COST Options History — December 2015

In December 2015, COST traded between $158.30 and $168.90. ATM implied volatility averaged 18.9%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.5% (HV 20d: 23.4%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-12-09: Highest Volume — 52,884 contracts
  • 2015-12-16: Largest IV drop — 14.5% change
  • 2015-12-14: Highest IV Rank — 50.1%
  • 2015-12-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.17$158.30$168.90$161.29$161.97
Max Pain$149.77$145.00$160.00$160.00$150.00
ATM IV18.9%16.6%21.6%20.4%17.3%
Expected Move5.6%4.7%7.2%6.8%5.1%
HV 20d23.4%16.4%27.1%16.6%25.7%
HV 60d19.6%16.9%21.1%17.3%19.9%
IV Rank33.7%18.8%50.1%42.8%23.2%
IV Percentile72.7%47.2%90.1%85.7%57.5%
Term Structure-0.0%-0.7%0.7%-0.7%0.5%
VWIV19.8%16.9%25.4%24.8%18.5%
Skew 25d3.6%2.9%4.6%3.6%3.7%
Skew 10d7.7%6.3%9.8%7.3%7.4%
Call IV 25d17.6%15.1%19.4%19.2%15.6%
Put IV 25d21.2%18.7%24.0%22.7%19.3%
Bid-Ask Spread %20.688.3269.6669.6622.59
Gamma HHI0.200.130.330.180.27
Net GEX20.1M-7.5M37.5M15.6M37.5M
Net DEX-363.9M-640.6M-169.6M-350.6M-357.7M
Net VEX-1.9M-2.1M-1.7M-1.8M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.391.410.440.87
Total Volume13,935.9555,87052,8845,8706,097
Total OI126,912.182115,066152,427118,698119,896

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$161.29$160.0020.4%6.8%16.6%42.8%24.8%3.6%-0.7%15.6M-350.6M-1.8M0.4469.664,0891,78158,02660,672
2015-12-02$160.94$160.0021.2%7.2%16.6%47.5%25.4%3.8%-0.6%17.6M-353.6M-1.9M0.7528.806,5214,87260,02261,183
2015-12-03$163.79$145.0019.5%5.5%16.8%37.0%20.4%3.5%-0.4%27.4M-481.8M-1.8M0.6814.069,8636,70561,11962,542
2015-12-04$166.87$145.0018.4%5.3%17.7%30.3%18.8%2.9%0.0%25.1M-588.4M-1.7M0.3912.2911,1924,34760,81563,858
2015-12-07$167.12$145.0019.7%5.7%17.6%38.3%19.1%3.2%0.2%26.8M-547.9M-1.8M0.519.619,1794,64559,16061,896
2015-12-08$168.90$145.0019.5%5.5%16.4%37.0%19.8%3.2%-0.4%33.6M-640.6M-1.8M0.6811.9715,06110,23664,03463,049
2015-12-09$159.84$145.0020.6%5.8%26.6%44.1%21.1%4.1%-0.3%4.5M-208.9M-1.8M0.9012.6827,88325,00169,38968,039
2015-12-10$161.58$150.0019.3%5.6%26.8%35.6%19.6%3.6%0.4%13.0M-319.5M-2.0M0.7213.8612,7559,15974,31575,939
2015-12-11$160.01$150.0020.8%5.9%27.1%45.2%20.6%4.0%-0.2%-7.5M-234.5M-2.1M1.1211.127,6538,54575,56876,859
2015-12-14$161.59$150.0021.6%6.2%26.4%50.1%20.7%4.6%-0.7%19.2M-338.3M-2.1M0.8512.278,0466,83467,16862,016
2015-12-15$161.25$150.0021.1%6.0%25.6%46.8%20.8%4.2%-0.7%17.7M-322.4M-2.0M1.2813.854,3845,60368,03263,781
2015-12-16$162.81$150.0018.0%5.2%25.3%27.8%19.3%3.8%0.1%21.9M-358.9M-2.0M1.0616.044,5824,86467,25365,455
2015-12-17$161.04$150.0019.3%5.6%25.1%35.8%19.2%4.0%-0.6%15.5M-308.4M-2.0M0.9212.956,2275,74867,96665,806
2015-12-18$158.30$150.0019.3%5.5%25.5%36.0%19.9%4.1%0.3%5.8M-169.6M-1.9M0.618.329,9026,04368,40066,736
2015-12-21$159.29$150.0018.4%5.3%25.6%30.2%18.3%3.3%0.2%11.1M-244.2M-1.9M0.6021.706,7644,04057,80157,265
2015-12-22$161.01$150.0017.6%5.2%25.9%25.1%18.2%3.1%0.5%21.5M-334.3M-1.9M1.4124.224,7636,70761,35957,589
2015-12-23$161.62$150.0016.6%4.8%25.8%18.8%16.9%3.4%0.3%24.2M-358.2M-1.9M1.2027.504,2265,05462,35058,680
2015-12-24$161.75$150.0016.7%4.7%25.8%19.6%18.2%3.8%-0.3%24.8M-365.9M-1.9M1.2926.283,4824,50762,39659,269
2015-12-28$161.04$150.0018.1%5.3%25.7%28.5%20.2%3.1%0.1%22.4M-323.2M-1.8M1.0631.063,2703,47860,82057,063
2015-12-29$162.74$150.0016.9%5.0%25.6%20.6%17.9%3.0%0.7%30.1M-397.0M-1.8M0.8327.063,3772,81461,24957,715
2015-12-30$162.91$150.0016.8%5.0%25.6%20.5%18.4%3.2%0.5%34.4M-401.1M-1.8M0.9427.133,2473,04561,47958,039
2015-12-31$161.97$150.0017.3%5.1%25.7%23.2%18.5%3.7%0.5%37.5M-357.7M-1.8M0.8722.593,2612,83661,73058,166