COST Options History — March 2014

In March 2014, COST traded between $111.66 and $116.65. ATM implied volatility averaged 15.5%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.4% (HV 20d: 15.2%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2014-03-06: Highest Volume — 39,785 contracts
2014-03-06: Largest IV drop — 10.5% change
2014-03-14: Highest IV Rank — 37.2%
2014-03-03: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.82	$111.66	$116.65	$115.75	$111.68
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	15.5%	13.6%	18.2%	18.2%	13.6%
Expected Move	5.5%	5.4%	5.7%	5.7%	5.4%
HV 20d	15.2%	13.5%	19.2%	17.7%	13.5%
HV 60d	17.8%	17.1%	18.0%	17.4%	17.9%
IV Rank	25.6%	17.0%	37.2%	34.1%	17.0%
IV Percentile	39.7%	6.7%	82.5%	82.5%	6.7%
Term Structure	0.2%	-1.3%	1.3%	0.7%	0.6%
VWIV	20.6%	18.8%	23.1%	23.1%	19.7%
Skew 25d	1.8%	1.2%	2.4%	2.3%	2.1%
Skew 10d	3.9%	2.8%	6.6%	4.4%	3.8%
Call IV 25d	15.1%	13.1%	17.5%	17.4%	13.1%
Put IV 25d	16.9%	15.2%	19.7%	19.7%	15.2%
Bid-Ask Spread %	5.73	4.34	6.79	5.13	6.76
Gamma HHI	0.14	0.10	0.17	0.14	0.17
Net GEX	-1.9M	-14.9M	15.2M	10.9M	-14.9M
Net DEX	-34.7M	-181.1M	71.6M	-142.7M	52.9M
Net VEX	-2.3M	-2.4M	-2.1M	-2.2M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.34	2.30	0.61	0.94
Total Volume	11,224.905	4,811	39,785	10,268	9,290
Total OI	146,565.857	127,297	159,769	127,297	139,554

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
2014-03-03	$115.75	$90.00	18.2%	5.7%	17.7%	34.1%	23.1%	2.3%	0.7%	10.9M	-142.7M	-2.2M	0.61	5.13	6,359	3,909	71,145	56,152
2014-03-04	$116.65	$90.00	17.3%	5.6%	16.0%	30.0%	20.9%	1.9%	0.9%	15.2M	-181.1M	-2.2M	1.25	6.22	4,240	5,317	73,445	58,090
2014-03-05	$116.47	$90.00	18.0%	5.6%	16.0%	33.1%	19.4%	1.5%	0.6%	12.7M	-170.2M	-2.2M	0.51	5.86	18,771	9,627	75,038	61,493
2014-03-06	$113.26	$90.00	16.1%	5.6%	19.2%	24.4%	20.6%	1.5%	1.2%	-11.9M	11.9M	-2.1M	0.65	6.59	24,072	15,713	83,787	66,250
2014-03-07	$113.50	$90.00	15.9%	5.6%	15.1%	23.4%	20.6%	1.3%	1.3%	567.0K	-20.2M	-2.3M	1.19	5.66	6,018	7,185	89,258	70,511
2014-03-10	$114.59	$90.00	16.2%	5.6%	15.4%	24.9%	20.0%	1.3%	-0.7%	4.1M	-82.5M	-2.3M	1.00	5.29	5,304	5,315	79,815	65,344
2014-03-11	$114.71	$90.00	15.8%	5.6%	15.4%	23.0%	20.6%	1.2%	-0.4%	7.0M	-90.6M	-2.3M	2.30	5.03	3,106	7,138	81,788	67,932
2014-03-12	$115.21	$90.00	16.0%	5.6%	15.1%	31.2%	20.2%	1.4%	-0.4%	7.0M	-99.7M	-2.4M	0.58	5.55	3,966	2,305	82,367	73,901
2014-03-13	$114.41	$90.00	16.7%	5.6%	15.3%	35.6%	21.0%	1.6%	-0.9%	3.1M	-59.4M	-2.4M	0.98	4.34	3,442	3,370	82,792	73,924
2014-03-14	$113.45	$90.00	17.0%	5.6%	15.2%	37.2%	21.7%	1.9%	-1.3%	-4.7M	-2.8M	-2.4M	1.39	4.65	3,131	4,340	83,448	75,402
2014-03-17	$113.46	$90.00	15.6%	5.6%	15.1%	28.7%	20.0%	2.4%	0.6%	-3.5M	-7.6M	-2.3M	0.70	6.23	4,374	3,076	79,457	66,386
2014-03-18	$113.85	$90.00	15.1%	5.5%	15.1%	26.0%	18.8%	2.0%	0.6%	-1.2M	-22.8M	-2.3M	0.52	5.72	6,372	3,302	79,681	67,513
2014-03-19	$112.85	$90.00	14.6%	5.5%	15.3%	22.9%	20.7%	1.9%	0.4%	-8.2M	19.8M	-2.3M	0.59	5.65	3,746	2,202	83,658	68,528
2014-03-20	$113.16	$90.00	14.2%	5.5%	15.4%	20.6%	20.3%	2.3%	0.8%	-7.1M	9.6M	-2.3M	0.67	5.56	4,942	3,322	84,271	67,970
2014-03-21	$113.83	$90.00	14.0%	5.5%	14.4%	19.2%	20.7%	1.5%	0.5%	1.6M	-30.2M	-2.3M	0.52	6.65	8,118	4,260	85,739	69,643
2014-03-24	$113.37	$90.00	14.3%	5.5%	14.2%	20.9%	21.0%	1.9%	0.1%	-6.9M	-15.1M	-2.3M	0.90	5.50	3,993	3,580	76,427	62,284
2014-03-25	$113.93	$90.00	13.9%	5.5%	13.5%	18.5%	21.7%	1.8%	0.1%	-4.1M	-43.9M	-2.3M	0.34	5.65	7,267	2,473	77,078	64,178
2014-03-26	$112.49	$90.00	14.8%	5.6%	14.0%	23.8%	19.8%	1.9%	-0.1%	-10.8M	29.1M	-2.3M	0.93	5.94	3,154	2,926	78,246	64,297
2014-03-27	$112.03	$90.00	14.7%	5.5%	14.0%	23.3%	20.8%	1.8%	0.0%	-13.8M	45.0M	-2.3M	1.06	5.61	2,332	2,479	79,551	65,459
2014-03-28	$111.66	$90.00	14.1%	5.5%	13.7%	19.6%	21.3%	1.7%	0.2%	-14.9M	71.6M	-2.2M	1.39	6.79	4,966	6,921	80,149	65,932
2014-03-31	$111.68	$90.00	13.6%	5.4%	13.5%	17.0%	19.7%	2.1%	0.6%	-14.9M	52.9M	-2.2M	0.94	6.76	4,789	4,501	76,881	62,673