COST Options History — September 2014

In September 2014, COST traded between $121.35 and $127.62. ATM implied volatility averaged 13.1%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.2% (HV 20d: 13.4%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2014-09-04: Highest Volume — 25,455 contracts
2014-09-08: Largest IV spike — 12.9% change
2014-09-30: Highest IV Rank — 36.3%
2014-09-02: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.58	$121.35	$127.62	$121.56	$125.32
Max Pain	$124.05	$120.00	$125.00	$120.00	$125.00
ATM IV	13.1%	10.8%	15.0%	10.9%	15.0%
Expected Move	4.2%	4.0%	4.3%	4.3%	4.2%
HV 20d	13.4%	10.2%	15.4%	10.2%	15.4%
HV 60d	11.0%	9.2%	11.9%	9.2%	11.9%
IV Rank	20.8%	0.9%	36.3%	1.7%	36.3%
IV Percentile	28.9%	0.4%	58.7%	2.0%	58.7%
Term Structure	0.2%	-0.9%	2.2%	2.1%	0.2%
VWIV	15.2%	14.0%	19.6%	19.6%	14.0%
Skew 25d	1.9%	1.2%	2.7%	1.8%	2.7%
Skew 10d	4.0%	2.7%	5.4%	3.5%	5.4%
Call IV 25d	12.5%	9.8%	13.7%	10.5%	13.7%
Put IV 25d	14.4%	11.0%	16.4%	12.4%	16.4%
Bid-Ask Spread %	27.53	22.28	35.15	25.73	30.30
Gamma HHI	0.17	0.12	0.30	0.17	0.13
Net GEX	22.5M	14.8M	31.3M	25.1M	14.8M
Net DEX	-455.8M	-632.7M	-340.6M	-350.2M	-343.8M
Net VEX	-1.7M	-1.9M	-1.6M	-1.9M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.35	2.78	0.52	0.80
Total Volume	6,615.286	2,001	25,455	3,418	3,345
Total OI	145,281.667	133,028	151,886	141,738	146,204

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
2014-09-02	$121.56	$120.00	10.9%	4.3%	10.2%	1.7%	19.6%	1.8%	2.1%	25.1M	-350.2M	-1.9M	0.52	25.73	2,249	1,169	76,819	64,919
2014-09-03	$121.35	$120.00	11.6%	4.3%	10.2%	5.8%	17.4%	1.4%	1.8%	25.7M	-343.7M	-1.8M	2.00	24.21	2,129	4,255	77,694	65,204
2014-09-04	$125.15	$120.00	10.8%	4.1%	14.1%	0.9%	14.7%	1.2%	1.9%	31.3M	-563.7M	-1.7M	0.44	27.65	17,724	7,731	78,608	67,975
2014-09-05	$127.01	$120.00	11.0%	4.2%	13.2%	2.6%	14.6%	2.0%	2.2%	20.7M	-632.7M	-1.6M	0.35	25.03	11,782	4,147	79,394	72,492
2014-09-08	$126.60	$125.00	12.4%	4.2%	13.1%	14.5%	14.3%	2.1%	0.3%	26.7M	-542.8M	-1.7M	0.97	24.26	2,607	2,532	76,843	68,566
2014-09-09	$126.11	$125.00	12.8%	4.1%	13.3%	18.3%	14.0%	1.4%	-0.1%	25.6M	-510.4M	-1.7M	1.02	26.05	1,668	1,696	76,686	69,674
2014-09-10	$126.17	$125.00	13.3%	4.2%	13.2%	22.5%	14.8%	1.7%	-0.2%	24.5M	-512.3M	-1.7M	2.78	28.18	1,460	4,060	77,097	70,496
2014-09-11	$125.94	$125.00	13.4%	4.2%	13.2%	23.4%	14.2%	2.1%	-0.2%	21.9M	-494.7M	-1.7M	1.19	30.03	913	1,088	77,060	73,284
2014-09-12	$125.37	$125.00	13.7%	4.2%	13.4%	25.7%	15.1%	2.1%	-0.7%	22.1M	-458.2M	-1.7M	0.75	22.28	2,177	1,640	77,032	73,692
2014-09-15	$125.71	$125.00	13.7%	4.2%	13.0%	26.0%	14.4%	1.9%	-0.4%	23.5M	-465.3M	-1.7M	0.53	29.02	1,422	760	75,715	71,670
2014-09-16	$126.43	$125.00	13.9%	4.2%	13.0%	27.7%	14.1%	2.2%	-0.3%	24.7M	-505.0M	-1.7M	0.42	29.78	3,405	1,439	76,054	71,804
2014-09-17	$126.01	$125.00	13.6%	4.2%	12.9%	25.1%	15.1%	2.1%	-0.2%	26.4M	-497.0M	-1.7M	0.48	35.15	1,844	879	77,618	72,378
2014-09-18	$126.48	$125.00	13.5%	4.2%	12.9%	24.4%	14.2%	2.1%	-0.5%	27.5M	-501.9M	-1.6M	0.46	29.05	3,172	1,460	75,113	71,422
2014-09-19	$126.50	$125.00	13.1%	4.2%	12.9%	20.3%	19.2%	1.9%	-0.1%	27.3M	-506.0M	-1.6M	0.45	26.69	4,249	1,907	75,814	72,167
2014-09-22	$125.83	$125.00	13.3%	4.2%	13.0%	22.6%	14.8%	1.7%	-0.3%	19.1M	-401.4M	-1.6M	1.72	31.06	2,200	3,779	69,392	63,636
2014-09-23	$125.51	$125.00	13.6%	4.2%	13.1%	24.7%	14.8%	1.9%	-0.1%	16.3M	-376.6M	-1.6M	0.45	29.07	4,184	1,871	69,916	66,368
2014-09-24	$127.62	$125.00	13.3%	4.0%	14.0%	22.3%	15.5%	1.9%	-0.4%	22.2M	-486.9M	-1.6M	0.72	27.28	5,463	3,926	71,651	67,549
2014-09-25	$125.66	$125.00	14.4%	4.3%	15.4%	31.9%	14.4%	2.1%	-0.9%	15.7M	-380.0M	-1.7M	0.94	28.26	4,893	4,591	72,347	69,846
2014-09-26	$125.54	$125.00	13.9%	4.3%	15.4%	27.8%	15.1%	1.9%	-0.2%	14.9M	-359.1M	-1.7M	0.83	24.34	4,807	3,989	73,932	72,692
2014-09-29	$125.32	$125.00	14.4%	4.3%	15.4%	31.8%	14.7%	2.2%	0.3%	15.8M	-340.6M	-1.7M	1.80	24.79	1,539	2,770	72,875	71,217
2014-09-30	$125.32	$125.00	15.0%	4.2%	15.4%	36.3%	14.0%	2.7%	0.2%	14.8M	-343.8M	-1.7M	0.80	30.30	1,862	1,483	73,521	72,683