COST Options History — January 2015

In January 2015, COST traded between $139.14 and $145.35. ATM implied volatility averaged 16.7%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.0% (HV 20d: 15.7%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-01-14: Highest Volume — 21,659 contracts
  • 2015-01-05: Largest IV spike — 11.3% change
  • 2015-01-15: Highest IV Rank — 66.7%
  • 2015-01-06: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.38$139.14$145.35$141.72$142.74
Max Pain$142.75$140.00$145.00$145.00$140.00
ATM IV16.7%14.3%18.6%15.7%16.5%
Expected Move4.7%4.1%5.2%4.8%4.6%
HV 20d15.7%14.0%17.8%15.5%16.1%
HV 60d14.3%13.2%15.7%15.7%14.2%
IV Rank51.2%30.8%66.7%42.6%49.4%
IV Percentile78.9%45.2%95.6%74.2%80.2%
Term Structure0.2%-1.2%1.6%0.5%1.4%
VWIV17.0%14.9%19.0%16.3%16.2%
Skew 25d3.1%1.9%4.0%3.0%2.5%
Skew 10d6.2%3.7%7.8%6.4%5.2%
Call IV 25d15.7%13.4%17.6%14.8%15.0%
Put IV 25d18.7%16.3%21.3%17.8%17.5%
Bid-Ask Spread %13.568.3722.2412.5822.24
Gamma HHI0.180.080.310.090.31
Net GEX8.9M-452.4K26.3M5.9M15.3M
Net DEX-303.5M-571.6M-137.1M-372.9M-285.3M
Net VEX-1.7M-2.0M-1.6M-1.7M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.521.621.350.83
Total Volume10,363.53,30321,65911,02113,415
Total OI126,912.5591,358159,333133,825114,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$141.72$145.0015.7%4.8%15.5%42.6%16.3%3.0%0.5%5.9M-372.9M-1.7M1.3512.584,6976,32464,68969,136
2015-01-05$140.00$145.0017.5%5.0%16.0%57.6%18.0%2.9%0.2%2.6M-309.5M-1.6M1.4014.102,4233,38462,83368,767
2015-01-06$141.85$145.0018.1%5.2%16.7%63.2%18.4%2.3%-0.2%6.9M-384.5M-1.6M0.5213.598,3614,30963,41070,499
2015-01-07$144.32$145.0017.5%4.9%17.7%58.1%17.3%3.8%0.4%20.2M-505.0M-1.7M0.7116.635,4863,90268,60072,840
2015-01-08$145.35$145.0016.8%4.7%17.8%52.0%16.7%3.2%-0.7%26.3M-571.6M-1.7M0.8014.617,7536,24070,11074,969
2015-01-09$143.42$145.0017.5%4.6%17.0%57.9%17.5%3.4%0.2%24.0M-478.8M-1.6M1.4314.645,8738,42270,95577,028
2015-01-12$142.62$145.0017.4%4.7%17.0%56.7%17.3%3.3%-0.9%10.8M-411.5M-1.6M1.328.374,0935,40267,20175,173
2015-01-13$141.01$145.0018.0%4.9%15.4%61.8%17.9%3.5%-0.6%6.4M-341.1M-1.6M1.6212.745,1028,27767,42477,021
2015-01-14$139.34$145.0018.6%5.1%16.0%66.6%17.8%4.0%-1.0%-438.3K-258.9M-1.7M0.9110.2511,36110,29867,65180,631
2015-01-15$139.45$145.0018.6%5.1%15.7%66.7%19.0%3.6%-1.2%3.6M-260.6M-1.8M1.409.594,1695,84873,19084,617
2015-01-16$139.72$145.0017.5%4.8%15.0%57.7%18.0%3.6%-0.9%6.4M-278.3M-1.7M0.959.334,8394,58673,36985,964
2015-01-20$139.38$140.0017.0%4.8%14.0%53.6%17.7%3.0%0.3%796.3K-150.9M-1.7M1.0313.664,7694,92447,75643,602
2015-01-21$139.14$140.0016.4%4.7%14.0%48.3%16.9%2.9%0.4%-452.4K-137.1M-1.7M0.8211.033,3372,72651,52247,588
2015-01-22$141.11$140.0015.0%4.3%14.6%36.6%15.7%2.9%0.0%6.5M-205.6M-1.8M0.9311.675,4325,06253,47349,422
2015-01-23$142.01$140.0014.3%4.1%14.4%30.8%14.9%2.8%0.0%12.2M-255.8M-1.8M0.9716.536,4956,26855,46650,942
2015-01-26$142.91$140.0014.4%4.1%14.5%31.8%15.0%3.0%1.3%16.2M-288.5M-1.8M0.8616.741,7761,52755,80250,958
2015-01-27$140.99$140.0015.5%4.5%15.3%41.0%16.0%1.9%1.3%7.5M-212.8M-1.8M1.0613.812,1072,24056,48151,626
2015-01-28$139.83$140.0016.1%4.7%15.5%46.1%16.6%2.0%1.0%3.0M-170.3M-1.9M0.9015.454,7084,23757,49953,076
2015-01-29$140.60$140.0016.1%4.6%15.7%45.9%16.5%3.4%1.6%4.5M-191.2M-1.9M1.0913.703,3963,70258,39254,297
2015-01-30$142.74$140.0016.5%4.6%16.1%49.4%16.2%2.5%1.4%15.3M-285.3M-2.0M0.8322.247,3276,08859,07455,198