COST Options History — December 2013

In December 2013, COST traded between $117.55 and $123.82. ATM implied volatility averaged 15.5%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.1% (HV 20d: 12.3%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2013-12-10: Highest Volume — 30,782 contracts
  • 2013-12-11: Largest IV drop — 13.1% change
  • 2013-12-10: Highest IV Rank — 29.7%
  • 2013-12-05: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.66$117.55$123.82$123.69$119.02
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV15.5%13.8%17.3%16.0%14.3%
Expected Move6.0%5.9%6.1%6.0%6.0%
HV 20d12.3%10.4%15.4%15.2%10.4%
HV 60d14.0%13.8%14.3%14.3%13.8%
IV Rank21.4%13.5%29.7%23.6%16.2%
IV Percentile39.5%12.3%67.1%46.4%22.6%
Term Structure0.3%-0.5%1.4%0.2%0.3%
VWIV22.8%21.0%24.9%24.3%21.0%
Skew 25d2.1%1.8%2.5%1.8%2.0%
Skew 10d4.6%3.8%6.7%4.0%3.9%
Call IV 25d14.8%13.1%16.7%15.2%13.8%
Put IV 25d16.9%15.2%18.7%17.0%15.7%
Bid-Ask Spread %9.044.9215.374.968.84
Gamma HHI0.180.110.630.190.20
Net GEX4.0M-37.5M12.1M12.1M12.0M
Net DEX-128.3M-249.7M-20.8M-248.2M-158.2M
Net VEX-1.6M-1.7M-1.6M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.331.431.270.75
Total Volume9,167.5712,95630,7826,1514,476
Total OI111,662100,618125,768100,618108,937

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$123.69$90.0016.0%6.0%15.2%23.6%24.3%1.8%0.2%12.1M-248.2M-1.6M1.274.962,7083,44348,97651,642
2013-12-03$123.82$90.0016.2%5.9%15.1%24.7%22.2%1.8%0.1%11.5M-249.7M-1.6M0.889.112,4822,18049,51253,387
2013-12-04$122.97$90.0016.5%5.9%15.4%26.3%23.0%2.1%-0.1%8.9M-215.1M-1.6M1.437.011,9322,77149,94254,487
2013-12-05$120.95$90.0016.7%6.1%11.6%26.8%22.2%2.2%0.3%5.1M-136.3M-1.6M0.588.096,4863,78350,38255,556
2013-12-06$122.06$90.0016.0%6.0%11.6%23.6%23.7%2.1%-0.1%4.7M-181.0M-1.6M0.637.274,3382,72751,98556,538
2013-12-09$121.66$90.0016.7%6.0%11.7%27.2%24.9%2.5%-0.5%8.8M-176.1M-1.6M0.965.935,3565,15849,52054,580
2013-12-10$120.04$90.0017.3%5.9%12.5%29.7%21.7%2.1%-0.5%4.1M-122.0M-1.6M0.6711.6418,45112,33151,33257,434
2013-12-11$118.57$90.0015.0%5.9%13.1%19.3%22.9%2.1%0.9%-7.4M-45.0M-1.6M1.0211.9313,61213,85358,46062,629
2013-12-12$118.22$90.0016.1%6.0%12.8%24.1%24.1%2.0%0.0%-12.2M-37.3M-1.7M1.407.614,4926,29459,31264,266
2013-12-13$117.91$90.0015.7%6.0%12.5%22.4%21.2%2.1%0.2%-37.5M-20.8M-1.7M0.824.926,4715,32660,92464,844
2013-12-16$118.00$90.0016.2%6.0%12.3%24.5%23.6%2.2%0.9%3.7M-75.4M-1.6M0.517.255,9633,06854,75458,350
2013-12-17$117.55$90.0016.4%6.0%12.2%25.7%23.3%2.2%0.9%3.9M-58.1M-1.7M0.549.553,8022,05957,57659,074
2013-12-18$118.50$90.0015.4%6.0%12.6%21.1%21.9%2.0%1.4%5.9M-96.7M-1.7M0.4713.667,8443,66759,28759,902
2013-12-19$117.99$90.0015.2%6.0%12.5%20.3%24.5%2.1%0.2%5.0M-74.3M-1.7M0.719.953,5062,47259,22660,260
2013-12-20$118.53$90.0014.8%5.9%12.1%18.2%21.7%2.3%-0.2%6.2M-96.8M-1.7M0.568.626,1533,43160,54361,232
2013-12-23$118.69$90.0014.4%6.0%11.2%16.7%21.8%2.1%0.7%7.9M-126.0M-1.7M0.6815.373,2042,19451,68353,369
2013-12-24$118.69$90.0014.2%5.9%11.2%15.5%21.9%2.3%0.7%8.9M-135.6M-1.7M0.8410.101,6071,34953,39154,554
2013-12-26$118.63$90.0014.2%6.0%11.2%15.6%21.8%2.3%0.4%9.7M-136.6M-1.7M0.528.222,1481,11153,93454,986
2013-12-27$118.53$90.0013.8%5.9%11.1%13.5%22.3%2.1%0.3%10.3M-145.9M-1.6M0.337.724,6751,52455,14255,397
2013-12-30$118.77$90.0014.1%5.9%11.1%15.3%24.3%2.1%0.3%11.7M-158.4M-1.6M0.6112.092,5321,54053,34154,256
2013-12-31$119.02$90.0014.3%6.0%10.4%16.2%21.0%2.0%0.3%12.0M-158.2M-1.6M0.758.842,5631,91354,13954,798