COST Options History — January 2014

In January 2014, COST traded between $112.13 and $118.51. ATM implied volatility averaged 15.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.7% (HV 20d: 17.6%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2014-01-09: Highest Volume — 38,897 contracts
2014-01-13: Largest IV spike — 12.5% change
2014-01-31: Highest IV Rank — 31.2%
2014-01-29: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.01	$112.13	$118.51	$117.81	$112.36
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	15.9%	14.7%	17.6%	14.9%	17.6%
Expected Move	6.1%	5.9%	6.4%	6.0%	6.2%
HV 20d	17.6%	8.6%	22.1%	10.8%	21.9%
HV 60d	15.6%	13.0%	16.8%	13.8%	16.6%
IV Rank	23.3%	18.0%	31.2%	18.6%	31.2%
IV Percentile	49.1%	28.2%	76.6%	30.2%	76.6%
Term Structure	0.2%	-1.2%	1.7%	0.4%	1.4%
VWIV	22.6%	19.7%	24.2%	22.0%	22.0%
Skew 25d	1.8%	0.8%	2.4%	2.1%	2.1%
Skew 10d	3.5%	-0.4%	5.1%	3.7%	4.7%
Call IV 25d	15.2%	12.9%	16.5%	14.2%	16.5%
Put IV 25d	17.0%	13.7%	18.6%	16.3%	18.6%
Bid-Ask Spread %	9.58	7.08	13.91	8.45	10.20
Gamma HHI	0.17	0.11	0.26	0.18	0.14
Net GEX	-2.2M	-14.4M	18.6M	7.2M	-6.8M
Net DEX	-26.0M	-249.3M	108.6M	-106.1M	69.1M
Net VEX	-1.9M	-2.2M	-1.6M	-1.6M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.36	3.00	0.87	0.87
Total Volume	12,455.571	5,533	38,897	7,704	8,889
Total OI	126,260.762	102,779	150,648	110,265	129,897

Daily Data (21 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
2014-01-02	$117.81	$90.00	14.9%	6.0%	10.8%	18.6%	22.0%	2.1%	0.4%	7.2M	-106.1M	-1.6M	0.87	8.45	4,114	3,590	54,835	55,430
2014-01-03	$117.29	$90.00	14.7%	6.1%	10.7%	18.0%	24.2%	2.2%	0.7%	4.9M	-82.1M	-1.6M	1.02	10.54	5,245	5,359	56,421	56,448
2014-01-06	$116.40	$90.00	16.0%	6.0%	9.5%	23.8%	24.1%	2.4%	-0.2%	1.6M	-44.6M	-1.6M	0.84	8.20	6,142	5,145	54,904	56,457
2014-01-07	$115.86	$90.00	15.3%	6.0%	8.6%	20.8%	21.4%	2.2%	-0.2%	-1.4M	-24.2M	-1.6M	1.00	7.80	6,079	6,072	57,383	58,609
2014-01-08	$114.05	$90.00	17.1%	6.1%	9.8%	28.7%	23.4%	0.8%	-1.2%	-4.5M	34.3M	-1.7M	0.70	7.08	21,760	15,136	59,375	61,396
2014-01-09	$118.51	$90.00	15.6%	6.0%	17.1%	22.1%	20.9%	1.6%	-0.4%	18.6M	-249.3M	-1.9M	0.66	13.91	23,472	15,425	71,864	66,688
2014-01-10	$117.85	$90.00	15.3%	5.9%	16.7%	20.6%	23.7%	1.9%	-0.6%	10.1M	-201.8M	-2.0M	0.52	7.76	7,095	3,722	75,516	70,989
2014-01-13	$114.77	$90.00	17.2%	6.1%	19.1%	29.4%	22.6%	2.0%	-0.9%	1.7M	-36.1M	-1.9M	1.01	12.32	5,732	5,796	72,292	65,460
2014-01-14	$116.23	$90.00	16.1%	5.9%	19.7%	24.1%	21.2%	1.9%	0.2%	4.2M	-95.0M	-2.0M	0.36	8.10	4,396	1,604	74,754	67,969
2014-01-15	$116.24	$90.00	15.2%	6.0%	19.7%	20.1%	23.1%	1.8%	0.2%	2.3M	-90.5M	-1.9M	3.00	10.07	3,167	9,504	74,438	67,152
2014-01-16	$115.56	$90.00	15.6%	6.0%	19.8%	21.9%	24.2%	1.8%	-0.7%	-10.4M	-32.9M	-2.0M	0.80	9.05	4,418	3,542	75,298	74,069
2014-01-17	$116.29	$90.00	15.3%	6.0%	19.7%	20.3%	22.3%	1.8%	-0.5%	-4.9M	-92.0M	-2.0M	0.97	9.80	4,187	4,065	76,513	74,135
2014-01-21	$114.93	$90.00	14.9%	6.0%	20.0%	18.7%	23.2%	2.1%	1.7%	-8.9M	4.7M	-1.9M	0.82	7.31	6,913	5,678	53,337	49,442
2014-01-22	$113.75	$90.00	14.8%	6.0%	20.1%	18.1%	22.7%	1.6%	1.5%	-14.4M	57.3M	-1.9M	0.53	10.39	10,531	5,611	56,469	52,530
2014-01-23	$112.80	$90.00	15.3%	6.0%	20.2%	20.5%	22.8%	1.5%	0.3%	-13.4M	83.6M	-2.0M	1.05	8.28	5,132	5,409	62,952	53,520
2014-01-24	$112.13	$90.00	16.7%	6.3%	20.2%	26.8%	23.2%	1.9%	-1.1%	-8.7M	108.6M	-2.0M	0.87	12.68	5,726	4,959	66,019	55,244
2014-01-27	$113.08	$90.00	16.3%	6.1%	20.6%	25.2%	23.2%	1.6%	0.7%	-6.0M	44.8M	-2.1M	0.50	8.42	4,453	2,226	65,205	55,167
2014-01-28	$114.38	$90.00	16.1%	6.1%	21.2%	24.0%	22.0%	1.6%	0.8%	-3.7M	-20.1M	-2.2M	0.61	8.60	4,131	2,502	65,918	56,121
2014-01-29	$112.23	$90.00	17.0%	6.4%	22.0%	28.5%	22.8%	2.2%	1.5%	-6.5M	67.2M	-2.1M	0.77	13.68	5,155	3,952	67,161	56,474
2014-01-30	$112.73	$90.00	16.7%	6.1%	22.1%	27.2%	19.7%	1.8%	1.4%	-7.3M	58.4M	-2.1M	0.44	8.48	3,834	1,699	69,265	58,360
2014-01-31	$112.36	$90.00	17.6%	6.2%	21.9%	31.2%	22.0%	2.1%	1.4%	-6.8M	69.1M	-2.1M	0.87	10.20	4,758	4,131	70,945	58,952