COST Options History — October 2012

In October 2012, COST traded between $94.78 and $101.79. ATM implied volatility averaged 17.9%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.2% (HV 20d: 16.8%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2012-10-10: Highest Volume — 28,634 contracts
  • 2012-10-10: Largest IV drop — 23.5% change
  • 2012-10-09: Highest IV Rank — 64.2%
  • 2012-10-04: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.12$94.78$101.79$100.51$98.43
Max Pain$98.10$95.00$100.00$95.00$97.50
ATM IV17.9%16.4%22.3%17.6%17.6%
Expected Move5.0%4.7%5.5%5.0%5.0%
HV 20d16.8%13.0%20.0%13.0%20.0%
HV 60d14.4%12.4%15.7%12.4%15.0%
IV Rank37.8%24.2%64.2%24.4%38.1%
IV Percentile65.3%46.0%86.5%64.7%67.9%
Term Structure0.4%-1.1%1.9%-0.2%0.9%
VWIV18.2%16.2%19.6%18.4%18.7%
Skew 25d2.8%1.7%3.4%2.1%2.6%
Skew 10d6.0%3.8%7.4%6.7%4.5%
Call IV 25d16.8%15.3%18.1%17.0%16.5%
Put IV 25d19.6%18.5%21.2%19.1%19.0%
Bid-Ask Spread %7.384.7212.796.788.87
Gamma HHI0.330.160.930.170.20
Net GEX-9.7M-128.2M3.5M968.4K100.0K
Net DEX-123.5M-257.9M94.2M-212.4M-158.0M
Net VEX-1.0M-1.1M-969.4K-1.0M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.222.950.620.47
Total Volume10,7033,06728,6343,8257,268
Total OI120,175.95293,482147,443109,236105,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$100.51$95.0017.6%5.0%13.0%24.4%18.4%2.1%-0.2%968.4K-212.4M-1.0M0.626.782,3561,46948,18961,047
2012-10-02$99.49$95.0017.5%5.0%13.6%24.2%18.0%2.3%-0.5%-167.3K-181.3M-1.0M0.746.022,9312,18049,32361,751
2012-10-03$99.62$95.0018.1%5.2%13.6%27.7%18.9%2.6%-0.7%159.9K-186.1M-1.0M1.767.911,8293,21850,46162,319
2012-10-04$101.48$95.0019.1%5.5%13.7%39.7%19.1%1.7%-1.1%3.2M-257.5M-986.8K0.626.793,6352,25351,13462,950
2012-10-05$101.79$100.0018.9%5.1%13.7%45.6%17.4%2.9%0.1%3.5M-257.9M-1.0M1.0512.791,4991,56852,25463,676
2012-10-08$101.35$100.0020.2%5.2%13.6%52.8%17.7%2.9%-0.3%2.8M-247.8M-969.4K0.5911.293,2561,91752,30163,798
2012-10-09$99.64$100.0022.3%5.4%14.6%64.2%18.9%3.3%-0.6%206.7K-183.3M-1.1M2.7510.556,53717,99552,91564,129
2012-10-10$101.56$100.0017.0%4.9%15.4%35.2%16.2%3.3%0.4%782.5K-253.0M-1.0M0.868.1215,36313,27154,32476,579
2012-10-11$98.33$100.0018.1%5.2%17.8%41.4%17.9%3.4%0.4%-9.8M-114.3M-1.1M0.577.129,3555,32554,86077,417
2012-10-12$97.55$100.0018.0%5.2%17.9%40.5%18.7%2.5%0.3%-9.7M-88.2M-1.1M0.705.3514,68710,25658,12677,647
2012-10-15$96.51$100.0017.5%5.0%18.1%37.8%17.8%3.1%0.5%-15.8M-48.0M-1.0M0.477.157,4383,48462,16980,568
2012-10-16$97.00$100.0016.9%4.9%18.3%34.6%17.7%2.9%0.7%-12.1M-79.6M-1.0M0.776.795,1503,98263,22280,780
2012-10-17$96.78$100.0016.6%4.8%18.3%32.9%17.4%2.9%1.0%-12.1M-80.2M-1.0M1.306.605,0416,55964,31679,295
2012-10-18$96.33$97.5016.6%4.8%18.0%32.9%17.8%2.8%0.8%-20.2M-61.7M-1.0M0.996.182,5462,50964,99881,112
2012-10-19$94.78$97.5017.6%5.1%18.5%38.5%18.0%3.1%0.5%-128.2M94.2M-1.0M2.955.496,13218,10165,16482,279
2012-10-22$95.00$97.5017.7%5.1%18.5%38.9%18.4%3.4%1.1%-2.5M-19.9M-978.5K0.786.845,1404,00444,54248,940
2012-10-23$95.18$97.5017.9%5.1%18.4%40.1%18.5%2.8%1.2%-1.9M-30.2M-1.1M0.545.973,7081,99247,64550,992
2012-10-24$95.62$97.5017.9%5.1%18.6%40.3%18.2%2.8%1.1%-1.7M-48.9M-1.1M0.506.514,8372,40748,55051,755
2012-10-25$96.62$97.5016.6%4.8%19.1%33.1%18.3%2.7%1.5%-938.4K-82.7M-1.1M0.694.722,0831,43149,80652,812
2012-10-26$96.94$97.5016.4%4.7%19.2%31.5%19.6%2.5%1.9%-1.2M-96.3M-1.1M0.227.078,2271,82450,18753,592
2012-10-31$98.43$97.5017.6%5.0%20.0%38.1%18.7%2.6%0.9%100.0K-158.0M-1.0M0.478.874,9552,31351,17554,596