COST Options History — July 2013

In July 2013, COST traded between $110.43 and $119.10. ATM implied volatility averaged 15.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.2% (HV 20d: 13.4%). Max pain ranged from $108.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2013-07-11: Highest Volume — 9,015 contracts
2013-07-03: Largest IV spike — 42.0% change
2013-07-03: Highest IV Rank — 42.0%
2013-07-05: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.52	$110.43	$119.10	$110.43	$117.42
Max Pain	$111.77	$108.00	$115.00	$108.00	$115.00
ATM IV	15.6%	13.3%	19.9%	15.6%	18.3%
Expected Move	4.4%	3.8%	5.0%	4.6%	4.5%
HV 20d	13.4%	9.6%	16.5%	16.4%	10.9%
HV 60d	15.1%	14.5%	15.8%	15.8%	14.7%
IV Rank	22.4%	12.1%	42.0%	22.6%	34.7%
IV Percentile	34.7%	4.4%	90.1%	34.5%	78.2%
Term Structure	1.3%	-0.0%	2.4%	1.2%	0.1%
VWIV	15.6%	14.7%	18.0%	16.1%	15.1%
Skew 25d	2.5%	2.0%	3.1%	2.5%	2.3%
Skew 10d	5.4%	4.2%	7.0%	6.4%	7.0%
Call IV 25d	14.2%	13.0%	15.6%	15.2%	13.9%
Put IV 25d	16.7%	15.2%	18.7%	17.7%	16.2%
Bid-Ask Spread %	8.15	6.33	11.75	7.79	6.47
Gamma HHI	0.24	0.15	0.32	0.22	0.22
Net GEX	8.2M	4.5M	16.7M	5.7M	5.6M
Net DEX	-227.3M	-331.8M	-142.4M	-142.4M	-179.7M
Net VEX	-1.2M	-1.4M	-1.1M	-1.4M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.15	1.73	0.67	0.85
Total Volume	3,834.273	1,344	9,015	1,344	2,682
Total OI	82,333.455	62,996	93,365	87,757	70,299

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-07-01	$110.43	$108.00	15.6%	4.6%	16.4%	22.6%	16.1%	2.5%	1.2%	5.7M	-142.4M	-1.4M	0.67	7.79	804	540	43,553	44,204
2013-07-02	$110.85	$108.00	14.0%	4.6%	16.5%	15.2%	15.5%	2.6%	1.5%	6.3M	-156.7M	-1.3M	0.67	7.72	1,610	1,084	43,696	44,409
2013-07-03	$110.91	$108.00	19.9%	4.8%	15.6%	42.0%	16.7%	2.8%	0.9%	6.4M	-158.4M	-1.4M	1.73	7.79	1,212	2,096	44,017	45,064
2013-07-05	$111.76	$110.00	17.3%	5.0%	14.6%	30.1%	18.0%	3.1%	1.3%	8.0M	-180.5M	-1.3M	1.33	9.35	1,344	1,782	44,383	46,468
2013-07-08	$112.62	$110.00	17.6%	4.4%	14.7%	31.6%	16.4%	2.8%	2.0%	10.0M	-212.7M	-1.3M	0.92	7.71	2,029	1,857	44,388	46,397
2013-07-09	$113.35	$110.00	17.0%	4.4%	14.8%	28.7%	15.9%	2.7%	2.0%	11.9M	-235.5M	-1.3M	0.64	6.72	2,329	1,501	44,742	46,904
2013-07-10	$113.65	$110.00	14.2%	4.4%	14.7%	16.1%	16.0%	2.4%	1.9%	13.9M	-245.6M	-1.2M	0.40	6.33	2,742	1,095	44,895	46,973
2013-07-11	$115.90	$110.00	15.2%	4.4%	15.8%	20.6%	15.5%	2.3%	1.8%	16.7M	-324.9M	-1.2M	0.35	7.36	6,699	2,316	45,822	47,408
2013-07-12	$116.46	$110.00	15.2%	4.4%	15.3%	20.8%	15.3%	2.5%	1.8%	11.2M	-321.2M	-1.2M	0.46	11.75	2,585	1,191	45,232	48,133
2013-07-15	$115.89	$110.00	15.4%	4.4%	15.5%	21.5%	15.4%	2.5%	1.7%	11.3M	-291.5M	-1.2M	0.42	8.69	3,081	1,298	44,064	46,825
2013-07-16	$116.53	$110.00	15.5%	4.5%	15.5%	22.2%	15.1%	2.3%	1.5%	10.6M	-306.2M	-1.2M	0.80	10.45	2,266	1,810	44,234	47,420
2013-07-17	$117.40	$110.00	15.6%	4.5%	15.6%	22.3%	15.8%	2.4%	1.5%	8.5M	-325.5M	-1.1M	0.44	9.78	3,020	1,315	44,308	48,366
2013-07-18	$117.06	$110.00	15.3%	4.4%	14.0%	21.1%	14.9%	2.6%	1.7%	6.7M	-314.5M	-1.1M	0.46	8.47	2,889	1,323	43,990	48,051
2013-07-19	$118.07	$115.00	13.5%	3.9%	9.7%	12.9%	14.7%	2.0%	2.4%	11.9M	-331.8M	-1.2M	0.15	9.51	5,112	758	44,460	48,484
2013-07-22	$118.05	$115.00	13.5%	3.9%	9.6%	12.8%	15.0%	2.3%	1.0%	6.0M	-195.8M	-1.1M	0.97	7.29	1,475	1,425	31,606	31,390
2013-07-23	$119.10	$115.00	13.3%	3.8%	9.6%	12.1%	15.3%	2.1%	1.1%	6.2M	-210.2M	-1.1M	1.42	8.35	1,550	2,202	32,071	31,956
2013-07-24	$117.90	$115.00	13.5%	3.9%	10.8%	12.8%	14.8%	2.5%	1.0%	5.1M	-187.4M	-1.2M	0.72	7.19	1,823	1,311	32,587	33,154
2013-07-25	$117.45	$115.00	15.3%	4.4%	10.9%	20.9%	15.9%	2.7%	0.3%	4.6M	-178.4M	-1.2M	1.04	7.30	2,116	2,199	32,875	33,661
2013-07-26	$116.57	$115.00	13.8%	4.2%	11.5%	14.5%	14.8%	2.7%	0.8%	4.5M	-154.4M	-1.3M	0.78	6.42	2,058	1,600	33,257	34,641
2013-07-29	$117.14	$115.00	16.6%	4.4%	10.9%	27.1%	14.8%	2.4%	0.3%	5.0M	-175.0M	-1.2M	0.29	8.02	2,480	710	33,339	34,593
2013-07-30	$116.93	$115.00	17.3%	4.4%	10.9%	30.3%	15.4%	2.6%	-0.0%	5.2M	-173.0M	-1.2M	0.84	8.85	1,651	1,384	34,020	34,997
2013-07-31	$117.42	$115.00	18.3%	4.5%	10.9%	34.7%	15.1%	2.3%	0.1%	5.6M	-179.7M	-1.2M	0.85	6.47	1,446	1,236	34,581	35,718