COST Options History — October 2013

In October 2013, COST traded between $112.21 and $118.75. ATM implied volatility averaged 16.1%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.3% (HV 20d: 13.8%). Max pain ranged from $90.00 to $120.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-10-09: Highest Volume — 26,166 contracts
  • 2013-10-09: Largest IV drop — 14.5% change
  • 2013-10-08: Highest IV Rank — 49.5%
  • 2013-10-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.19$112.21$118.75$115.00$118.00
Max Pain$112.17$90.00$120.00$110.00$90.00
ATM IV16.1%13.1%21.6%18.0%13.1%
Expected Move6.2%6.0%6.5%6.2%6.0%
HV 20d13.8%11.9%16.6%16.6%14.2%
HV 60d14.6%13.7%15.0%14.3%15.0%
IV Rank24.2%10.2%49.5%33.0%10.2%
IV Percentile39.9%3.2%93.3%72.6%3.2%
Term Structure0.5%-1.2%2.4%-0.0%0.5%
VWIV23.2%21.2%25.3%22.4%24.6%
Skew 25d2.6%2.1%3.1%2.5%2.1%
Skew 10d5.4%4.0%6.4%6.0%4.0%
Call IV 25d15.2%12.4%20.4%16.9%12.4%
Put IV 25d17.7%14.5%23.5%19.4%14.5%
Bid-Ask Spread %3.823.025.623.024.62
Gamma HHI0.190.120.520.240.19
Net GEX5.1M-1.2M35.0M4.4M351.0K
Net DEX-118.2M-209.6M-13.7M-89.5M-153.4M
Net VEX-1.4M-1.6M-1.3M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.342.430.930.39
Total Volume8,271.7833,18326,1663,9214,960
Total OI99,484.69687,557111,14488,682107,641

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$115.00$110.0018.0%6.2%16.6%33.0%22.4%2.5%-0.0%4.4M-89.5M-1.4M0.933.022,0341,88741,62247,060
2013-10-02$114.82$110.0018.3%6.2%16.5%34.4%22.3%2.8%-0.1%4.0M-86.0M-1.4M1.033.202,6802,74942,47747,931
2013-10-03$114.42$110.0019.1%6.2%13.4%37.8%21.8%2.7%-0.4%3.6M-76.3M-1.4M1.964.273,0585,99043,57749,283
2013-10-04$114.44$120.0019.0%6.3%13.3%37.5%21.8%2.9%-0.5%2.9M-73.7M-1.4M2.433.311,4913,62844,81851,938
2013-10-07$113.41$120.0020.5%6.3%13.3%44.5%24.2%2.9%-1.2%888.1K-46.3M-1.4M0.634.653,0751,94744,50652,347
2013-10-08$112.21$120.0021.6%6.5%11.9%49.5%22.8%3.1%-0.3%-1.2M-13.7M-1.4M0.695.198,2275,69746,03952,844
2013-10-09$114.59$120.0018.5%6.3%13.0%35.1%21.9%2.6%0.1%7.4M-106.9M-1.4M0.865.6214,09612,07049,00255,058
2013-10-10$115.70$120.0017.4%6.2%13.3%30.2%21.5%2.5%0.1%16.1M-154.6M-1.4M0.644.464,6172,96050,06455,532
2013-10-11$115.90$120.0016.5%6.2%12.9%26.1%21.2%2.6%0.1%35.0M-167.2M-1.4M0.523.294,7452,45851,26056,308
2013-10-14$116.26$120.0016.9%6.2%12.9%27.7%22.7%3.1%0.7%9.4M-157.2M-1.4M1.013.601,5871,59647,64852,264
2013-10-15$115.36$120.0016.9%6.2%13.0%27.7%24.8%2.9%0.7%5.9M-121.8M-1.4M1.773.662,5194,45348,10052,850
2013-10-16$117.36$120.0016.0%6.2%14.4%23.7%24.7%2.8%0.1%7.5M-181.6M-1.4M0.913.865,4965,00149,46555,739
2013-10-17$118.26$120.0013.8%6.0%14.6%13.9%25.3%2.1%0.6%7.8M-209.6M-1.3M0.723.335,2903,83350,61357,401
2013-10-18$117.64$120.0013.8%6.0%14.2%13.5%21.7%2.8%0.9%5.1M-175.5M-1.4M0.443.587,8983,48051,45159,693
2013-10-21$117.38$120.0014.7%6.2%14.1%17.7%22.2%2.2%1.9%2.4M-114.5M-1.4M0.753.452,7282,05839,49448,063
2013-10-22$117.81$120.0013.6%6.0%13.6%12.9%22.7%2.5%1.1%2.7M-126.3M-1.4M0.503.156,7083,33041,11949,511
2013-10-23$117.16$120.0014.2%6.1%13.5%15.7%23.4%2.6%1.9%865.3K-94.1M-1.4M1.143.142,1302,43041,87651,342
2013-10-24$116.24$120.0014.4%6.1%13.5%16.4%24.5%2.5%-0.4%-1.2M-54.7M-1.4M0.513.586,0883,08342,56052,306
2013-10-25$116.44$90.0014.0%6.2%13.3%14.6%23.8%2.3%-0.5%-742.6K-75.8M-1.5M0.473.614,8762,27745,43953,701
2013-10-28$117.35$90.0013.7%6.2%13.4%13.2%23.2%2.3%2.4%-69.3K-122.8M-1.6M0.564.055,4393,02245,72753,867
2013-10-29$118.75$90.0013.1%6.0%13.9%10.5%24.7%2.2%1.6%4.4M-181.4M-1.6M0.343.606,3302,13247,47455,331
2013-10-30$117.76$90.0013.3%6.0%14.3%11.3%24.9%2.2%1.3%557.2K-136.9M-1.6M0.733.544,6753,42349,75456,053
2013-10-31$118.00$90.0013.1%6.0%14.2%10.2%24.6%2.1%0.5%351.0K-153.4M-1.6M0.394.623,5641,39649,86957,772