COST Options History — September 2015

In September 2015, COST traded between $138.28 and $145.58. ATM implied volatility averaged 22.3%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.6% (HV 20d: 22.9%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2015-09-11: Highest Volume — 22,141 contracts
  • 2015-09-30: Largest IV drop — 16.5% change
  • 2015-09-01: Highest IV Rank — 88.1%
  • 2015-09-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.12$138.28$145.58$138.28$144.61
Max Pain$137.52$135.00$140.00$139.00$140.00
ATM IV22.3%19.2%27.4%27.4%19.5%
Expected Move6.4%5.5%7.9%7.9%5.7%
HV 20d22.9%18.4%25.9%23.8%18.6%
HV 60d18.5%17.6%19.5%17.6%18.5%
IV Rank56.4%37.2%88.1%88.1%38.8%
IV Percentile93.2%86.5%98.8%98.8%86.5%
Term Structure-0.3%-1.0%0.6%-0.2%0.5%
VWIV23.2%19.8%27.5%27.5%20.3%
Skew 25d4.6%3.0%5.6%4.8%4.1%
Skew 10d10.2%8.1%12.0%11.7%9.4%
Call IV 25d20.6%17.9%25.4%25.4%17.9%
Put IV 25d25.2%21.9%30.2%30.2%21.9%
Bid-Ask Spread %22.9711.6556.5521.8856.55
Gamma HHI0.110.070.190.080.10
Net GEX10.8M-10.6M36.5M-10.6M19.7M
Net DEX-173.6M-356.5M52.2M52.2M-254.3M
Net VEX-2.0M-2.3M-1.8M-2.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.494.180.850.75
Total Volume13,020.195,30422,14112,92619,607
Total OI129,882.476115,504140,208131,889136,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$138.28$139.0027.4%7.9%23.8%88.1%27.5%4.8%-0.2%-10.6M52.2M-2.3M0.8521.886,9835,94365,06366,826
2015-09-02$140.07$139.0025.1%6.8%23.6%76.0%24.8%5.5%0.1%-7.5M-45.2M-2.3M1.1926.955,0125,96168,92767,204
2015-09-03$140.75$135.0023.9%6.7%23.8%69.5%23.2%5.3%-0.2%-6.3M-88.2M-2.3M1.8220.743,2966,01070,65669,552
2015-09-04$138.90$135.0024.7%6.8%24.0%73.8%24.6%5.6%-0.6%-638.8K24.2M-2.2M1.5117.993,3865,11071,06269,027
2015-09-08$141.43$135.0023.3%6.6%24.9%63.5%23.4%4.8%-0.6%4.2M-157.0M-2.0M0.6416.453,3642,13667,33560,684
2015-09-09$139.52$135.0023.6%6.7%25.3%64.3%23.6%3.0%0.0%-2.6M-77.3M-2.0M4.1814.992,52110,53869,15561,721
2015-09-10$139.90$135.0023.8%6.6%25.2%65.0%24.4%4.3%-1.0%-6.9M-75.8M-2.1M2.8515.432,7297,76869,45163,824
2015-09-11$140.95$135.0022.4%6.4%25.3%56.2%20.7%4.4%-0.0%7.0M-141.5M-2.0M1.3211.659,56312,57870,23764,617
2015-09-14$141.06$140.0022.9%6.6%25.2%59.6%24.9%5.2%-0.4%9.4M-160.2M-2.1M2.4611.903,4078,39368,86759,801
2015-09-15$142.43$140.0022.2%6.4%25.6%55.3%24.7%4.9%-0.7%18.6M-228.7M-2.0M0.4912.283,5651,73970,27360,347
2015-09-16$143.69$135.0019.6%5.6%25.8%39.3%21.5%5.0%0.6%26.9M-282.4M-2.0M1.0113.195,9135,99671,33060,848
2015-09-17$143.37$135.0019.2%5.5%25.8%37.2%19.9%4.3%-0.0%26.4M-264.3M-1.9M1.0318.037,4347,65670,72563,028
2015-09-18$141.97$135.0020.8%6.0%25.9%46.6%19.8%4.4%-1.0%15.1M-182.4M-1.9M0.8615.276,3925,51968,84662,172
2015-09-21$143.18$135.0019.7%5.7%23.1%40.0%20.4%3.7%-0.3%11.5M-211.9M-1.8M0.7426.326,6864,92362,12553,379
2015-09-22$141.01$140.0021.3%6.3%18.4%50.0%22.1%3.5%0.1%10.0M-138.3M-1.9M1.0527.853,7974,00464,97553,786
2015-09-23$145.44$140.0020.3%6.0%20.9%43.5%21.4%5.0%-0.2%23.1M-318.4M-1.9M0.5932.238,5575,06865,55055,049
2015-09-24$144.87$140.0021.4%6.4%19.0%50.2%24.1%4.2%-0.7%27.9M-326.6M-1.9M1.3929.515,2307,26169,25656,001
2015-09-25$145.58$140.0020.4%6.0%18.6%44.2%23.0%4.3%0.1%36.5M-356.5M-1.9M1.6330.358,12313,24369,50459,198
2015-09-28$143.76$140.0023.3%7.2%19.3%62.0%26.9%4.8%-0.2%12.7M-214.2M-2.0M1.6832.556,12010,28265,29758,368
2015-09-29$143.67$140.0023.4%7.4%19.3%62.1%25.9%5.0%-0.7%13.1M-199.2M-2.0M0.9130.3211,29710,31467,13860,172
2015-09-30$144.61$140.0019.5%5.7%18.6%38.8%20.3%4.1%0.5%19.7M-254.3M-1.9M0.7556.5511,2008,40771,48364,673