COST Options History — November 2015

In November 2015, COST traded between $153.36 and $163.58. ATM implied volatility averaged 19.7%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.0% (HV 20d: 15.7%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2015-11-19: Highest Volume — 26,543 contracts
2015-11-24: Largest IV spike — 21.0% change
2015-11-24: Highest IV Rank — 62.1%
2015-11-24: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.06	$153.36	$163.58	$159.04	$161.42
Max Pain	$155.00	$150.00	$160.00	$150.00	$160.00
ATM IV	19.7%	15.6%	23.5%	15.6%	20.6%
Expected Move	5.8%	4.5%	6.8%	4.5%	6.7%
HV 20d	15.7%	13.2%	17.5%	16.8%	16.6%
HV 60d	19.2%	17.3%	20.9%	20.2%	17.6%
IV Rank	38.5%	14.4%	62.1%	14.4%	44.0%
IV Percentile	78.8%	35.7%	94.8%	35.7%	86.5%
Term Structure	-0.1%	-3.6%	2.6%	1.6%	-0.5%
VWIV	21.0%	17.0%	25.4%	17.0%	24.7%
Skew 25d	4.1%	2.8%	5.3%	2.9%	3.6%
Skew 10d	9.2%	6.0%	16.4%	7.7%	8.2%
Call IV 25d	18.2%	14.7%	20.9%	14.7%	19.2%
Put IV 25d	22.2%	17.6%	25.8%	17.6%	22.8%
Bid-Ask Spread %	26.71	11.38	87.41	15.40	69.24
Gamma HHI	0.25	0.16	0.44	0.30	0.18
Net GEX	23.3M	10.3M	43.9M	30.7M	14.8M
Net DEX	-402.2M	-652.4M	-152.0M	-491.6M	-345.9M
Net VEX	-1.9M	-2.0M	-1.7M	-1.7M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.33	5.72	0.77	0.67
Total Volume	12,432.55	4,957	26,543	6,413	6,303
Total OI	119,914.2	113,623	132,215	114,811	116,231

Daily Data (20 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
2015-11-02	$159.04	$150.00	15.6%	4.5%	16.8%	14.4%	17.0%	2.9%	1.6%	30.7M	-491.6M	-1.7M	0.77	15.40	3,620	2,793	58,859	55,952
2015-11-03	$159.01	$150.00	16.1%	4.7%	16.9%	16.0%	17.4%	3.2%	1.6%	31.9M	-493.9M	-1.7M	1.26	12.07	4,490	5,640	59,803	56,739
2015-11-04	$157.01	$150.00	16.2%	4.8%	17.5%	16.6%	17.3%	3.0%	2.2%	25.9M	-395.8M	-1.8M	1.40	15.58	2,634	3,697	61,242	59,514
2015-11-05	$156.40	$155.00	16.4%	5.4%	15.3%	17.7%	19.6%	3.4%	2.6%	25.4M	-369.7M	-1.8M	5.72	13.36	3,074	17,596	61,773	60,645
2015-11-06	$157.55	$155.00	17.0%	5.0%	14.6%	21.4%	18.5%	2.8%	2.0%	27.3M	-401.3M	-1.9M	0.85	13.62	2,676	2,281	62,319	63,573
2015-11-09	$155.16	$155.00	20.1%	5.8%	15.7%	40.8%	20.9%	3.8%	-0.4%	18.7M	-282.1M	-1.9M	0.33	13.31	12,278	4,048	60,214	54,997
2015-11-10	$156.32	$155.00	19.6%	5.9%	15.6%	38.0%	20.9%	4.0%	0.3%	25.8M	-308.7M	-1.9M	0.68	13.24	8,190	5,590	59,133	55,760
2015-11-11	$155.80	$155.00	20.8%	5.8%	13.9%	44.9%	22.0%	4.1%	-0.3%	21.6M	-279.7M	-1.8M	0.67	20.58	8,016	5,335	58,073	56,905
2015-11-12	$155.91	$155.00	21.5%	6.1%	13.2%	49.3%	21.2%	4.8%	-0.3%	19.0M	-276.5M	-1.9M	1.07	15.31	4,979	5,339	58,901	59,969
2015-11-13	$153.36	$155.00	22.9%	6.3%	14.6%	58.0%	22.2%	4.6%	-1.4%	11.4M	-152.0M	-2.0M	1.15	13.95	5,123	5,900	60,610	59,782
2015-11-16	$156.45	$155.00	22.9%	6.6%	16.1%	58.3%	22.9%	5.1%	-1.9%	21.7M	-276.8M	-1.9M	0.69	11.38	5,761	3,989	59,626	58,473
2015-11-17	$158.90	$155.00	21.3%	6.1%	16.7%	48.2%	21.7%	4.7%	-0.7%	39.8M	-415.3M	-1.9M	0.73	14.35	9,811	7,128	60,994	60,969
2015-11-18	$161.30	$155.00	20.9%	6.0%	17.3%	45.7%	21.3%	4.5%	-1.2%	43.9M	-553.3M	-1.9M	0.88	16.37	7,248	6,398	62,516	62,217
2015-11-19	$162.99	$155.00	19.3%	5.5%	16.6%	35.9%	18.8%	4.5%	0.3%	26.3M	-640.7M	-1.8M	0.37	16.34	19,330	7,213	63,150	62,754
2015-11-20	$162.94	$155.00	18.8%	5.4%	15.4%	32.9%	19.8%	4.6%	0.2%	20.2M	-652.4M	-1.8M	0.94	15.63	8,596	8,043	68,225	63,990
2015-11-23	$163.45	$155.00	19.4%	5.8%	15.3%	36.8%	21.4%	3.9%	-0.6%	19.4M	-450.8M	-1.8M	0.48	26.62	5,223	2,519	55,822	57,801
2015-11-24	$162.19	$155.00	23.5%	6.8%	15.6%	62.1%	25.4%	5.3%	-3.6%	16.6M	-399.0M	-2.0M	2.69	87.41	3,668	9,870	57,342	58,976
2015-11-25	$162.40	$160.00	20.6%	6.3%	15.6%	43.8%	23.3%	4.3%	-0.8%	10.3M	-406.8M	-1.9M	2.20	65.82	4,740	10,411	57,595	63,137
2015-11-27	$163.58	$160.00	20.7%	6.5%	15.7%	44.5%	23.9%	4.2%	-1.1%	16.3M	-452.2M	-1.9M	1.23	64.67	4,073	5,028	58,696	65,007
2015-11-30	$161.42	$160.00	20.6%	6.7%	16.6%	44.0%	24.7%	3.6%	-0.5%	14.8M	-345.9M	-1.9M	0.67	69.24	3,773	2,530	56,450	59,781