COST Options History — July 2015 In July 2015, COST traded between $136.04 and $146.48. ATM implied volatility averaged 15.8%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.0% (HV 20d: 15.9%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.98.
Notable Days 2015-07-10 : Highest Volume — 27,188 contracts2015-07-06 : Largest IV spike — 8.5% change2015-07-08 : Highest IV Rank — 39.5%2015-07-08 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $142.96 $136.04 $146.48 $136.51 $145.43 Max Pain $137.27 $135.00 $140.00 $140.00 $140.00 ATM IV 15.8% 14.7% 17.8% 16.1% 14.9% Expected Move 4.5% 4.1% 5.0% 4.5% 4.3% HV 20d 15.9% 11.4% 17.8% 12.5% 15.1% HV 60d 14.1% 12.7% 15.1% 13.3% 13.6% IV Rank 28.7% 22.7% 39.5% 30.1% 23.9% IV Percentile 56.6% 34.1% 87.3% 65.5% 35.3% Term Structure -0.0% -0.9% 1.0% 1.0% 0.4% VWIV 16.8% 15.3% 19.9% 16.1% 16.8% Skew 25d 2.5% 1.8% 3.1% 2.4% 1.8% Skew 10d 5.3% 3.7% 7.9% 4.5% 4.0% Call IV 25d 15.1% 14.0% 16.8% 15.1% 14.8% Put IV 25d 17.5% 16.2% 20.0% 17.5% 16.6% Bid-Ask Spread % 12.34 9.05 19.81 10.91 14.41 Gamma HHI 0.14 0.08 0.22 0.08 0.22 Net GEX 14.2M -14.6M 28.0M -12.9M 22.7M Net DEX -254.7M -382.0M 92.4M 92.4M -323.6M Net VEX -2.2M -2.4M -2.1M -2.3M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.35 1.52 1.22 0.75 Total Volume 12,541.273 6,968 27,188 10,033 6,968 Total OI 137,099.227 114,335 161,308 145,140 127,240
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 2015-07-01 $136.51 $140.00 16.1% 4.5% 12.5% 30.1% 16.1% 2.4% 1.0% -12.9M 92.4M -2.3M 1.22 10.91 4,517 5,516 72,543 72,597 2015-07-02 $136.52 $140.00 15.5% 4.5% 12.1% 27.0% 16.1% 2.4% 0.8% -13.9M 92.0M -2.2M 0.96 12.40 6,947 6,671 74,412 73,741 2015-07-06 $136.04 $135.00 16.8% 4.9% 11.4% 34.3% 18.0% 3.1% 0.3% -14.6M 75.1M -2.1M 1.41 9.05 3,790 5,328 72,579 70,807 2015-07-07 $140.45 $135.00 16.8% 4.8% 16.2% 34.3% 17.1% 2.7% 0.4% 6.5M -180.5M -2.3M 0.90 11.49 10,247 9,236 73,734 71,530 2015-07-08 $140.10 $135.00 17.8% 5.0% 16.2% 39.5% 18.5% 3.0% -0.2% 10.3M -164.6M -2.4M 0.80 13.61 8,911 7,100 77,318 73,941 2015-07-09 $139.73 $135.00 17.7% 5.0% 15.8% 39.4% 18.7% 3.1% -0.4% 9.1M -149.2M -2.3M 1.46 9.37 8,640 12,617 78,759 75,323 2015-07-10 $142.89 $140.00 17.0% 4.6% 17.7% 35.2% 19.9% 2.8% -0.0% 24.5M -372.8M -2.4M 0.68 9.10 16,188 11,000 80,898 80,410 2015-07-13 $144.19 $135.00 16.1% 4.4% 17.8% 30.2% 17.6% 1.9% -0.5% 23.3M -367.8M -2.4M 0.89 9.95 7,840 6,998 77,385 70,573 2015-07-14 $143.97 $135.00 15.6% 4.3% 17.2% 27.7% 16.3% 3.0% -0.9% 23.3M -356.3M -2.3M 1.15 11.14 4,942 5,688 77,887 70,434 2015-07-15 $143.59 $135.00 15.6% 4.3% 17.2% 27.5% 16.2% 2.0% -0.7% 21.9M -333.2M -2.3M 1.37 10.85 3,825 5,233 78,155 70,995 2015-07-16 $144.28 $135.00 14.9% 4.1% 17.1% 23.6% 15.6% 2.3% -0.8% 28.0M -370.8M -2.3M 1.52 14.28 4,223 6,424 78,234 70,992 2015-07-17 $144.73 $135.00 14.7% 4.1% 16.8% 22.7% 15.3% 2.7% -0.6% 15.6M -380.6M -2.1M 0.71 10.12 9,922 7,090 78,386 72,471 2015-07-20 $145.00 $135.00 14.9% 4.2% 16.8% 23.5% 15.5% 2.2% 0.2% 20.2M -324.8M -2.2M 0.97 13.19 4,827 4,691 60,558 53,777 2015-07-21 $145.02 $135.00 15.2% 4.3% 16.8% 25.1% 15.5% 2.1% 0.2% 20.3M -329.6M -2.2M 1.26 15.39 5,525 6,943 62,095 55,092 2015-07-22 $146.48 $137.00 15.0% 4.3% 17.0% 24.2% 16.1% 2.3% 0.4% 21.5M -382.0M -2.2M 1.06 14.24 4,548 4,835 64,103 58,172 2015-07-23 $145.55 $139.00 15.2% 4.4% 16.7% 25.0% 16.6% 2.6% -0.5% 21.1M -343.3M -2.2M 0.92 13.87 3,888 3,562 64,438 58,455 2015-07-24 $145.10 $139.00 15.7% 4.5% 16.5% 27.8% 16.4% 2.5% -0.9% 15.7M -317.5M -2.3M 0.86 13.81 5,904 5,092 65,119 59,065 2015-07-27 $144.14 $140.00 16.2% 4.7% 16.8% 30.6% 17.8% 2.4% 0.1% 13.3M -246.6M -2.3M 1.01 11.13 5,308 5,385 63,035 57,073 2015-07-28 $144.54 $140.00 15.8% 4.5% 15.3% 28.5% 16.4% 2.6% 0.5% 14.2M -272.4M -2.2M 0.75 11.32 4,515 3,405 64,234 59,002 2015-07-29 $145.43 $140.00 15.2% 4.5% 15.1% 25.0% 15.8% 2.3% 0.8% 18.7M -319.4M -2.2M 0.35 19.81 9,361 3,314 65,162 58,977 2015-07-30 $145.45 $140.00 15.4% 4.4% 15.1% 26.4% 16.3% 2.5% 0.1% 22.7M -327.2M -2.1M 0.45 12.12 6,162 2,782 67,199 59,283 2015-07-31 $145.43 $140.00 14.9% 4.3% 15.1% 23.9% 16.8% 1.8% 0.4% 22.7M -323.6M -2.1M 0.75 14.41 3,982 2,986 67,673 59,567
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