COST Options History — February 2015

In February 2015, COST traded between $146.00 and $155.49. ATM implied volatility averaged 19.8%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 6.5% (HV 20d: 26.3%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.90.

Notable Days

2015-02-04: Highest Volume — 61,120 contracts
2015-02-05: Largest IV spike — 40.9% change
2015-02-05: Highest IV Rank — 100.0%
2015-02-04: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$148.24	$146.00	$155.49	$146.00	$146.98
Max Pain	$142.32	$140.00	$145.00	$140.00	$145.00
ATM IV	19.8%	16.9%	28.7%	17.7%	16.9%
Expected Move	5.3%	4.5%	6.5%	4.5%	5.1%
HV 20d	26.3%	17.9%	28.3%	17.9%	26.3%
HV 60d	19.2%	14.5%	19.8%	14.5%	19.5%
IV Rank	54.5%	34.5%	100.0%	59.1%	34.5%
IV Percentile	92.1%	82.1%	100.0%	86.9%	82.1%
Term Structure	-1.0%	-17.3%	3.7%	3.7%	-0.2%
VWIV	19.0%	17.4%	23.2%	17.4%	18.0%
Skew 25d	3.6%	1.5%	7.6%	5.0%	2.9%
Skew 10d	4.1%	-10.5%	10.1%	-10.5%	5.8%
Call IV 25d	17.5%	16.2%	21.0%	16.4%	16.2%
Put IV 25d	21.1%	18.1%	24.7%	21.5%	19.1%
Bid-Ask Spread %	17.34	11.00	44.40	44.40	20.48
Gamma HHI	0.17	0.08	0.67	0.32	0.13
Net GEX	3.1M	-53.7M	22.9M	22.9M	2.7M
Net DEX	-339.9M	-703.8M	-223.1M	-408.5M	-278.9M
Net VEX	-1.9M	-2.1M	-1.7M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.37	1.36	0.66	1.24
Total Volume	21,946.632	4,105	61,120	12,184	14,565
Total OI	134,609.158	109,318	169,731	112,809	116,038

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
2015-02-02	$146.00	$140.00	17.7%	4.5%	17.9%	59.1%	17.4%	5.0%	3.7%	22.9M	-408.5M	-1.9M	0.66	44.40	7,320	4,864	57,228	55,581
2015-02-03	$152.90	$140.00	18.1%	5.5%	23.2%	62.8%	22.5%	2.7%	-0.5%	17.9M	-624.9M	-1.7M	0.37	17.06	32,930	12,158	58,637	57,641
2015-02-04	$155.49	$144.00	20.2%	6.5%	23.4%	80.7%	23.2%	2.4%	0.5%	18.7M	-703.8M	-1.7M	1.08	30.00	29,366	31,754	64,492	61,895
2015-02-05	$149.00	$145.00	28.5%	5.4%	28.3%	100.0%	19.7%	4.9%	-2.5%	11.6M	-223.1M	-2.1M	1.09	15.38	20,418	22,269	70,507	81,713
2015-02-06	$148.66	$140.00	28.7%	5.4%	28.2%	100.0%	19.3%	5.7%	-2.0%	11.6M	-442.9M	-2.1M	0.64	17.66	17,081	10,854	81,841	87,890
2015-02-09	$147.52	$140.00	20.2%	5.5%	27.9%	52.8%	19.2%	7.6%	2.5%	7.3M	-395.3M	-1.9M	1.05	11.91	13,939	14,643	67,632	76,165
2015-02-10	$148.33	$140.00	25.5%	5.4%	27.8%	82.5%	19.1%	7.6%	-17.3%	4.8M	-410.6M	-2.0M	0.54	16.19	15,231	8,170	68,145	81,131
2015-02-11	$147.26	$140.00	19.7%	5.7%	27.6%	50.1%	19.3%	4.2%	0.7%	-1.5M	-250.1M	-2.0M	0.67	14.59	17,081	11,466	60,017	82,217
2015-02-12	$147.88	$140.00	19.0%	5.2%	27.1%	46.5%	19.0%	3.6%	-1.2%	-2.8M	-265.1M	-2.1M	0.77	14.25	12,428	9,556	61,723	86,273
2015-02-13	$147.01	$140.00	19.0%	5.4%	27.3%	46.6%	18.3%	2.7%	-0.2%	-4.6M	-230.8M	-2.1M	0.56	16.04	13,033	7,315	62,351	86,137
2015-02-17	$147.43	$140.00	19.3%	5.5%	27.3%	48.1%	18.8%	3.0%	-0.3%	-507.0K	-271.3M	-2.0M	0.41	12.78	13,099	5,355	60,412	81,538
2015-02-18	$147.24	$140.00	19.1%	5.5%	27.2%	46.8%	18.7%	3.0%	-1.0%	-1.8M	-268.2M	-2.0M	0.85	11.85	11,514	9,769	62,018	82,345
2015-02-19	$146.67	$145.00	18.6%	5.4%	27.3%	44.1%	18.7%	2.5%	-0.8%	-270.7K	-234.9M	-1.9M	1.25	11.69	1,821	2,284	60,427	86,951
2015-02-20	$147.54	$145.00	17.3%	4.9%	27.0%	36.8%	18.4%	2.8%	0.4%	-53.7M	-270.5M	-1.9M	0.82	11.00	4,961	4,084	61,032	88,206
2015-02-23	$148.26	$145.00	17.3%	5.2%	27.0%	37.0%	18.4%	3.0%	0.4%	7.8M	-315.2M	-1.9M	1.36	14.81	3,912	5,322	49,889	59,429
2015-02-24	$148.20	$145.00	17.2%	5.1%	26.9%	36.1%	18.1%	1.5%	-0.0%	8.8M	-310.8M	-1.9M	1.12	14.63	5,040	5,664	51,081	60,365
2015-02-25	$147.53	$145.00	16.9%	4.7%	26.4%	34.8%	17.9%	2.1%	-0.1%	7.1M	-292.9M	-1.9M	1.32	16.15	3,875	5,134	52,017	61,482
2015-02-26	$146.62	$145.00	17.2%	5.0%	26.3%	36.2%	17.8%	2.0%	-0.3%	3.1M	-260.2M	-1.9M	1.21	18.60	3,936	4,775	52,817	62,311
2015-02-27	$146.98	$145.00	16.9%	5.1%	26.3%	34.5%	18.0%	2.9%	-0.2%	2.7M	-278.9M	-1.9M	1.24	20.48	6,495	8,070	53,095	62,943