COST Options History — October 2014

In October 2014, COST traded between $122.95 and $133.42. ATM implied volatility averaged 15.5%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.0% (HV 20d: 17.5%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.94.

Notable Days

2014-10-15: Highest Volume — 35,438 contracts
2014-10-08: Largest IV drop — 21.0% change
2014-10-15: Highest IV Rank — 94.0%
2014-10-15: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$128.34	$122.95	$133.42	$124.76	$133.42
Max Pain	$125.00	$125.00	$125.00	$125.00	$125.00
ATM IV	15.5%	13.1%	21.8%	14.7%	13.2%
Expected Move	4.4%	4.1%	5.0%	4.3%	4.1%
HV 20d	17.5%	10.7%	22.2%	15.5%	20.3%
HV 60d	14.3%	11.8%	16.1%	11.8%	15.2%
IV Rank	40.5%	20.4%	94.0%	34.2%	21.6%
IV Percentile	59.2%	27.0%	99.6%	53.6%	28.6%
Term Structure	-0.3%	-2.7%	0.8%	0.8%	0.5%
VWIV	15.8%	14.7%	18.8%	14.7%	15.0%
Skew 25d	2.7%	1.4%	4.7%	1.4%	2.5%
Skew 10d	5.5%	3.4%	8.8%	4.6%	4.9%
Call IV 25d	14.5%	12.1%	19.5%	14.4%	12.1%
Put IV 25d	17.2%	14.6%	24.2%	15.8%	14.6%
Bid-Ask Spread %	27.57	21.00	48.58	28.62	22.71
Gamma HHI	0.17	0.10	0.35	0.13	0.19
Net GEX	24.1M	2.6M	41.1M	12.4M	23.5M
Net DEX	-430.6M	-640.8M	-110.8M	-301.8M	-582.3M
Net VEX	-1.8M	-2.0M	-1.4M	-1.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.32	1.67	1.67	1.27
Total Volume	17,436.609	4,452	35,438	4,452	17,449
Total OI	155,279	138,218	176,452	147,783	151,266

Daily Data (23 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
2014-10-01	$124.76	$125.00	14.7%	4.3%	15.5%	34.2%	14.7%	1.4%	0.8%	12.4M	-301.8M	-1.7M	1.67	28.62	1,665	2,787	74,270	73,513
2014-10-02	$125.79	$125.00	14.5%	4.4%	11.4%	32.3%	14.8%	1.8%	0.8%	16.2M	-371.8M	-1.7M	0.59	26.71	4,712	2,764	74,497	73,893
2014-10-03	$127.09	$125.00	14.0%	4.3%	10.7%	28.5%	15.6%	1.9%	0.7%	41.1M	-463.7M	-1.6M	0.71	27.36	4,938	3,503	75,438	75,254
2014-10-06	$126.21	$125.00	15.3%	4.4%	10.9%	38.9%	15.7%	2.2%	-0.3%	14.7M	-393.0M	-1.5M	0.47	21.00	7,236	3,405	72,885	72,288
2014-10-07	$125.27	$125.00	16.5%	4.4%	11.2%	49.6%	15.3%	2.1%	-0.5%	15.8M	-339.2M	-1.7M	0.76	25.46	13,569	10,312	77,141	73,912
2014-10-08	$128.69	$125.00	13.1%	4.1%	14.8%	20.4%	15.0%	2.2%	-0.3%	39.0M	-589.4M	-1.4M	0.32	26.76	26,786	8,448	82,955	80,430
2014-10-09	$128.61	$125.00	14.6%	4.3%	14.8%	33.6%	15.3%	2.1%	-0.0%	37.2M	-563.1M	-1.7M	0.51	24.75	22,770	11,664	84,429	80,896
2014-10-10	$129.87	$125.00	15.8%	4.4%	14.9%	43.8%	15.5%	2.0%	-1.0%	35.1M	-640.8M	-1.7M	0.61	32.13	13,126	8,061	87,310	83,718
2014-10-13	$127.05	$125.00	18.6%	4.4%	17.1%	67.4%	15.3%	2.5%	-0.8%	19.0M	-421.8M	-1.8M	0.65	33.52	11,664	7,596	85,741	78,927
2014-10-14	$126.09	$125.00	18.1%	4.6%	17.2%	63.2%	16.2%	3.4%	-1.6%	15.6M	-342.0M	-1.9M	1.31	35.75	7,954	10,449	87,510	80,041
2014-10-15	$124.48	$125.00	21.8%	5.0%	17.8%	94.0%	17.5%	3.6%	-2.7%	10.2M	-229.2M	-2.0M	0.62	48.58	21,821	13,617	88,916	80,909
2014-10-16	$122.95	$125.00	20.9%	5.0%	18.2%	86.6%	18.8%	4.7%	-2.3%	2.6M	-110.8M	-2.0M	0.92	35.38	4,637	4,281	90,895	84,538
2014-10-17	$124.65	$125.00	17.7%	4.9%	19.0%	59.7%	16.7%	2.9%	-0.5%	24.2M	-209.5M	-2.0M	0.93	27.93	9,183	8,536	91,784	84,668
2014-10-20	$128.45	$125.00	16.1%	4.5%	21.8%	45.8%	16.3%	3.0%	-0.3%	16.8M	-363.8M	-1.9M	0.65	26.37	11,002	7,104	71,855	66,363
2014-10-21	$130.31	$125.00	14.8%	4.4%	22.2%	34.8%	16.1%	3.1%	-0.3%	24.9M	-476.3M	-1.7M	0.84	21.68	9,603	8,090	75,529	68,302
2014-10-22	$130.54	$125.00	14.3%	4.3%	21.5%	31.2%	16.1%	2.9%	-0.3%	28.9M	-503.0M	-1.8M	0.97	23.39	8,645	8,345	77,656	71,413
2014-10-23	$130.50	$125.00	14.2%	4.3%	20.6%	29.7%	15.5%	2.6%	0.1%	28.3M	-508.0M	-1.7M	1.16	21.93	6,821	7,894	78,610	72,959
2014-10-24	$130.41	$125.00	13.9%	4.3%	20.6%	27.4%	15.2%	3.1%	0.2%	26.4M	-489.5M	-1.7M	1.31	24.22	7,263	9,534	78,895	74,383
2014-10-27	$130.74	$125.00	13.6%	4.4%	20.6%	24.9%	15.9%	3.1%	0.4%	28.2M	-462.9M	-1.7M	1.41	22.99	5,449	7,680	74,443	69,969
2014-10-28	$130.97	$125.00	13.1%	4.3%	20.6%	20.4%	15.7%	2.8%	0.4%	30.0M	-472.3M	-1.7M	1.60	24.05	5,014	8,012	75,392	71,310
2014-10-29	$131.91	$125.00	13.2%	4.3%	20.5%	21.3%	15.3%	2.7%	0.4%	31.4M	-514.0M	-1.7M	1.23	28.77	5,934	7,276	75,107	72,591
2014-10-30	$132.98	$125.00	13.4%	4.1%	20.5%	23.3%	15.2%	2.9%	-0.2%	32.1M	-555.1M	-1.8M	1.22	24.16	6,500	7,943	75,380	73,236
2014-10-31	$133.42	$125.00	13.2%	4.1%	20.3%	21.6%	15.0%	2.5%	0.5%	23.5M	-582.3M	-1.8M	1.27	22.71	7,684	9,765	76,175	75,091