COST Options History — May 2013

In May 2013, COST traded between $108.22 and $114.83. ATM implied volatility averaged 16.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.8% (HV 20d: 13.7%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-05-30: Highest Volume — 18,014 contracts
  • 2013-05-16: Largest IV spike — 61.1% change
  • 2013-05-31: Highest IV Rank — 47.5%
  • 2013-05-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.31$108.22$114.83$108.22$109.63
Max Pain$109.32$105.00$110.00$105.00$110.00
ATM IV16.5%10.8%21.1%19.0%21.1%
Expected Move4.8%3.8%6.0%4.0%5.4%
HV 20d13.7%12.3%16.4%14.9%16.4%
HV 60d13.8%13.3%14.8%13.8%14.8%
IV Rank26.4%0.7%47.5%38.1%47.5%
IV Percentile50.8%0.4%95.2%82.5%95.2%
Term Structure-0.5%-2.1%2.6%2.3%-0.6%
VWIV17.6%14.9%21.7%15.4%18.5%
Skew 25d2.8%2.2%3.5%2.6%2.4%
Skew 10d6.4%4.8%10.2%10.2%5.8%
Call IV 25d16.2%13.6%20.7%14.1%18.2%
Put IV 25d19.0%16.3%23.6%16.7%20.7%
Bid-Ask Spread %10.005.3013.3810.087.72
Gamma HHI0.240.130.470.180.47
Net GEX7.6M-10.3M17.3M7.6M-10.3M
Net DEX-207.7M-252.9M-103.0M-179.4M-103.0M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.301.370.500.88
Total Volume6,450.5451,91418,0142,90610,663
Total OI77,854.27369,19690,78275,05890,782

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$108.22$105.0019.0%4.0%14.9%38.1%15.4%2.6%2.3%7.6M-179.4M-1.3M0.5010.081,93397339,98435,074
2013-05-02$108.69$105.0015.2%3.9%15.0%20.5%14.9%3.1%2.6%8.8M-182.0M-1.3M0.498.632,4131,17639,73535,490
2013-05-03$109.75$105.0014.7%3.8%15.1%18.3%17.0%2.5%2.6%14.7M-210.0M-1.3M0.549.064,2992,33040,61735,816
2013-05-06$109.09$110.0017.7%4.6%14.9%31.9%16.6%3.3%-0.8%8.4M-199.2M-1.2M0.4011.372,5731,02340,29036,181
2013-05-07$109.71$110.0019.0%4.7%14.2%38.0%17.6%3.1%-0.8%9.4M-215.6M-1.2M0.5613.101,22868641,16136,501
2013-05-08$109.61$110.0013.8%4.6%14.2%14.5%18.5%2.8%-0.8%9.1M-212.7M-1.2M0.6713.381,27885241,10836,619
2013-05-09$109.14$110.0012.1%4.6%14.3%6.5%16.9%2.5%-0.8%8.9M-199.2M-1.2M0.5112.442,0261,03741,30137,196
2013-05-10$109.99$110.0011.3%4.6%14.5%3.1%17.0%2.8%-0.7%17.3M-220.8M-1.2M0.5811.481,9081,10641,08637,316
2013-05-13$110.01$110.0013.0%4.7%12.5%10.6%16.6%2.9%-0.8%9.1M-216.6M-1.2M0.3011.663,34499340,32337,068
2013-05-14$111.39$110.0014.2%4.8%12.4%16.4%16.8%2.9%-0.9%9.0M-252.9M-1.2M0.3210.347,5652,44440,99037,441
2013-05-15$112.82$110.0010.8%4.5%12.3%0.7%17.0%2.8%-0.2%7.1M-227.7M-1.2M0.7311.253,6012,62636,27237,802
2013-05-16$111.51$110.0017.4%5.0%12.4%30.9%17.8%3.1%-1.7%6.3M-197.5M-1.2M0.839.072,5162,08636,21938,277
2013-05-17$113.05$110.0015.8%4.5%12.8%23.7%17.4%2.5%-0.2%6.5M-228.5M-1.2M0.7312.001,9831,45036,58238,913
2013-05-20$112.02$110.0017.4%5.0%13.6%30.7%17.1%2.6%-1.7%6.2M-200.2M-1.2M1.377.792,2133,04035,15334,043
2013-05-21$113.48$110.0017.0%4.9%12.7%29.0%17.4%2.2%-0.5%5.8M-219.7M-1.2M0.638.135,8703,69235,66435,854
2013-05-22$113.38$110.0017.1%4.9%12.7%29.3%17.6%2.6%-0.5%7.9M-223.1M-1.2M0.817.624,1183,35638,64036,816
2013-05-23$113.19$110.0017.6%5.1%12.3%31.8%18.7%3.5%-0.6%7.4M-212.4M-1.3M0.7713.262,4511,88539,47338,069
2013-05-24$114.39$110.0018.1%5.2%12.7%34.0%18.5%2.9%-1.3%8.1M-240.8M-1.3M0.599.972,5041,47040,26538,936
2013-05-28$114.83$110.0019.6%5.6%12.3%41.0%19.8%2.8%-2.1%8.1M-250.5M-1.3M0.598.827,2134,23340,28138,971
2013-05-29$112.95$110.0021.0%6.0%14.0%47.2%21.7%2.9%-2.0%7.3M-204.2M-1.4M0.775.308,9096,83242,85341,105
2013-05-30$111.88$110.0018.9%5.4%14.5%37.6%18.1%3.0%-1.6%5.5M-173.0M-1.4M0.557.5311,6086,40646,39544,132
2013-05-31$109.63$110.0021.1%5.4%16.4%47.5%18.5%2.4%-0.6%-10.3M-103.0M-1.4M0.887.725,6774,98645,80244,980