COST Options History — March 2015

In March 2015, COST traded between $147.04 and $153.14. ATM implied volatility averaged 15.9%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.5% (HV 20d: 16.4%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2015-03-05: Highest Volume — 32,642 contracts
2015-03-05: Largest IV drop — 10.8% change
2015-03-11: Highest IV Rank — 36.8%
2015-03-04: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$150.22	$147.04	$153.14	$147.98	$151.65
Max Pain	$140.68	$140.00	$145.00	$145.00	$140.00
ATM IV	15.9%	14.4%	17.3%	16.7%	15.4%
Expected Move	4.6%	3.8%	5.3%	5.2%	4.5%
HV 20d	16.4%	13.3%	25.9%	25.9%	16.2%
HV 60d	19.8%	19.4%	20.4%	19.5%	19.7%
IV Rank	28.9%	20.7%	36.8%	33.8%	26.6%
IV Percentile	70.9%	45.6%	86.5%	81.7%	66.7%
Term Structure	0.1%	-0.8%	1.1%	-0.0%	0.7%
VWIV	16.7%	15.1%	19.1%	18.2%	16.4%
Skew 25d	2.2%	1.5%	2.8%	2.8%	2.1%
Skew 10d	4.6%	3.6%	5.9%	5.2%	4.2%
Call IV 25d	15.2%	13.9%	16.4%	16.0%	15.0%
Put IV 25d	17.3%	15.7%	18.8%	18.8%	17.1%
Bid-Ask Spread %	10.04	6.52	18.22	17.22	10.25
Gamma HHI	0.18	0.09	0.61	0.13	0.17
Net GEX	14.3M	-9.7M	77.9M	10.9M	19.5M
Net DEX	-358.5M	-499.6M	-242.8M	-317.3M	-372.5M
Net VEX	-1.9M	-2.0M	-1.7M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.35	1.48	0.81	1.41
Total Volume	10,742.591	3,936	32,642	11,761	7,666
Total OI	119,697.318	105,499	131,433	111,992	112,928

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
2015-03-02	$147.98	$145.00	16.7%	5.2%	25.9%	33.8%	18.2%	2.8%	-0.0%	10.9M	-317.3M	-1.9M	0.81	17.22	6,512	5,249	51,855	60,137
2015-03-03	$147.47	$145.00	16.8%	3.8%	24.8%	34.2%	19.1%	2.0%	-0.1%	11.5M	-309.0M	-1.9M	1.00	17.13	6,505	6,535	54,407	62,089
2015-03-04	$147.04	$145.00	16.7%	5.3%	18.0%	33.8%	18.9%	1.5%	-0.0%	10.6M	-293.8M	-1.9M	0.72	18.22	14,656	10,565	55,839	64,442
2015-03-05	$151.23	$140.00	14.9%	4.4%	19.9%	23.8%	15.9%	2.0%	-0.4%	29.9M	-499.6M	-1.8M	0.77	8.65	18,463	14,179	60,415	69,300
2015-03-06	$149.52	$140.00	15.0%	4.4%	13.3%	24.3%	16.3%	2.0%	0.2%	-9.7M	-349.5M	-1.8M	1.42	9.11	8,595	12,241	58,255	73,178
2015-03-09	$150.68	$140.00	15.5%	4.5%	13.5%	26.7%	16.3%	1.8%	0.2%	14.5M	-385.5M	-1.8M	0.59	7.54	6,177	3,640	52,807	65,812
2015-03-10	$148.16	$140.00	16.4%	4.7%	14.6%	32.0%	18.1%	2.5%	-0.4%	5.6M	-286.1M	-2.0M	1.48	8.95	4,028	5,981	55,363	67,427
2015-03-11	$147.40	$140.00	17.3%	5.1%	14.6%	36.8%	17.3%	2.1%	0.6%	1.3M	-242.8M	-2.0M	0.87	8.82	2,886	2,518	55,618	69,265
2015-03-12	$149.44	$140.00	16.3%	4.6%	15.2%	31.6%	16.9%	2.2%	-0.3%	8.7M	-333.1M	-1.9M	0.58	7.21	5,044	2,932	56,277	70,212
2015-03-13	$149.28	$140.00	16.5%	4.6%	15.1%	32.6%	16.9%	2.5%	-0.8%	5.3M	-328.3M	-1.9M	1.19	7.67	2,937	3,497	57,706	71,346
2015-03-16	$149.99	$140.00	16.4%	4.7%	15.0%	31.7%	17.0%	2.4%	0.4%	7.8M	-346.0M	-1.9M	0.87	7.16	3,521	3,069	55,615	68,187
2015-03-17	$150.03	$140.00	16.6%	4.8%	15.0%	33.0%	17.1%	2.3%	-0.1%	8.4M	-350.4M	-1.9M	0.71	6.52	3,177	2,269	56,598	68,873
2015-03-18	$150.93	$140.00	15.8%	4.5%	15.1%	28.9%	16.4%	1.9%	-0.2%	13.2M	-398.0M	-1.9M	0.80	8.46	5,198	4,178	57,172	69,633
2015-03-19	$151.31	$140.00	15.8%	4.5%	15.0%	28.4%	16.0%	2.3%	-0.1%	16.9M	-417.3M	-1.8M	0.68	7.89	4,596	3,148	57,484	69,704
2015-03-20	$152.59	$140.00	14.4%	4.0%	15.1%	20.8%	15.3%	2.0%	1.1%	77.9M	-485.7M	-1.8M	0.35	7.09	8,401	2,907	59,332	70,134
2015-03-23	$152.93	$140.00	14.6%	4.1%	15.0%	21.9%	15.2%	1.6%	0.4%	16.5M	-405.6M	-1.7M	1.37	9.50	2,828	3,862	50,110	55,389
2015-03-24	$153.14	$140.00	14.4%	4.2%	15.0%	20.7%	15.1%	1.9%	0.4%	16.6M	-406.8M	-1.7M	0.44	10.75	5,301	2,325	50,942	56,532
2015-03-25	$151.09	$140.00	15.7%	4.5%	15.8%	27.8%	15.9%	2.6%	-0.4%	12.1M	-336.9M	-1.9M	0.83	10.51	4,390	3,639	51,745	56,915
2015-03-26	$150.22	$140.00	16.1%	4.6%	15.8%	30.0%	15.9%	2.2%	0.1%	9.3M	-311.5M	-1.9M	1.11	9.95	4,309	4,773	53,621	58,613
2015-03-27	$150.47	$140.00	15.9%	4.6%	15.8%	29.4%	16.6%	2.4%	0.1%	11.4M	-322.9M	-1.8M	0.96	10.67	2,005	1,931	53,446	59,433
2015-03-30	$152.37	$140.00	15.4%	4.4%	16.2%	26.4%	16.0%	2.2%	0.7%	16.3M	-389.0M	-1.8M	0.67	11.53	5,825	3,879	51,980	57,205
2015-03-31	$151.65	$140.00	15.4%	4.5%	16.2%	26.6%	16.4%	2.1%	0.7%	19.5M	-372.5M	-1.9M	1.41	10.25	3,180	4,486	54,860	58,068