COST Options History — September 2013

In September 2013, COST traded between $111.50 and $119.25. ATM implied volatility averaged 17.3%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.0% (HV 20d: 16.3%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-09-05: Highest Volume — 11,319 contracts
  • 2013-09-05: Largest IV drop — 45.9% change
  • 2013-09-04: Highest IV Rank — 74.6%
  • 2013-09-16: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.36$111.50$119.25$111.98$115.17
Max Pain$111.84$105.00$115.00$115.00$110.00
ATM IV17.3%12.7%27.1%23.0%18.3%
Expected Move5.5%4.1%6.3%5.1%6.2%
HV 20d16.3%13.4%18.0%13.4%16.6%
HV 60d14.4%13.6%15.4%13.6%14.4%
IV Rank29.6%8.6%74.6%56.1%34.4%
IV Percentile50.8%1.6%99.2%96.4%77.4%
Term Structure0.4%-0.7%3.2%1.3%0.1%
VWIV20.2%14.9%24.4%17.2%24.1%
Skew 25d2.7%2.2%3.1%2.8%2.5%
Skew 10d6.1%4.3%7.0%4.3%6.0%
Call IV 25d16.2%14.2%17.2%16.2%17.2%
Put IV 25d18.9%16.8%19.8%19.0%19.7%
Bid-Ask Spread %6.423.2113.409.603.82
Gamma HHI0.280.160.470.170.27
Net GEX9.4M4.2M16.4M5.1M5.1M
Net DEX-158.6M-256.3M-62.4M-79.8M-101.8M
Net VEX-1.3M-1.4M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.211.170.211.17
Total Volume4,808.052,71111,3192,7114,260
Total OI86,868.5581,03489,71185,74786,989

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$111.98$115.0023.0%5.1%13.4%56.1%17.2%2.8%1.3%5.1M-79.8M-1.4M0.219.602,23447743,75941,988
2013-09-04$111.50$115.0027.1%4.9%13.4%74.6%16.7%2.9%1.5%4.2M-62.4M-1.4M1.068.591,7791,88543,29642,176
2013-09-05$114.62$115.0014.6%4.1%17.4%17.5%14.9%2.5%3.2%8.7M-143.1M-1.4M0.3310.568,4942,82543,86743,557
2013-09-06$114.35$115.0014.8%5.0%16.5%18.2%17.6%2.9%0.5%7.8M-130.9M-1.4M0.468.783,3661,53344,26844,374
2013-09-09$115.35$115.0015.9%5.0%16.0%23.3%17.9%2.5%0.4%9.8M-152.8M-1.4M0.557.262,3941,32343,60442,821
2013-09-10$117.32$115.0015.3%5.0%17.1%20.8%17.2%2.6%-0.1%11.6M-202.9M-1.3M0.455.864,7352,12143,86643,295
2013-09-11$119.25$115.0012.7%4.6%18.0%8.6%17.0%2.4%0.9%14.6M-256.3M-1.3M0.666.124,4602,94943,63943,818
2013-09-12$118.19$115.0016.0%4.6%17.2%24.0%16.4%2.7%1.1%12.5M-220.4M-1.3M0.646.293,6492,32142,87944,418
2013-09-13$117.03$115.0017.4%5.0%16.2%30.5%17.2%2.9%-0.4%12.7M-179.5M-1.4M1.136.341,3461,52343,53945,325
2013-09-16$117.35$0.0017.7%6.3%16.2%31.6%23.2%3.1%-0.7%10.0M-179.6M-1.3M1.0713.401,4601,56643,14845,045
2013-09-17$117.91$110.0016.1%6.1%16.2%24.1%23.5%3.0%0.8%11.0M-193.9M-1.3M1.105.661,5091,66143,34545,617
2013-09-18$118.64$110.0016.2%6.1%16.2%24.5%23.9%2.5%0.7%13.4M-215.7M-1.3M0.716.432,0341,44643,22946,246
2013-09-19$119.20$105.0016.3%6.0%15.8%25.2%21.3%2.2%0.1%16.4M-224.2M-1.3M0.603.532,5891,56142,00946,122
2013-09-20$117.94$105.0016.3%6.0%16.5%25.1%22.0%2.6%0.5%9.4M-187.1M-1.3M0.413.213,9341,59742,80046,911
2013-09-23$117.57$110.0016.4%6.0%16.5%25.8%22.4%2.4%-0.2%8.6M-166.0M-1.3M0.453.701,87684838,98142,053
2013-09-24$116.34$110.0017.9%6.2%16.5%32.7%24.4%3.0%-0.6%7.9M-133.5M-1.4M1.126.021,6531,85739,60042,330
2013-09-25$115.41$110.0017.9%6.2%16.8%32.3%22.6%3.0%-0.5%6.6M-105.9M-1.3M0.903.775,6135,03040,08843,433
2013-09-26$116.40$110.0017.8%6.2%16.3%31.9%23.4%2.8%-0.4%6.1M-127.7M-1.4M0.805.771,9081,52340,90446,000
2013-09-27$115.72$110.0017.4%6.1%16.4%30.5%21.4%2.6%-0.5%6.8M-108.6M-1.4M0.613.791,7481,07441,31846,714
2013-09-30$115.17$110.0018.3%6.2%16.6%34.4%24.1%2.5%0.1%5.1M-101.8M-1.4M1.173.821,9612,29940,84546,144