COST Options History — December 2014

In December 2014, COST traded between $137.52 and $144.30. ATM implied volatility averaged 16.5%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.2% (HV 20d: 13.2%). Max pain ranged from $125.00 to $145.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.08.

Notable Days

2014-12-10: Highest Volume — 37,846 contracts
2014-12-10: Largest IV spike — 11.1% change
2014-12-16: Highest IV Rank — 72.3%
2014-12-16: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$141.82	$137.52	$144.30	$141.88	$141.75
Max Pain	$130.71	$125.00	$145.00	$125.00	$145.00
ATM IV	16.5%	15.2%	19.2%	16.3%	15.8%
Expected Move	4.6%	4.2%	5.2%	4.4%	4.8%
HV 20d	13.2%	8.9%	16.2%	10.6%	15.5%
HV 60d	15.3%	14.4%	16.1%	14.5%	15.8%
IV Rank	49.0%	38.4%	72.3%	47.5%	43.5%
IV Percentile	80.3%	65.9%	97.2%	82.9%	75.0%
Term Structure	0.1%	-0.6%	1.4%	-0.5%	0.3%
VWIV	16.5%	14.8%	19.0%	15.1%	16.7%
Skew 25d	2.5%	1.3%	3.2%	1.6%	2.7%
Skew 10d	5.4%	3.1%	7.1%	3.5%	5.2%
Call IV 25d	15.8%	14.2%	18.4%	15.7%	15.1%
Put IV 25d	18.2%	16.7%	21.5%	17.3%	17.7%
Bid-Ask Spread %	16.78	14.20	20.72	15.81	16.37
Gamma HHI	0.14	0.09	0.32	0.09	0.10
Net GEX	5.7M	-14.5M	27.8M	15.5M	7.2M
Net DEX	-408.8M	-509.5M	-192.8M	-471.3M	-392.0M
Net VEX	-1.7M	-1.9M	-1.6M	-1.6M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.57	1.77	0.92	1.61
Total Volume	12,997.773	3,656	37,846	16,422	6,128
Total OI	139,638.227	122,999	155,722	122,999	130,852

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
2014-12-01	$141.88	$125.00	16.3%	4.4%	10.6%	47.5%	15.1%	1.6%	-0.5%	15.5M	-471.3M	-1.6M	0.92	15.81	8,534	7,888	61,037	61,962
2014-12-02	$142.91	$125.00	16.2%	4.2%	10.6%	46.6%	16.5%	2.6%	-0.0%	18.7M	-509.5M	-1.6M	1.64	17.08	5,604	9,216	64,241	64,636
2014-12-03	$142.67	$125.00	16.5%	4.3%	9.1%	49.2%	15.9%	2.3%	-0.5%	14.5M	-476.5M	-1.7M	1.77	15.54	7,021	12,457	64,541	69,470
2014-12-04	$143.02	$125.00	15.5%	4.2%	8.9%	40.6%	14.8%	2.2%	0.6%	11.7M	-486.7M	-1.7M	0.61	14.56	4,239	2,581	65,837	76,568
2014-12-05	$143.08	$125.00	15.2%	4.2%	8.9%	38.7%	14.9%	2.6%	0.5%	27.8M	-506.7M	-1.7M	0.88	15.69	5,778	5,089	66,736	76,921
2014-12-08	$142.20	$125.00	15.9%	4.5%	9.3%	44.0%	15.8%	1.8%	-0.3%	7.5M	-433.9M	-1.7M	0.90	15.06	5,419	4,876	63,049	71,775
2014-12-09	$143.03	$125.00	15.9%	4.4%	9.4%	44.6%	15.5%	2.0%	-0.4%	10.0M	-477.2M	-1.7M	0.98	14.20	9,366	9,214	64,014	73,136
2014-12-10	$140.28	$125.00	17.7%	4.7%	11.9%	59.5%	16.3%	1.3%	-0.6%	-2.6M	-336.2M	-1.8M	0.85	19.44	20,454	17,392	68,704	77,267
2014-12-11	$141.18	$125.00	16.5%	4.7%	12.0%	49.4%	16.5%	2.7%	1.0%	-3.3M	-363.0M	-1.9M	1.02	16.79	7,145	7,297	72,492	82,278
2014-12-12	$138.01	$125.00	18.3%	5.1%	14.2%	64.8%	18.2%	3.2%	0.5%	-14.5M	-192.8M	-1.8M	1.28	16.46	9,317	11,894	72,837	82,181
2014-12-15	$138.52	$125.00	18.8%	5.1%	14.3%	68.7%	18.3%	2.8%	-0.4%	-7.9M	-243.7M	-1.8M	1.14	18.13	5,889	6,715	69,425	79,884
2014-12-16	$137.52	$125.00	19.2%	5.2%	14.5%	72.3%	18.6%	3.1%	-0.6%	-8.7M	-203.2M	-1.8M	1.12	16.56	5,576	6,258	70,280	80,082
2014-12-17	$139.40	$125.00	18.4%	5.1%	15.2%	65.2%	19.0%	3.1%	0.7%	-6.5M	-285.3M	-1.9M	1.60	20.72	5,578	8,900	70,940	80,926
2014-12-18	$141.43	$125.00	17.6%	5.0%	15.9%	58.3%	17.7%	2.9%	0.0%	-7.7M	-398.5M	-1.7M	0.98	17.58	6,936	6,774	70,834	83,409
2014-12-19	$141.77	$125.00	16.0%	4.9%	15.8%	44.7%	16.8%	2.5%	0.6%	-8.5M	-429.1M	-1.9M	0.57	19.75	4,316	2,472	71,657	84,065
2014-12-22	$143.04	$0.00	16.0%	4.4%	16.0%	44.6%	16.3%	3.2%	-0.3%	12.3M	-445.8M	-1.7M	1.07	18.12	4,672	5,013	62,157	65,870
2014-12-23	$144.30	$145.00	15.2%	4.4%	16.2%	38.4%	16.2%	2.5%	-0.1%	14.8M	-501.4M	-1.6M	0.80	16.87	5,971	4,800	62,908	66,996
2014-12-24	$143.65	$145.00	15.3%	4.4%	16.2%	39.2%	15.6%	1.5%	-0.1%	12.0M	-475.0M	-1.6M	0.99	15.26	3,948	3,910	63,660	68,006
2014-12-26	$143.51	$145.00	15.2%	4.3%	16.1%	38.6%	16.3%	2.1%	-0.5%	9.5M	-465.9M	-1.7M	1.02	16.46	4,762	4,855	64,145	68,275
2014-12-29	$143.50	$145.00	15.3%	4.4%	15.1%	39.5%	16.2%	2.7%	1.4%	11.4M	-446.7M	-1.7M	1.01	15.64	3,994	4,047	62,466	65,940
2014-12-30	$143.49	$145.00	15.3%	4.4%	15.0%	39.6%	16.2%	2.8%	0.8%	11.0M	-453.4M	-1.6M	0.97	17.10	1,852	1,804	63,016	66,566
2014-12-31	$141.75	$145.00	15.8%	4.8%	15.5%	43.5%	16.7%	2.7%	0.3%	7.2M	-392.0M	-1.6M	1.61	16.37	2,349	3,779	63,718	67,134