COST Options History — July 2014

In July 2014, COST traded between $115.44 and $118.90. ATM implied volatility averaged 11.9%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.9% (HV 20d: 8.1%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2014-07-08: Highest Volume — 17,524 contracts
2014-07-17: Largest IV spike — 12.0% change
2014-07-14: Highest IV Rank — 11.9%
2014-07-21: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.39	$115.44	$118.90	$115.44	$117.54
Max Pain	$93.41	$90.00	$95.00	$90.00	$95.00
ATM IV	11.9%	11.1%	13.0%	11.7%	12.6%
Expected Move	4.8%	4.7%	4.9%	4.9%	4.8%
HV 20d	8.1%	7.0%	9.8%	9.0%	9.8%
HV 60d	11.3%	11.0%	11.7%	11.7%	11.2%
IV Rank	5.3%	0.0%	11.9%	2.4%	9.2%
IV Percentile	6.0%	0.0%	15.5%	1.6%	15.5%
Term Structure	0.1%	-0.9%	0.9%	0.6%	0.4%
VWIV	18.0%	16.6%	19.5%	17.3%	18.2%
Skew 25d	1.4%	1.0%	2.1%	1.2%	1.5%
Skew 10d	3.0%	2.0%	3.7%	3.1%	2.6%
Call IV 25d	11.6%	10.9%	12.3%	11.4%	12.2%
Put IV 25d	13.0%	11.9%	14.0%	12.7%	13.7%
Bid-Ask Spread %	17.32	13.36	20.71	13.36	17.76
Gamma HHI	0.24	0.14	0.61	0.15	0.20
Net GEX	37.2M	21.2M	128.8M	21.6M	31.7M
Net DEX	-271.1M	-361.2M	-172.5M	-172.5M	-261.5M
Net VEX	-2.3M	-2.5M	-2.2M	-2.4M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.18	0.73	0.40	0.31
Total Volume	8,346.773	4,003	17,524	6,041	6,548
Total OI	144,240.409	123,534	161,317	148,210	134,872

Daily Data (22 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
2014-07-01	$115.44	$90.00	11.7%	4.9%	9.0%	2.4%	17.3%	1.2%	0.6%	21.6M	-172.5M	-2.4M	0.40	13.36	4,323	1,718	86,893	61,317
2014-07-02	$115.75	$90.00	11.1%	4.9%	8.7%	0.0%	17.1%	1.2%	0.3%	28.2M	-184.1M	-2.3M	0.73	14.65	5,283	3,866	87,852	61,702
2014-07-03	$116.35	$90.00	11.3%	4.9%	7.7%	1.2%	19.1%	1.0%	0.7%	29.2M	-225.2M	-2.4M	0.56	14.40	4,572	2,563	88,863	62,966
2014-07-07	$116.32	$90.00	12.3%	4.9%	7.5%	7.8%	17.6%	1.2%	0.3%	23.8M	-206.2M	-2.3M	0.27	16.01	10,328	2,752	86,844	60,921
2014-07-08	$117.46	$90.00	12.3%	4.9%	8.2%	7.4%	18.5%	1.5%	0.6%	36.0M	-314.1M	-2.4M	0.21	15.52	14,438	3,086	94,222	62,493
2014-07-09	$117.92	$90.00	12.9%	4.8%	8.1%	11.3%	16.7%	2.1%	-0.7%	37.4M	-326.1M	-2.5M	0.41	17.15	11,224	4,601	90,957	63,558
2014-07-10	$118.08	$90.00	12.4%	4.8%	7.6%	7.9%	17.2%	1.2%	-0.7%	50.7M	-361.2M	-2.4M	0.63	17.58	6,616	4,194	94,390	65,590
2014-07-11	$118.01	$95.00	12.1%	4.8%	7.0%	6.4%	17.8%	1.4%	-0.4%	128.8M	-344.9M	-2.4M	0.60	14.08	8,193	4,900	94,414	66,903
2014-07-14	$117.36	$95.00	13.0%	4.9%	7.4%	11.9%	18.2%	1.9%	-0.9%	28.5M	-278.1M	-2.3M	0.63	15.65	4,263	2,704	91,788	61,900
2014-07-15	$117.82	$95.00	11.8%	4.8%	7.4%	4.2%	18.7%	1.1%	0.7%	33.7M	-308.2M	-2.3M	0.65	16.41	2,881	1,864	92,087	62,896
2014-07-16	$117.85	$95.00	11.5%	4.8%	7.4%	2.4%	16.9%	1.1%	0.4%	32.3M	-307.9M	-2.3M	0.37	17.38	3,038	1,113	92,683	63,791
2014-07-17	$116.79	$95.00	12.9%	4.9%	7.9%	11.1%	19.4%	1.9%	-0.6%	21.2M	-227.1M	-2.2M	0.55	17.65	5,405	2,952	90,550	62,826
2014-07-18	$117.74	$95.00	11.5%	4.7%	8.4%	2.5%	19.2%	1.1%	0.9%	34.4M	-287.7M	-2.2M	0.28	19.98	5,997	1,703	91,383	63,650
2014-07-21	$117.04	$95.00	12.0%	4.9%	8.1%	5.4%	19.5%	1.4%	-0.1%	28.3M	-213.6M	-2.2M	0.47	20.49	3,629	1,693	74,821	48,713
2014-07-22	$117.55	$95.00	11.6%	4.8%	8.2%	3.0%	17.9%	1.6%	0.2%	33.8M	-252.8M	-2.2M	0.32	18.77	3,046	978	76,460	49,831
2014-07-23	$117.59	$95.00	11.5%	4.7%	7.6%	2.3%	18.0%	1.3%	0.2%	37.0M	-260.8M	-2.2M	0.35	18.00	2,961	1,042	77,813	50,285
2014-07-24	$118.14	$95.00	11.5%	4.7%	7.7%	2.4%	16.6%	1.5%	0.0%	48.4M	-301.4M	-2.2M	0.18	18.98	7,213	1,281	79,614	50,885
2014-07-25	$117.55	$95.00	11.7%	4.7%	7.7%	3.5%	17.3%	1.4%	-0.2%	34.1M	-250.4M	-2.2M	0.58	18.29	3,830	2,204	84,348	51,484
2014-07-28	$117.12	$95.00	12.0%	4.9%	7.8%	5.7%	18.6%	1.2%	0.2%	28.4M	-235.2M	-2.2M	0.38	18.45	4,091	1,547	77,216	49,520
2014-07-29	$118.90	$95.00	11.6%	4.7%	9.2%	3.3%	17.5%	1.4%	0.3%	36.6M	-348.0M	-2.2M	0.33	19.77	10,257	3,433	80,156	50,247
2014-07-30	$118.18	$95.00	11.8%	4.7%	9.6%	4.4%	17.5%	1.5%	0.4%	35.2M	-296.5M	-2.2M	0.47	20.71	3,616	1,683	82,248	51,337
2014-07-31	$117.54	$95.00	12.6%	4.8%	9.8%	9.2%	18.2%	1.5%	0.4%	31.7M	-261.5M	-2.2M	0.31	17.76	4,981	1,567	82,633	52,239