COST Options History — June 2015

In June 2015, COST traded between $135.33 and $142.28. ATM implied volatility averaged 15.3%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.8% (HV 20d: 12.4%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2015-06-05: Highest Volume — 29,991 contracts
  • 2015-06-29: Largest IV spike — 14.8% change
  • 2015-06-15: Highest IV Rank — 34.0%
  • 2015-06-29: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.08$135.33$142.28$142.28$135.33
Max Pain$144.18$140.00$145.00$144.00$140.00
ATM IV15.3%13.5%16.8%15.4%16.3%
Expected Move4.4%3.9%4.9%4.5%4.8%
HV 20d12.4%11.1%13.5%12.5%12.1%
HV 60d13.4%13.2%13.9%13.9%13.2%
IV Rank25.6%16.0%34.0%26.2%31.3%
IV Percentile52.7%23.8%76.6%57.5%68.7%
Term Structure0.1%-1.0%1.6%-0.1%1.1%
VWIV15.4%12.7%17.0%15.8%16.5%
Skew 25d2.2%1.5%2.9%1.9%2.9%
Skew 10d4.4%3.4%5.9%3.9%5.9%
Call IV 25d14.6%13.0%16.2%15.0%15.4%
Put IV 25d16.8%14.9%18.3%16.9%18.3%
Bid-Ask Spread %9.955.4215.4312.6412.60
Gamma HHI0.150.080.340.180.11
Net GEX-25.7M-61.7M-6.9M-24.7M-20.2M
Net DEX172.4M-9.0M430.7M94.6M164.1M
Net VEX-2.3M-2.5M-2.2M-2.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.942.871.421.22
Total Volume16,437.5458,29829,99118,25912,268
Total OI159,751.364137,340179,026166,313142,556

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$142.28$144.0015.4%4.5%12.5%26.2%15.8%1.9%-0.1%-24.7M94.6M-2.5M1.4212.647,54010,71975,04491,269
2015-06-02$141.40$144.0015.8%4.7%12.5%28.5%16.6%2.1%-0.2%-32.1M151.6M-2.5M1.4515.434,5436,60177,22192,345
2015-06-03$142.09$144.0015.3%4.4%12.5%25.6%15.9%1.8%0.7%-33.1M107.5M-2.5M2.4112.094,96911,99478,60995,312
2015-06-04$140.63$145.0016.0%4.7%12.9%29.5%16.1%2.1%0.0%-61.7M235.4M-2.5M1.899.936,57112,39079,26397,082
2015-06-05$138.90$145.0016.0%4.7%13.5%29.9%16.4%2.4%0.4%-36.4M430.7M-2.4M1.897.1610,37819,61380,45798,569
2015-06-08$138.10$145.0016.6%4.7%12.9%33.2%17.0%1.8%-0.0%-20.5M267.6M-2.3M2.728.125,66815,41875,97981,604
2015-06-09$138.07$145.0016.7%4.6%12.5%33.6%16.7%2.1%-0.5%-24.0M280.9M-2.3M2.527.425,30913,36077,37186,434
2015-06-10$139.51$145.0015.4%4.5%13.3%26.3%16.2%2.2%0.2%-18.3M190.4M-2.4M1.586.898,89114,04779,02586,931
2015-06-11$139.20$145.0015.3%4.4%13.2%26.1%12.7%2.2%-0.1%-22.7M206.9M-2.4M2.878.664,83013,84479,77687,874
2015-06-12$138.88$145.0015.4%4.4%13.0%26.4%15.6%2.2%-0.1%-33.1M235.8M-2.4M2.156.235,53911,90378,89788,405
2015-06-15$137.27$145.0016.8%4.8%11.5%34.0%16.4%2.5%-1.0%-26.1M303.9M-2.3M2.145.425,09510,88776,97086,658
2015-06-16$137.93$145.0015.5%4.4%11.7%26.8%15.4%2.4%0.4%-27.5M271.5M-2.3M2.335.944,37210,18577,87887,659
2015-06-17$138.99$145.0015.1%4.3%12.3%24.7%15.6%2.0%0.2%-27.0M201.2M-2.3M2.306.914,0959,40779,21587,385
2015-06-18$140.46$145.0014.8%4.3%12.9%23.2%14.8%2.4%-0.3%-24.2M93.5M-2.3M2.717.135,36214,51579,82887,417
2015-06-19$140.51$145.0013.9%4.0%12.8%17.8%16.0%2.4%-0.4%-25.5M84.2M-2.3M1.157.239,05210,44580,76088,920
2015-06-22$140.26$145.0013.7%4.0%12.8%17.0%14.0%1.9%0.3%-6.9M-9.0M-2.2M0.9413.194,5654,27465,06872,272
2015-06-23$139.88$145.0013.5%3.9%12.7%16.0%14.3%1.5%0.3%-9.7M17.7M-2.2M1.0313.574,0914,20766,74873,861
2015-06-24$138.51$145.0014.1%4.0%11.4%19.3%14.4%2.3%-0.1%-19.4M96.1M-2.2M1.1413.634,0584,64267,82274,599
2015-06-25$137.60$145.0014.1%4.0%11.4%19.3%13.9%2.6%0.5%-26.0M147.2M-2.2M1.4614.116,2489,14568,17176,153
2015-06-26$138.09$140.0014.1%4.1%11.1%19.1%12.8%2.3%0.3%-28.5M78.7M-2.2M1.2412.947,1518,89271,55274,838
2015-06-29$135.90$140.0016.2%4.9%12.2%30.6%16.6%2.4%1.6%-19.0M141.7M-2.2M1.4811.675,8638,68068,98271,751
2015-06-30$135.33$140.0016.3%4.8%12.1%31.3%16.5%2.9%1.1%-20.2M164.1M-2.2M1.2212.605,5246,74470,62771,929