COST Options History — December 2012

In December 2012, COST traded between $96.92 and $105.95. ATM implied volatility averaged 19.8%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 15.5% (HV 20d: 35.3%). Max pain ranged from $90.50 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2012-12-05: Highest Volume — 75,797 contracts
  • 2012-12-12: Largest IV drop — 29.6% change
  • 2012-12-11: Highest IV Rank — 100.0%
  • 2012-12-06: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.47$96.92$105.95$104.59$98.73
Max Pain$92.55$90.50$100.00$100.00$93.00
ATM IV19.8%17.0%24.2%20.4%19.6%
Expected Move5.6%5.1%6.4%5.8%5.6%
HV 20d35.3%28.3%39.0%28.6%30.2%
HV 60d25.7%21.5%26.7%21.8%26.7%
IV Rank61.8%47.0%100.0%53.6%65.8%
IV Percentile89.0%59.5%100.0%92.9%91.7%
Term Structure0.0%-3.3%1.3%-2.6%0.4%
VWIV20.4%18.3%24.6%23.1%21.7%
Skew 25d3.6%2.6%6.3%4.1%3.6%
Skew 10d8.0%5.6%14.1%7.6%11.2%
Call IV 25d18.4%17.1%20.9%19.7%18.2%
Put IV 25d22.0%19.9%26.4%23.7%21.8%
Bid-Ask Spread %6.854.3410.656.636.77
Gamma HHI0.290.180.450.330.21
Net GEX7.7M4.3M18.7M6.9M6.6M
Net DEX-230.1M-304.8M-157.9M-277.8M-189.6M
Net VEX-1.1M-1.3M-1.0M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.401.780.981.76
Total Volume12,985.153,32075,79719,2775,218
Total OI137,502.15100,261160,198116,905105,358

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$104.59$100.0020.4%5.8%28.6%53.6%23.1%4.1%-2.6%6.9M-277.8M-1.2M0.986.639,7159,56255,21861,687
2012-12-04$104.40$100.0020.3%5.8%28.3%53.1%22.9%4.9%-2.2%5.3M-284.5M-1.3M1.035.385,4825,63958,46067,355
2012-12-05$105.95$100.0022.0%6.3%28.5%62.4%21.6%6.3%-3.3%5.4M-304.8M-1.3M1.115.3735,94439,85358,38368,991
2012-12-06$98.47$93.0022.5%6.4%39.0%65.2%24.6%5.5%-2.2%4.4M-279.8M-1.2M0.994.7814,25614,16558,38368,991
2012-12-07$98.56$90.5021.7%5.6%37.7%60.8%20.4%3.6%-0.2%4.3M-200.8M-1.2M1.058.983,6053,77475,72580,742
2012-12-10$98.95$90.5023.4%5.8%37.6%70.3%20.5%3.2%-0.8%4.7M-240.4M-1.2M0.4010.018,0553,22075,89977,832
2012-12-11$98.31$90.5024.2%5.9%37.7%100.0%20.6%3.3%-0.8%4.4M-214.4M-1.2M0.8410.6511,0849,33075,65178,706
2012-12-12$97.72$90.5017.0%5.3%37.8%47.0%18.9%3.3%0.9%6.1M-189.9M-1.1M0.768.378,7286,59380,07179,959
2012-12-13$97.85$90.5018.4%5.3%37.4%56.9%19.4%3.0%1.1%6.6M-201.7M-1.2M0.876.094,5683,99480,20779,110
2012-12-14$96.92$90.5018.3%5.2%37.4%56.2%19.0%3.0%1.1%4.3M-163.1M-1.1M1.786.802,2984,09380,75578,136
2012-12-17$98.78$90.5019.0%5.4%38.0%61.7%18.8%2.6%0.7%11.7M-247.6M-1.1M0.856.374,4083,72880,88677,808
2012-12-18$99.86$90.5018.0%5.1%38.0%54.0%18.3%2.8%1.3%16.6M-299.7M-1.1M0.876.065,0414,39681,71178,487
2012-12-19$98.68$90.5019.0%5.5%38.3%61.9%19.6%3.5%0.6%10.1M-232.8M-1.1M1.075.682,8053,01080,97578,872
2012-12-20$99.20$90.5018.2%5.2%38.3%55.8%18.9%3.3%1.2%14.4M-256.2M-1.0M0.497.163,1671,54379,96478,062
2012-12-21$99.49$90.5018.1%5.2%38.0%55.4%19.6%2.9%1.3%18.7M-266.0M-1.0M0.886.623,3722,97579,74377,838
2012-12-24$99.44$90.5018.3%5.3%37.5%56.9%19.7%3.3%1.0%6.5M-211.4M-1.1M1.534.341,4242,18447,49452,767
2012-12-26$98.68$93.0019.3%5.5%37.6%63.9%19.8%3.2%1.1%6.2M-200.6M-1.0M0.556.702,8301,56647,99353,896
2012-12-27$97.92$93.0019.4%5.6%30.3%64.7%19.8%3.6%1.1%6.2M-183.7M-1.1M0.977.992,4162,34249,19254,142
2012-12-28$96.97$93.0020.1%5.8%30.4%69.8%21.4%3.9%0.6%5.1M-157.9M-1.1M1.106.341,5841,73649,60954,985
2012-12-31$98.73$93.0019.6%5.6%30.2%65.8%21.7%3.6%0.4%6.6M-189.6M-1.1M1.766.771,8923,32649,82655,532