COST Options History — November 2014

In November 2014, COST traded between $134.24 and $142.12. ATM implied volatility averaged 14.8%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.7% (HV 20d: 13.1%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.09.

Notable Days

2014-11-04: Highest Volume — 25,688 contracts
2014-11-10: Largest IV spike — 7.5% change
2014-11-12: Highest IV Rank — 40.9%
2014-11-05: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$138.29	$134.24	$142.12	$134.24	$142.12
Max Pain	$125.00	$125.00	$125.00	$125.00	$125.00
ATM IV	14.8%	13.6%	15.5%	13.6%	15.1%
Expected Move	4.2%	4.0%	4.3%	4.2%	4.3%
HV 20d	13.1%	8.3%	20.3%	20.0%	10.4%
HV 60d	15.4%	14.7%	15.6%	15.1%	14.7%
IV Rank	35.0%	25.0%	40.9%	25.0%	37.2%
IV Percentile	57.3%	35.3%	72.2%	35.3%	61.9%
Term Structure	0.1%	-1.4%	1.6%	1.5%	-0.2%
VWIV	15.1%	14.4%	15.9%	15.9%	15.1%
Skew 25d	2.2%	1.8%	3.0%	2.4%	1.8%
Skew 10d	5.3%	3.4%	7.5%	5.6%	3.4%
Call IV 25d	14.3%	12.6%	15.1%	13.1%	15.0%
Put IV 25d	16.6%	15.2%	17.5%	15.5%	16.8%
Bid-Ask Spread %	22.37	14.51	29.52	24.85	16.98
Gamma HHI	0.12	0.07	0.18	0.18	0.17
Net GEX	19.0M	10.4M	23.7M	23.7M	23.4M
Net DEX	-510.6M	-658.8M	-402.2M	-569.4M	-504.9M
Net VEX	-1.6M	-1.7M	-1.5M	-1.5M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.38	1.82	1.41	0.57
Total Volume	11,878.474	3,812	25,688	14,273	11,163
Total OI	133,492.263	115,081	151,350	140,734	122,310

Daily Data (19 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
2014-11-03	$134.24	$125.00	13.6%	4.2%	20.0%	25.0%	15.9%	2.4%	1.5%	23.7M	-569.4M	-1.5M	1.41	24.85	5,921	8,352	72,078	68,656
2014-11-04	$136.72	$125.00	14.5%	4.3%	20.3%	32.5%	15.1%	2.3%	1.0%	20.1M	-646.2M	-1.6M	0.82	26.66	14,137	11,551	73,102	70,710
2014-11-05	$136.39	$125.00	14.9%	4.3%	18.6%	36.2%	15.7%	2.6%	1.4%	21.4M	-646.8M	-1.7M	1.25	25.82	6,385	7,979	77,222	74,128
2014-11-06	$136.98	$125.00	14.1%	4.3%	18.5%	29.5%	15.2%	2.0%	1.3%	20.3M	-635.0M	-1.6M	1.58	29.52	4,931	7,784	74,551	75,891
2014-11-07	$137.65	$125.00	13.8%	4.0%	18.4%	26.4%	15.5%	2.5%	1.6%	18.0M	-658.8M	-1.5M	1.82	25.08	4,240	7,704	74,536	76,575
2014-11-10	$137.63	$125.00	14.8%	4.1%	15.9%	35.1%	15.2%	3.0%	-1.4%	18.7M	-596.7M	-1.6M	1.30	24.28	5,014	6,511	70,545	70,700
2014-11-11	$136.93	$125.00	15.1%	4.2%	15.7%	37.5%	15.0%	2.4%	0.1%	18.9M	-582.2M	-1.6M	0.38	25.97	16,900	6,423	70,424	67,764
2014-11-12	$137.04	$125.00	15.5%	4.3%	14.5%	40.9%	15.2%	2.0%	-0.2%	17.9M	-404.9M	-1.6M	1.26	25.24	5,343	6,734	58,199	72,006
2014-11-13	$138.55	$125.00	15.2%	4.1%	13.1%	38.3%	14.4%	2.0%	-0.9%	20.2M	-456.4M	-1.6M	1.09	25.12	6,789	7,416	59,092	72,821
2014-11-14	$138.48	$125.00	15.3%	4.1%	12.9%	39.0%	14.9%	2.0%	-1.3%	17.0M	-439.7M	-1.5M	0.44	26.88	2,654	1,158	58,183	74,379
2014-11-17	$138.38	$125.00	15.3%	4.1%	9.2%	38.9%	14.7%	2.8%	0.6%	16.5M	-430.2M	-1.6M	1.02	25.67	4,838	4,954	58,874	69,607
2014-11-18	$139.14	$125.00	15.1%	4.1%	8.3%	37.6%	15.1%	2.2%	0.0%	20.3M	-465.9M	-1.5M	0.94	22.00	5,558	5,213	59,488	69,779
2014-11-19	$140.01	$125.00	15.4%	4.2%	8.4%	40.1%	14.8%	1.8%	-0.3%	22.2M	-483.6M	-1.6M	0.78	20.42	3,505	2,738	59,322	70,048
2014-11-20	$139.22	$125.00	15.0%	4.2%	8.9%	36.7%	15.1%	2.4%	0.1%	18.4M	-445.9M	-1.6M	0.82	16.63	6,411	5,276	60,182	70,168
2014-11-21	$139.56	$125.00	14.5%	4.2%	8.8%	32.5%	15.2%	2.1%	-0.2%	23.0M	-481.4M	-1.5M	0.97	18.54	6,387	6,183	61,326	70,488
2014-11-24	$139.80	$125.00	14.6%	4.2%	8.8%	33.3%	14.8%	2.0%	-0.7%	17.8M	-432.4M	-1.5M	1.74	15.68	1,720	2,987	57,291	57,790
2014-11-25	$138.98	$125.00	14.8%	4.2%	9.4%	35.4%	14.9%	2.1%	-0.4%	10.4M	-402.2M	-1.5M	1.32	14.51	4,014	5,309	58,114	60,015
2014-11-26	$139.75	$125.00	14.5%	4.2%	9.3%	32.8%	14.6%	1.9%	-0.6%	12.8M	-418.6M	-1.5M	1.15	15.16	2,564	2,945	58,686	61,303
2014-11-28	$142.12	$125.00	15.1%	4.3%	10.4%	37.2%	15.1%	1.8%	-0.2%	23.4M	-504.9M	-1.5M	0.57	16.98	7,128	4,035	59,977	62,333