COST Options History — November 2012

In November 2012, COST traded between $94.47 and $103.92. ATM implied volatility averaged 17.6%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.4% (HV 20d: 21.0%). Max pain ranged from $92.50 to $97.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2012-11-28: Highest Volume — 40,064 contracts
  • 2012-11-14: Largest IV spike — 15.7% change
  • 2012-11-15: Highest IV Rank — 55.7%
  • 2012-11-15: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.35$94.47$103.92$97.13$103.92
Max Pain$95.24$92.50$97.50$97.50$97.50
ATM IV17.6%15.6%20.7%15.6%18.1%
Expected Move5.3%4.5%5.9%4.5%5.2%
HV 20d21.0%18.2%29.2%20.3%29.1%
HV 60d17.5%15.2%21.8%15.2%21.8%
IV Rank38.5%27.0%55.7%27.0%41.0%
IV Percentile67.2%34.9%90.5%34.9%81.3%
Term Structure-0.3%-1.7%2.5%2.5%-1.6%
VWIV18.9%15.9%20.8%15.9%19.9%
Skew 25d2.6%1.4%3.3%2.4%3.2%
Skew 10d5.3%3.2%6.9%3.6%6.7%
Call IV 25d17.6%14.9%19.9%14.9%17.9%
Put IV 25d20.2%17.3%22.2%17.3%21.1%
Bid-Ask Spread %6.284.377.706.915.91
Gamma HHI0.220.190.280.240.25
Net GEX1.4M-4.1M7.2M-3.3M7.2M
Net DEX-102.0M-264.5M36.9M-96.2M-264.5M
Net VEX-1.0M-1.1M-916.9K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.132.921.231.11
Total Volume10,109.5712,44640,0645,12320,567
Total OI102,64184,024114,967106,565108,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$97.13$97.5015.6%4.5%20.3%27.0%15.9%2.4%2.5%-3.3M-96.2M-1.0M1.236.912,3022,82151,12255,443
2012-11-02$96.12$97.5016.6%4.8%20.5%32.7%16.2%2.4%2.0%-4.1M-58.8M-1.0M1.207.041,4401,72451,29156,249
2012-11-05$97.73$92.5017.0%5.3%20.3%34.9%18.7%3.1%-0.4%-2.9M-116.8M-995.1K0.315.785,9401,83151,19156,487
2012-11-06$98.79$92.5016.3%5.2%20.7%31.2%19.9%2.8%-0.5%230.2K-168.6M-996.8K0.556.083,3031,81953,20156,807
2012-11-07$97.30$95.0016.7%5.4%21.2%33.1%19.6%2.8%-0.2%-3.6M-101.4M-1.0M0.637.259,8866,24452,73157,027
2012-11-08$94.74$95.0017.3%5.6%22.4%36.7%19.7%3.3%-0.2%-2.9M-9.0M-986.8K1.106.414,8385,31154,43455,327
2012-11-09$95.46$95.0016.8%5.6%21.3%33.9%20.0%3.3%-0.4%-1.1M-46.9M-955.7K1.135.514,1344,65755,63254,884
2012-11-12$95.98$95.0017.6%5.6%18.4%38.2%20.0%3.0%-0.3%-543.5K-70.8M-932.0K0.137.034,42558656,39155,629
2012-11-13$95.69$95.0016.9%5.5%18.2%34.2%19.7%2.9%-0.3%-330.1K-74.0M-1.0M0.147.5015,4992,24359,20155,766
2012-11-14$94.47$95.0019.5%5.8%18.4%48.8%20.8%2.6%-0.6%-3.7M36.9M-1.0M1.356.782,6323,56352,17256,610
2012-11-15$95.70$95.0020.7%5.9%19.0%55.7%20.7%2.1%-0.7%-554.3K-14.0M-1.0M1.034.803,4333,52552,44856,585
2012-11-16$95.69$95.0019.5%5.6%19.0%49.1%19.8%2.2%-0.2%396.9K-23.4M-1.0M0.685.836,8714,69153,05457,413
2012-11-19$96.57$95.0017.6%5.0%19.2%38.4%18.6%2.4%-0.0%4.4M-100.2M-971.0K0.275.936,6751,77041,53542,489
2012-11-20$97.12$95.0017.5%5.0%18.3%37.6%18.5%2.3%0.0%5.6M-119.7M-988.9K1.206.381,6531,98843,53743,336
2012-11-21$96.74$95.0017.2%4.9%18.4%35.9%17.5%2.5%0.0%5.3M-110.8M-997.3K0.596.181,60095243,96944,267
2012-11-23$97.92$95.0017.2%4.9%18.8%36.2%18.0%2.2%-0.2%6.4M-141.1M-982.6K0.627.701,50793944,66344,788
2012-11-26$96.26$95.0017.9%5.1%19.8%40.1%19.0%2.3%-0.5%4.6M-93.6M-982.0K0.886.182,5832,27044,81645,008
2012-11-27$96.51$95.0017.8%5.1%19.5%39.4%18.0%2.2%-0.7%4.7M-100.7M-989.8K2.927.522,9428,58545,38446,237
2012-11-28$102.58$95.0017.6%5.0%29.2%38.3%18.5%1.4%-1.4%7.2M-250.0M-916.9K0.604.7925,01415,05046,27348,798
2012-11-29$101.88$97.5018.9%5.4%29.0%45.8%18.5%2.4%-1.7%6.6M-218.1M-1.1M1.114.376,8797,60950,05954,386
2012-11-30$103.92$97.5018.1%5.2%29.1%41.0%19.9%3.2%-1.6%7.2M-264.5M-1.1M1.115.919,76610,80151,64057,181