COST Options History — August 2013

In August 2013, COST traded between $110.46 and $120.07. ATM implied volatility averaged 16.1%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.2% (HV 20d: 12.9%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-08-08: Highest Volume — 11,779 contracts
  • 2013-08-07: Largest IV drop — 30.9% change
  • 2013-08-06: Highest IV Rank — 50.1%
  • 2013-08-15: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.45$110.46$120.07$118.34$111.87
Max Pain$115.00$115.00$115.00$115.00$115.00
ATM IV16.1%14.0%21.6%15.3%17.1%
Expected Move4.5%3.7%5.0%3.8%5.0%
HV 20d12.9%11.0%14.3%11.0%13.7%
HV 60d14.8%13.7%15.2%14.7%13.7%
IV Rank24.5%15.3%50.1%21.3%29.0%
IV Percentile40.6%14.7%94.4%31.7%56.0%
Term Structure1.5%0.9%2.0%1.0%1.6%
VWIV15.7%14.4%16.9%14.8%16.6%
Skew 25d2.6%2.0%3.2%2.0%2.9%
Skew 10d5.6%4.0%9.7%9.7%5.1%
Call IV 25d14.7%12.8%16.1%13.3%15.8%
Put IV 25d17.3%14.8%18.8%15.3%18.6%
Bid-Ask Spread %9.126.3912.489.888.85
Gamma HHI0.190.110.320.280.15
Net GEX3.0M-2.4M7.6M7.6M3.2M
Net DEX-99.7M-225.9M-19.3M-202.2M-77.3M
Net VEX-1.3M-1.4M-1.2M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.391.580.430.54
Total Volume4,075.2731,83611,7792,5403,549
Total OI75,765.13670,30386,47571,09886,475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$118.34$115.0015.3%3.8%11.0%21.3%14.8%2.0%1.0%7.6M-202.2M-1.2M0.439.881,78076035,08836,010
2013-08-02$119.37$115.0014.6%3.7%11.1%18.0%14.4%2.1%1.2%6.8M-220.1M-1.2M0.868.772,2401,93134,97936,226
2013-08-05$120.07$115.0018.0%4.1%11.0%33.4%15.1%2.3%1.3%7.0M-225.9M-1.2M1.437.532,2603,23534,98836,233
2013-08-06$119.50$115.0021.6%4.3%11.3%50.1%15.5%2.5%1.4%4.5M-214.3M-1.2M1.176.941,4661,71635,27838,187
2013-08-07$119.34$115.0015.0%4.3%11.4%19.6%15.6%2.5%1.3%3.8M-171.3M-1.2M1.206.391,6521,98531,75838,545
2013-08-08$117.39$115.0015.1%4.6%11.3%20.1%15.5%2.5%0.9%-2.4M-123.2M-1.2M1.0212.485,8225,95731,98039,560
2013-08-09$115.63$115.0014.0%4.5%12.5%15.3%15.4%2.8%1.4%1.0M-77.5M-1.3M1.0710.622,6192,79234,52741,297
2013-08-12$115.73$115.0015.3%4.5%12.4%21.2%15.5%2.8%1.3%1.8M-104.9M-1.3M0.6711.391,6701,11534,39439,282
2013-08-13$115.65$115.0014.1%4.4%12.2%15.8%15.5%2.7%1.5%1.6M-104.3M-1.3M0.7512.151,6481,24434,86239,659
2013-08-14$113.78$115.0014.4%4.3%13.1%17.0%15.5%2.7%1.7%25.6K-60.2M-1.3M0.858.033,1042,63635,52340,264
2013-08-15$111.79$115.0017.3%5.0%14.3%30.2%16.7%3.2%1.1%526.7K-24.0M-1.3M1.088.892,9863,21436,43940,607
2013-08-16$111.90$115.0016.7%4.8%13.8%27.6%15.7%2.9%1.3%2.0M-19.3M-1.3M0.717.141,9401,38536,80542,031
2013-08-19$112.08$115.0016.5%4.7%13.8%26.8%15.9%2.6%1.5%2.4M-56.7M-1.3M0.578.631,17266433,93037,541
2013-08-20$112.84$115.0015.0%4.3%13.6%19.1%15.7%2.4%1.7%3.3M-67.8M-1.3M0.398.882,30689434,67037,867
2013-08-21$111.96$115.0016.8%4.8%13.5%27.3%15.9%2.6%1.4%3.3M-62.6M-1.3M0.429.022,18691236,07338,302
2013-08-22$112.24$115.0016.2%4.6%13.6%24.6%15.8%2.3%1.7%4.0M-71.6M-1.3M0.9410.4497491437,59538,847
2013-08-23$113.07$115.0014.2%4.1%13.8%15.5%14.7%2.3%2.0%5.2M-85.5M-1.4M0.4810.812,3711,13937,85239,066
2013-08-26$111.87$115.0016.2%4.6%14.0%24.8%15.7%2.5%1.4%3.5M-63.9M-1.3M0.648.291,9791,27338,53439,259
2013-08-27$111.67$115.0016.8%4.8%14.0%27.6%16.3%2.6%1.8%3.4M-66.1M-1.4M1.589.261,1531,82239,86740,200
2013-08-28$110.46$115.0016.9%4.8%14.1%27.9%16.9%2.8%1.7%884.8K-36.2M-1.3M0.688.743,5272,40640,05241,155
2013-08-29$111.39$115.0016.7%4.8%14.1%26.9%16.1%2.7%1.9%1.5M-58.2M-1.4M0.857.611,7601,49842,53542,491
2013-08-30$111.87$115.0017.1%5.0%13.7%29.0%16.6%2.9%1.6%3.2M-77.3M-1.4M0.548.852,3081,24143,03243,443