COST Options History — January 2013

In January 2013, COST traded between $100.28 and $103.36. ATM implied volatility averaged 15.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.4% (HV 20d: 17.7%). Max pain ranged from $93.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2013-01-02: Highest Volume — 9,938 contracts
  • 2013-01-07: Largest IV spike — 14.1% change
  • 2013-01-02: Highest IV Rank — 45.4%
  • 2013-01-02: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.73$100.28$103.36$101.45$102.34
Max Pain$99.33$93.00$100.00$93.00$100.00
ATM IV15.3%13.5%16.8%16.8%16.2%
Expected Move4.5%3.9%4.8%4.8%4.6%
HV 20d17.7%9.2%32.1%31.9%9.2%
HV 60d26.0%25.2%27.3%27.3%25.2%
IV Rank34.5%20.7%45.4%45.4%40.6%
IV Percentile32.9%5.2%53.6%53.6%49.2%
Term Structure1.1%0.1%2.4%0.5%0.6%
VWIV15.9%14.4%17.6%17.6%14.5%
Skew 25d2.4%1.6%3.1%2.8%2.1%
Skew 10d5.6%2.9%8.1%8.1%6.1%
Call IV 25d14.3%13.3%15.2%15.2%14.1%
Put IV 25d16.7%14.9%18.1%18.0%16.2%
Bid-Ask Spread %8.444.3711.834.3711.39
Gamma HHI0.210.110.360.320.13
Net GEX6.2M2.1M11.6M10.6M2.1M
Net DEX-203.7M-308.2M-105.9M-269.9M-105.9M
Net VEX-1.0M-1.1M-959.5K-998.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.253.501.660.30
Total Volume4,243.3331,5979,9389,9382,545
Total OI94,978.14356,758120,083105,90167,557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$101.45$93.0016.8%4.8%31.9%45.4%17.6%2.8%0.5%10.6M-269.9M-998.7K1.664.373,7386,20050,12055,781
2013-01-03$102.49$93.0015.0%4.3%32.1%31.8%15.7%2.1%2.4%11.6M-308.2M-959.5K0.988.204,7184,63550,06158,346
2013-01-04$102.16$100.0014.1%4.8%31.6%25.1%17.1%3.0%0.1%11.6M-296.2M-984.8K1.918.771,3992,67450,68459,474
2013-01-07$101.37$100.0016.0%4.8%17.3%39.7%16.4%3.0%1.1%10.3M-260.3M-1.0M1.7311.831,3492,33651,03560,554
2013-01-08$101.18$100.0015.2%4.6%17.3%33.8%16.1%2.9%1.2%9.9M-267.8M-970.9K0.656.621,9351,25651,23561,016
2013-01-09$101.23$100.0015.3%4.6%17.3%34.0%16.2%2.8%1.2%10.1M-260.5M-988.3K3.506.181,7936,26951,97061,364
2013-01-10$100.74$100.0015.8%4.5%17.2%38.4%17.0%3.0%1.6%3.8M-223.2M-1.0M1.207.621,6702,00152,17665,733
2013-01-11$100.28$100.0015.8%4.5%17.1%37.9%15.8%3.1%1.7%3.8M-213.8M-1.0M0.817.851,3271,07452,16765,408
2013-01-14$100.37$100.0016.0%4.6%17.1%39.3%16.5%3.1%1.5%5.8M-226.1M-1.0M0.686.592,2871,56252,51765,403
2013-01-15$101.15$100.0016.0%4.6%16.8%39.4%16.1%2.8%1.5%8.6M-252.7M-1.0M0.678.352,0841,39152,77265,527
2013-01-16$101.53$100.0015.7%4.5%15.6%37.0%15.6%2.6%0.7%10.0M-265.4M-997.9K0.608.351,6641,00253,16365,788
2013-01-17$100.96$100.0015.6%4.5%15.4%36.5%15.5%2.8%1.6%4.3M-250.4M-994.5K0.389.722,7231,02453,29465,817
2013-01-18$101.20$100.0014.9%4.3%14.6%31.3%15.8%2.6%1.9%3.9M-257.5M-999.9K0.688.892,5621,73453,87166,212
2013-01-22$102.15$100.0015.5%4.4%14.9%36.0%15.3%2.2%0.3%3.9M-112.6M-980.4K0.918.182,6952,44328,35528,403
2013-01-23$102.12$100.0015.0%4.3%14.9%31.9%15.0%1.8%0.4%3.7M-112.6M-982.6K0.948.281,1591,09429,23929,830
2013-01-24$102.89$100.0013.5%3.9%15.0%20.7%14.4%1.6%1.1%4.2M-128.7M-969.5K0.618.572,0281,24529,76030,357
2013-01-25$102.36$100.0015.3%4.4%14.8%34.5%15.1%1.8%0.6%3.9M-118.2M-992.4K3.179.311,5354,86130,11430,774
2013-01-28$102.49$100.0016.0%4.6%14.4%39.3%16.0%1.6%0.5%2.3M-111.0M-1.0M0.259.283,10779230,71734,686
2013-01-29$103.36$100.0014.0%4.0%13.8%24.6%15.3%1.9%1.2%3.4M-126.9M-1.0M1.527.8663596731,43934,843
2013-01-30$102.53$100.0014.4%4.1%13.2%28.0%15.8%1.6%1.2%2.4M-109.6M-1.1M1.3911.0866793031,59235,387
2013-01-31$102.34$100.0016.2%4.6%9.2%40.6%14.5%2.1%0.6%2.1M-105.9M-1.1M0.3011.391,96558031,74035,817