COST Options History — August 2015

In August 2015, COST traded between $133.85 and $146.93. ATM implied volatility averaged 18.8%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.9% (HV 20d: 13.8%). Max pain ranged from $139.00 to $145.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-08-07: Highest Volume — 25,484 contracts
  • 2015-08-24: Largest IV spike — 31.7% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.09$133.85$146.93$145.52$140.12
Max Pain$142.19$139.00$145.00$140.00$139.00
ATM IV18.8%15.1%29.6%15.1%24.0%
Expected Move5.4%4.3%8.9%4.3%6.7%
HV 20d13.8%9.1%23.5%14.9%23.5%
HV 60d14.6%13.0%17.8%13.6%17.5%
IV Rank43.9%24.9%100.0%24.9%69.9%
IV Percentile70.0%39.7%100.0%40.5%97.6%
Term Structure0.3%-1.9%3.6%-0.7%-1.4%
VWIV19.4%15.3%30.8%16.1%22.4%
Skew 25d3.5%1.7%11.3%2.8%4.8%
Skew 10d6.7%3.8%12.9%6.0%8.5%
Call IV 25d17.6%14.1%26.2%14.4%22.8%
Put IV 25d21.0%17.0%34.2%17.2%27.6%
Bid-Ask Spread %18.898.8354.6613.6121.04
Gamma HHI0.110.080.150.150.08
Net GEX6.1M-13.9M19.9M15.4M-9.9M
Net DEX-168.4M-378.6M156.9M-307.6M-28.1M
Net VEX-2.1M-2.3M-2.0M-2.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.233.060.760.68
Total Volume12,070.3335,72725,4849,0028,746
Total OI127,262.81116,731137,306119,395129,033

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$145.52$140.0015.1%4.3%14.9%24.9%16.1%2.8%-0.7%15.4M-307.6M-2.1M0.7613.615,1073,89564,09655,299
2015-08-04$144.79$140.0015.3%4.4%10.7%25.9%16.2%2.5%-0.1%14.7M-275.5M-2.1M0.6311.213,5162,21167,17957,873
2015-08-05$146.93$140.0015.1%4.3%11.5%24.9%15.9%2.9%-0.3%19.2M-378.6M-2.1M0.688.865,4803,72867,18858,102
2015-08-06$146.54$145.0015.5%4.5%11.5%27.1%15.3%1.7%-0.2%19.2M-362.2M-2.1M1.1214.097,0117,87567,91258,691
2015-08-07$145.28$145.0015.6%4.5%9.5%27.6%16.0%1.9%0.0%19.9M-271.1M-2.1M1.1612.7811,78213,70268,21860,079
2015-08-10$146.14$145.0015.2%4.4%9.2%25.3%16.3%2.5%0.8%13.4M-303.4M-2.2M0.8810.737,0266,16666,66062,432
2015-08-11$145.89$145.0015.9%4.6%9.2%29.0%16.1%2.4%0.0%13.2M-285.7M-2.2M0.2311.407,0201,61567,48462,659
2015-08-12$146.60$145.0015.5%4.7%9.2%26.8%17.0%2.8%0.7%18.5M-309.8M-2.2M0.8110.525,7154,62065,06862,783
2015-08-13$145.42$145.0016.2%4.7%9.6%30.7%16.9%2.2%0.5%10.2M-245.4M-2.2M0.9910.994,0834,03565,21263,703
2015-08-14$146.14$145.0015.7%4.6%9.7%28.2%16.2%2.6%0.4%12.0M-281.9M-2.1M0.8410.614,8464,08165,76763,801
2015-08-17$146.03$145.0015.9%4.6%9.7%29.3%16.5%2.5%0.6%13.5M-273.6M-2.1M1.228.833,6914,51663,87060,975
2015-08-18$145.56$145.0016.0%4.6%9.8%29.5%16.0%2.5%0.1%12.2M-249.5M-2.1M0.9411.394,4204,15064,57061,648
2015-08-19$145.17$145.0016.2%4.7%9.1%31.0%19.1%2.5%0.3%12.5M-223.3M-2.0M0.5012.295,2342,59565,17661,976
2015-08-20$143.94$140.0017.8%5.1%9.3%39.9%18.2%3.0%-0.5%3.5M-170.5M-2.1M0.9412.573,8373,60067,12662,199
2015-08-21$139.34$140.0022.5%6.2%14.7%65.8%22.0%4.6%3.6%-9.3M39.0M-2.1M1.4412.555,4907,92167,09462,390
2015-08-24$133.85$140.0029.6%8.9%20.0%100.0%30.8%11.3%-1.9%-6.3M153.9M-2.0M1.7852.974,9518,79659,80256,929
2015-08-25$134.09$140.0026.7%8.1%19.9%84.2%27.7%2.3%1.6%-7.6M156.9M-2.0M2.7247.475,70815,50760,56059,179
2015-08-26$137.94$139.0024.5%7.2%22.7%72.6%25.5%4.6%0.9%-11.7M82.0M-2.2M3.0654.664,14012,65163,17367,049
2015-08-27$139.82$139.0022.4%6.6%23.4%61.6%24.4%5.7%0.7%-10.8M4.6M-2.2M1.3827.539,33412,91964,21268,046
2015-08-28$139.77$139.0023.5%6.7%23.4%67.5%22.6%4.4%1.0%-13.9M-7.2M-2.3M1.0120.655,8435,91466,94170,365
2015-08-31$140.12$139.0024.0%6.7%23.5%69.9%22.4%4.8%-1.4%-9.9M-28.1M-2.2M0.6821.045,1913,55563,09965,934