COST Options History — March 2013

In March 2013, COST traded between $101.42 and $106.64. ATM implied volatility averaged 17.3%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.0% (HV 20d: 13.3%). Max pain ranged from $98.00 to $100.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-03-11: Highest Volume — 17,886 contracts
  • 2013-03-12: Largest IV drop — 56.6% change
  • 2013-03-05: Highest IV Rank — 100.0%
  • 2013-03-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.48$101.42$106.64$101.42$106.11
Max Pain$99.50$98.00$100.00$100.00$100.00
ATM IV17.3%12.6%32.6%18.3%14.0%
Expected Move4.3%3.7%5.9%5.9%4.0%
HV 20d13.3%12.0%14.5%14.1%13.0%
HV 60d15.0%13.4%20.9%20.5%13.4%
IV Rank38.6%9.0%100.0%56.6%15.4%
IV Percentile38.5%0.8%100.0%82.1%13.1%
Term Structure0.4%-3.2%2.2%-3.2%0.2%
VWIV15.3%13.4%21.7%21.7%14.3%
Skew 25d2.5%1.9%3.3%3.3%2.8%
Skew 10d5.8%4.0%7.6%7.3%6.4%
Call IV 25d14.0%12.5%18.8%18.8%12.5%
Put IV 25d16.6%14.7%22.0%22.0%15.3%
Bid-Ask Spread %8.672.9212.4511.739.69
Gamma HHI0.190.140.300.150.16
Net GEX5.3M-3.5M12.7M-2.5M9.6M
Net DEX-139.6M-230.7M-77.3M-77.3M-205.5M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.342.152.150.62
Total Volume5,929.852,66917,8862,9582,669
Total OI85,846.4575,04197,02583,47884,121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$101.42$100.0018.3%5.9%14.1%56.6%21.7%3.3%-3.2%-2.5M-77.3M-1.2M2.1511.739402,01838,32445,154
2013-03-04$103.43$98.0021.3%4.8%14.5%79.1%17.2%3.0%-0.1%2.3M-135.7M-1.2M1.948.171,8623,61638,61244,712
2013-03-05$103.15$98.0024.4%4.8%13.3%100.0%16.9%3.0%-0.4%1.5M-126.1M-1.2M0.8410.901,6441,38838,90045,988
2013-03-06$102.56$98.0022.0%4.7%13.1%82.4%16.7%3.0%-0.1%256.8K-104.8M-1.2M1.4012.451,6772,35039,47646,465
2013-03-07$101.97$98.0026.8%4.8%12.0%100.0%16.8%2.7%-0.3%-2.4M-85.8M-1.2M1.1712.244,3425,08240,20147,648
2013-03-08$103.04$98.0024.0%4.8%12.6%83.0%16.7%2.7%-0.4%1.7M-125.4M-1.2M1.054.852,2832,39641,65749,500
2013-03-11$102.44$100.0032.6%5.1%12.3%100.0%17.9%1.9%-0.8%252.4K-112.0M-1.2M0.988.139,0238,86341,62748,167
2013-03-12$103.75$100.0014.1%4.0%12.8%15.9%13.8%2.3%1.5%11.6M-162.5M-1.2M0.392.9212,8304,97445,15250,292
2013-03-13$103.42$100.0012.6%3.9%12.8%9.0%13.8%2.3%1.6%9.9M-153.3M-1.2M0.378.224,0541,48546,78350,107
2013-03-14$102.91$100.0013.5%3.9%13.0%12.9%14.0%2.6%1.8%5.8M-128.5M-1.2M0.539.683,2651,73245,94549,702
2013-03-15$101.75$100.0013.0%3.7%13.6%10.8%13.4%2.3%2.2%-3.5M-88.7M-1.2M0.8410.413,9533,33246,42650,599
2013-03-18$101.68$100.0013.5%3.9%13.6%12.9%14.2%2.7%1.4%4.0M-88.1M-1.2M0.598.693,1611,86938,70836,333
2013-03-19$102.12$100.0013.9%4.0%13.6%14.8%13.9%2.3%1.6%5.2M-109.6M-1.2M0.558.672,4791,37240,21737,478
2013-03-20$103.08$100.0013.6%3.9%13.6%13.4%14.0%1.9%-0.0%6.5M-123.3M-1.2M0.349.143,0131,03840,49538,219
2013-03-21$103.52$100.0014.0%4.0%13.6%15.1%14.2%2.2%-0.3%7.9M-141.5M-1.3M1.368.361,2401,69042,01838,447
2013-03-22$105.11$100.0013.5%3.9%14.4%12.8%14.1%2.6%0.7%12.7M-186.1M-1.2M0.417.663,6981,51942,22039,264
2013-03-25$105.47$100.0014.0%4.0%13.6%15.4%14.5%2.3%0.2%11.4M-203.0M-1.2M0.776.732,5771,99042,86139,163
2013-03-26$105.97$100.0013.6%3.9%13.2%13.6%13.8%2.4%0.3%11.0M-204.7M-1.2M0.527.271,9801,02143,12339,761
2013-03-27$106.64$100.0012.8%3.7%12.8%9.5%14.2%2.1%1.6%11.6M-230.7M-1.2M1.027.372,0662,10642,97640,088
2013-03-28$106.11$100.0014.0%4.0%13.0%15.4%14.3%2.8%0.2%9.6M-205.5M-1.2M0.629.691,6491,02043,04241,079