COST Options History — October 2015

In October 2015, COST traded between $143.55 and $158.36. ATM implied volatility averaged 16.8%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.3% (HV 20d: 19.1%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-10-09: Highest Volume — 32,781 contracts
  • 2015-10-08: Largest IV drop — 10.1% change
  • 2015-10-01: Highest IV Rank — 47.0%
  • 2015-10-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.87$143.55$158.36$143.55$158.36
Max Pain$145.59$140.00$150.00$140.00$150.00
ATM IV16.8%15.0%20.8%20.8%15.6%
Expected Move4.8%4.3%6.1%6.1%4.6%
HV 20d19.1%17.4%21.7%18.5%17.5%
HV 60d19.7%18.4%20.6%18.5%20.3%
IV Rank22.6%11.4%47.0%47.0%14.7%
IV Percentile54.0%17.1%89.7%89.7%37.7%
Term Structure-0.0%-1.9%0.9%-1.4%0.8%
VWIV17.6%14.9%25.9%21.6%16.5%
Skew 25d3.6%2.7%4.5%4.3%2.7%
Skew 10d8.1%5.8%14.9%8.6%5.8%
Call IV 25d15.4%13.6%19.1%19.1%14.3%
Put IV 25d19.0%16.7%23.4%23.4%17.0%
Bid-Ask Spread %18.9511.9965.4165.4114.29
Gamma HHI0.190.100.260.100.26
Net GEX24.3M7.8M35.3M14.3M26.5M
Net DEX-445.3M-649.7M-195.2M-195.2M-519.1M
Net VEX-1.7M-1.9M-1.6M-1.9M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.382.111.490.70
Total Volume12,003.2275,99632,7819,1998,103
Total OI131,482.364114,949151,045139,132125,444

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$143.55$140.0020.8%6.1%18.5%47.0%21.6%4.3%-1.4%14.3M-195.2M-1.9M1.4965.413,6975,50273,38465,748
2015-10-02$145.59$140.0020.1%5.4%19.0%42.3%20.0%4.5%0.1%28.7M-334.9M-1.8M1.4123.105,5057,74273,75466,727
2015-10-05$148.07$145.0018.7%5.0%18.9%33.8%18.5%4.1%0.3%29.2M-397.1M-1.7M0.3812.816,2572,40465,51860,190
2015-10-06$148.49$145.0018.8%5.1%18.0%34.5%18.9%4.2%0.4%35.3M-437.8M-1.7M1.2113.863,4984,22168,49361,005
2015-10-07$147.52$145.0018.8%5.1%17.4%34.8%25.9%4.0%-0.3%33.6M-388.7M-1.7M2.1115.973,8778,19468,40061,438
2015-10-08$151.49$145.0016.9%5.1%19.3%23.2%17.9%3.4%0.2%31.1M-553.7M-1.7M0.8416.838,7917,38468,71765,888
2015-10-09$153.80$140.0015.9%4.6%19.7%17.3%14.9%3.6%-0.0%25.1M-649.7M-1.6M0.6015.5620,50512,27670,06767,856
2015-10-12$153.54$145.0017.0%4.3%19.8%23.9%16.4%3.8%-1.9%25.3M-564.1M-1.8M1.7213.175,4389,34271,89471,898
2015-10-13$152.41$145.0016.6%4.9%20.1%21.4%18.2%3.4%0.9%24.0M-505.6M-1.8M2.0312.074,4579,04772,77172,667
2015-10-14$149.67$145.0018.1%5.1%21.3%30.4%18.4%4.0%-0.4%23.0M-328.2M-1.8M1.0713.908,1258,66073,08173,314
2015-10-15$151.81$145.0016.7%4.8%21.7%22.2%16.7%4.3%-0.0%23.4M-489.2M-1.8M0.6613.115,5253,65074,92675,370
2015-10-16$152.10$145.0016.3%4.6%21.2%19.6%16.0%3.9%0.1%7.8M-525.2M-1.7M0.5911.997,0154,15475,56275,483
2015-10-19$153.09$145.0015.7%4.4%21.1%15.9%15.4%3.3%-0.2%13.9M-315.2M-1.7M0.9217.085,2324,81454,95959,990
2015-10-20$154.17$145.0015.2%4.3%20.0%12.6%16.6%3.2%-0.2%17.5M-366.8M-1.7M1.1522.163,8694,45756,14861,611
2015-10-21$155.24$145.0015.5%4.4%17.4%14.7%15.6%3.2%-0.4%21.5M-409.8M-1.7M0.6919.439,4866,56857,20162,466
2015-10-22$158.06$145.0015.0%4.3%17.9%11.4%15.1%3.1%-0.3%25.6M-521.2M-1.7M0.5614.799,2875,21559,23263,899
2015-10-23$155.66$148.0016.1%4.7%19.2%18.2%17.0%3.4%-0.5%20.7M-423.4M-1.8M1.2820.595,9867,67361,16664,880
2015-10-26$156.78$150.0015.4%4.6%18.3%13.9%17.8%3.3%0.4%23.6M-433.1M-1.8M0.6719.455,1163,43959,09261,513
2015-10-27$157.59$150.0015.6%4.6%18.2%15.1%16.1%3.1%0.3%26.8M-466.0M-1.8M0.8320.613,8313,17560,60762,167
2015-10-28$157.73$150.0015.8%4.6%18.3%16.4%16.6%3.2%0.8%28.3M-470.6M-1.8M1.0424.082,9383,05860,78562,780
2015-10-29$158.33$150.0015.4%4.5%17.7%13.5%16.7%3.6%0.4%30.1M-502.9M-1.8M0.9516.723,3603,19861,27763,244
2015-10-30$158.36$150.0015.6%4.6%17.5%14.7%16.5%2.7%0.8%26.5M-519.1M-1.7M0.7014.294,7663,33761,72763,717