COST Options History — June 2013

In June 2013, COST traded between $107.56 and $112.09. ATM implied volatility averaged 18.8%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.2% (HV 20d: 17.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2013-06-03: Highest Volume — 7,519 contracts
  • 2013-06-06: Largest IV drop — 29.9% change
  • 2013-06-05: Highest IV Rank — 76.3%
  • 2013-06-20: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.37$107.56$112.09$110.88$110.57
Max Pain$106.30$105.00$110.00$110.00$108.00
ATM IV18.8%13.7%27.4%25.1%13.7%
Expected Move5.0%4.6%5.6%5.4%4.6%
HV 20d17.6%16.3%19.0%16.6%16.9%
HV 60d15.4%14.7%16.3%14.8%15.9%
IV Rank37.2%14.0%76.3%66.0%14.0%
IV Percentile69.7%9.5%99.6%99.2%9.5%
Term Structure0.9%-0.8%2.5%-0.8%1.4%
VWIV17.9%16.0%19.6%19.6%16.0%
Skew 25d2.6%2.0%3.4%2.6%2.8%
Skew 10d5.6%4.7%7.0%5.6%6.7%
Call IV 25d16.7%14.9%18.8%18.2%14.9%
Put IV 25d19.3%17.4%21.8%20.7%17.8%
Bid-Ask Spread %7.845.859.597.319.59
Gamma HHI0.190.120.260.200.19
Net GEX6.3M3.2M10.1M5.6M6.6M
Net DEX-150.0M-199.4M-73.2M-154.6M-152.4M
Net VEX-1.4M-1.5M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.351.430.951.43
Total Volume4,166.651,9967,5197,5192,375
Total OI91,272.6582,09195,23187,93288,014

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$110.88$110.0025.1%5.4%16.6%66.0%19.6%2.6%-0.8%5.6M-154.6M-1.4M0.957.313,8553,66445,06642,866
2013-06-04$110.66$110.0025.2%5.4%16.4%66.5%18.8%2.3%-0.4%5.6M-154.5M-1.4M0.586.203,6312,10546,21243,874
2013-06-05$109.17$110.0027.4%5.4%17.1%76.3%18.9%2.0%-0.5%4.0M-113.6M-1.5M1.287.131,5361,96647,83644,999
2013-06-06$111.09$110.0019.2%5.1%18.2%38.9%18.0%2.2%0.1%6.8M-167.5M-1.5M0.955.852,9912,85447,88544,745
2013-06-07$110.58$105.0017.7%5.1%18.2%31.9%17.9%2.6%1.0%6.6M-156.6M-1.5M0.757.842,4111,80848,17245,087
2013-06-10$110.31$105.0019.8%5.0%18.0%41.9%17.5%2.8%1.2%6.1M-146.8M-1.4M0.769.021,3841,05548,02244,789
2013-06-11$110.02$105.0019.7%5.0%18.0%41.4%17.7%2.8%1.3%6.0M-143.7M-1.4M0.988.361,00699048,40445,117
2013-06-12$109.40$105.0017.2%5.1%17.5%29.6%18.3%2.9%1.4%4.0M-118.9M-1.5M0.646.821,35987348,70445,268
2013-06-13$110.88$105.0017.7%5.1%17.6%32.1%18.2%2.5%1.2%7.3M-170.1M-1.4M0.437.883,0531,32648,65545,502
2013-06-14$111.00$105.0017.7%5.1%17.1%32.1%18.2%2.6%1.1%7.4M-175.2M-1.4M0.507.402,5791,29949,31945,729
2013-06-17$111.70$105.0016.7%4.8%16.5%27.7%17.5%2.3%2.2%9.1M-195.2M-1.4M0.888.552,2962,02748,91145,615
2013-06-18$112.09$105.0016.3%4.7%16.3%25.6%16.6%2.6%2.5%10.1M-199.4M-1.4M0.568.061,61089849,32845,693
2013-06-19$110.19$105.0016.6%4.8%16.6%27.2%16.5%2.9%2.1%4.6M-144.5M-1.4M0.357.913,4431,21649,17945,982
2013-06-20$107.56$105.0019.4%5.6%18.4%40.0%19.4%3.4%0.3%3.2M-73.2M-1.4M0.818.204,1513,35748,28445,654
2013-06-21$108.65$105.0018.4%5.3%19.0%35.2%18.2%2.8%0.7%5.0M-97.7M-1.4M0.928.422,4902,28648,88946,342
2013-06-24$109.64$105.0018.0%5.2%18.9%33.4%18.4%2.8%0.7%5.6M-132.6M-1.5M0.676.912,7961,88041,48740,604
2013-06-25$110.25$105.0017.3%5.0%18.9%30.4%17.6%2.7%0.9%6.5M-152.1M-1.4M0.477.921,97192642,25641,333
2013-06-26$111.18$105.0016.6%4.8%18.5%27.1%17.2%2.4%1.1%7.6M-176.6M-1.4M0.958.902,8052,66842,50841,851
2013-06-27$111.49$108.0016.4%4.7%18.2%26.2%16.7%2.5%1.1%7.5M-175.6M-1.4M1.028.521,1871,20643,31543,957
2013-06-28$110.57$108.0013.7%4.6%16.9%14.0%16.0%2.8%1.4%6.6M-152.4M-1.4M1.439.599771,39843,70444,310