COST Options History — September 2012

In September 2012, COST traded between $98.15 and $102.75. ATM implied volatility averaged 16.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.9% (HV 20d: 13.1%). Max pain ranged from $92.50 to $95.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.48.

Notable Days

2012-09-06: Highest Volume — 11,524 contracts
2012-09-14: Largest IV spike — 18.0% change
2012-09-17: Highest IV Rank — 25.8%
2012-09-17: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.97	$98.15	$102.75	$98.15	$100.16
Max Pain	$94.21	$92.50	$95.00	$95.00	$95.00
ATM IV	16.0%	13.0%	18.0%	16.7%	17.2%
Expected Move	4.7%	4.0%	5.1%	4.8%	4.9%
HV 20d	13.1%	10.3%	14.5%	10.7%	13.3%
HV 60d	13.3%	12.4%	14.4%	14.2%	12.4%
IV Rank	18.7%	8.3%	25.8%	21.1%	23.0%
IV Percentile	38.7%	2.4%	64.3%	44.8%	56.7%
Term Structure	0.6%	-0.4%	2.2%	1.3%	-0.2%
VWIV	17.1%	15.4%	19.0%	16.7%	18.0%
Skew 25d	2.7%	1.4%	3.7%	2.1%	2.8%
Skew 10d	6.4%	3.8%	9.4%	4.3%	7.4%
Call IV 25d	15.3%	13.7%	16.5%	15.6%	16.5%
Put IV 25d	18.0%	15.1%	19.3%	17.6%	19.3%
Bid-Ask Spread %	6.64	4.84	9.21	6.66	6.57
Gamma HHI	0.22	0.14	0.29	0.22	0.14
Net GEX	4.4M	1.2M	7.6M	4.9M	1.3M
Net DEX	-271.9M	-326.3M	-197.7M	-212.6M	-197.7M
Net VEX	-873.1K	-1.1M	-717.6K	-990.4K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.21	5.42	0.31	2.55
Total Volume	5,466.789	2,170	11,524	5,683	5,655
Total OI	97,623.684	88,179	105,865	90,834	105,865

Daily Data (19 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
2012-09-04	$98.15	$95.00	16.7%	4.8%	10.7%	21.1%	16.7%	2.1%	1.3%	4.9M	-212.6M	-990.4K	0.31	6.66	4,326	1,357	42,471	48,363
2012-09-05	$98.22	$95.00	16.5%	4.7%	10.3%	20.6%	16.5%	2.0%	1.5%	5.8M	-219.7M	-985.7K	0.66	6.88	1,306	864	43,512	48,788
2012-09-06	$99.98	$95.00	13.9%	4.0%	11.8%	11.4%	15.4%	1.4%	2.2%	7.6M	-277.5M	-876.1K	1.20	5.42	5,243	6,281	43,957	48,657
2012-09-07	$99.72	$92.50	13.0%	4.4%	11.8%	8.3%	17.3%	3.4%	1.7%	5.1M	-249.1M	-956.1K	2.39	5.31	1,315	3,143	43,662	50,184
2012-09-10	$100.45	$92.50	14.2%	4.6%	11.8%	12.4%	16.7%	3.7%	1.2%	5.8M	-270.5M	-866.0K	5.42	4.84	1,044	5,661	43,881	50,540
2012-09-11	$99.52	$92.50	14.2%	4.7%	12.6%	12.5%	16.6%	3.5%	0.8%	2.5M	-238.3M	-914.1K	0.21	5.74	3,638	774	44,080	52,288
2012-09-12	$100.89	$92.50	14.5%	4.8%	13.2%	13.5%	17.3%	3.0%	0.5%	3.2M	-277.4M	-853.6K	0.59	5.45	1,965	1,160	44,590	52,357
2012-09-13	$102.75	$92.50	14.9%	4.3%	14.2%	15.0%	17.4%	2.7%	0.8%	4.9M	-324.1M	-782.1K	1.94	8.61	3,381	6,568	45,249	52,555
2012-09-14	$102.19	$95.00	17.6%	5.0%	14.5%	24.5%	17.4%	2.8%	-0.2%	3.8M	-312.2M	-873.1K	0.72	8.76	2,603	1,877	46,282	54,831
2012-09-17	$102.25	$92.50	18.0%	5.1%	14.3%	25.8%	17.3%	3.0%	-0.4%	4.0M	-311.9M	-862.7K	0.36	8.50	1,736	627	46,640	55,146
2012-09-18	$101.99	$95.00	17.1%	4.9%	14.4%	22.9%	19.0%	2.6%	0.3%	3.7M	-308.8M	-852.4K	0.62	6.56	2,288	1,426	47,164	55,383
2012-09-19	$101.88	$95.00	16.7%	4.8%	13.9%	21.5%	15.6%	2.6%	0.6%	3.5M	-312.8M	-773.9K	0.37	7.12	2,177	805	47,133	55,971
2012-09-20	$102.64	$95.00	15.2%	4.4%	14.0%	16.0%	17.2%	2.6%	1.1%	4.7M	-326.3M	-760.9K	0.86	6.33	2,423	2,090	47,226	56,301
2012-09-21	$102.36	$95.00	16.7%	4.8%	13.5%	21.3%	16.8%	3.0%	1.0%	4.4M	-310.1M	-790.0K	0.36	9.21	1,906	695	47,006	55,799
2012-09-24	$102.61	$95.00	15.2%	4.3%	12.7%	15.9%	16.7%	2.3%	0.4%	5.3M	-290.4M	-717.6K	0.61	5.83	3,482	2,108	41,958	46,221
2012-09-25	$101.44	$95.00	17.3%	5.0%	13.8%	23.5%	18.2%	2.5%	0.0%	5.2M	-260.9M	-837.8K	3.10	6.86	2,245	6,960	44,271	47,451
2012-09-26	$101.00	$95.00	17.5%	5.0%	13.9%	24.2%	17.6%	2.2%	-0.1%	6.1M	-259.8M	-847.6K	4.78	5.24	1,936	9,247	45,605	49,291
2012-09-27	$100.30	$95.00	17.1%	4.9%	14.2%	22.8%	18.2%	2.5%	-0.2%	1.2M	-206.3M	-983.7K	1.04	6.34	1,744	1,813	46,449	57,723
2012-09-28	$100.16	$95.00	17.2%	4.9%	13.3%	23.0%	18.0%	2.8%	-0.2%	1.3M	-197.7M	-1.1M	2.55	6.57	1,591	4,064	47,346	58,519