-989.8K	4.54	6.41	1,001	4,541	42,056	52,816
2012-08-15	$96.47	$95.00	10.7%	4.0%	13.5%	0.0%	15.3%	3.0%	1.5%	7.5M	-190.8M	-977.6K	2.23	6.29	2,020	4,502	42,354	53,608
2012-08-16	$96.48	$95.00	13.9%	4.0%	13.5%	11.5%	14.9%	3.1%	1.6%	6.3M	-178.6M	-1.0M	1.39	5.30	919	1,276	42,542	55,391
2012-08-17	$96.14	$95.00	14.5%	4.2%	13.5%	13.6%	14.6%	3.1%	1.9%	4.2M	-177.4M	-995.3K	0.66	7.77	1,703	1,127	42,689	55,694
2012-08-20	$96.02	$95.00	14.3%	4.1%	12.6%	12.8%	14.4%	3.0%	1.8%	4.5M	-169.2M	-974.1K	1.60	7.04	994	1,593	39,010	40,653
2012-08-21	$95.29	$95.00	14.2%	4.1%	12.9%	12.5%	14.3%	2.8%	1.9%	3.7M	-151.0M	-1.0M	1.58	7.72	893	1,411	39,436	41,439
2012-08-22	$95.53	$95.00	14.3%	4.1%	12.8%	13.0%	14.0%	2.8%	1.8%	4.0M	-160.2M	-975.8K	1.03	7.03	722	743	39,523	41,894
2012-08-23	$94.74	$95.00	14.3%	4.1%	10.3%	12.8%	14.8%	3.1%	1.9%	3.2M	-136.2M	-1.0M	2.36	9.65	718	1,696	39,542	42,138
2012-08-24	$96.25	$95.00	14.5%	4.2%	11.0%	13.7%	14.6%	2.8%	2.0%	4.7M	-170.2M	-1.0M	2.96	6.83	975	2,883	39,712	42,824
2012-08-27	$96.64	$95.00	13.6%	3.9%	10.8%	10.4%	14.6%	2.8%	1.8%	4.1M	-175.4M	-1.0M	1.04	7.33	596	618	39,870	44,940
2012-08-28	$96.57	$95.00	13.5%	3.9%	10.7%	10.1%	15.4%	2.7%	2.1%	4.4M	-177.3M	-994.7K	7.38	7.35	479	3,534	39,975	45,021
2012-08-29	$97.11	$95.00	14.8%	4.2%	10.9%	14.6%	14.9%	2.2%	1.7%	1.5M	-179.2M	-1.0M	0.82	7.52	3,114	2,545	40,085	49,683
2012-08-30	$98.59	$95.00	15.6%	4.5%	11.9%	17.4%	15.5%	1.8%	1.8%	5.3M	-225.2M	-970.0K	0.74	5.67	3,934	2,911	41,080	46,866
2012-08-31	$97.87	$95.00	15.5%	4.4%	11.1%	17.1%	15.5%	1.7%	2.0%	4.7M	-205.3M	-1.0M	0.73	7.20	1,754	1,284	42,065	47,999