COST Options History — January 2016

In January 2016, COST traded between $147.65 and $160.11. ATM implied volatility averaged 21.6%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.3% (HV 20d: 21.3%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.43.

Notable Days

2016-01-26: Highest Volume — 28,444 contracts
2016-01-22: Largest IV drop — 11.0% change
2016-01-15: Highest IV Rank — 61.6%
2016-01-08: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$152.63	$147.65	$160.11	$159.24	$147.91
Max Pain	$156.05	$150.00	$160.00	$160.00	$152.50
ATM IV	21.6%	20.0%	23.4%	20.3%	20.8%
Expected Move	6.1%	5.5%	6.6%	5.5%	6.0%
HV 20d	21.3%	17.3%	25.5%	25.5%	22.0%
HV 60d	20.7%	19.5%	21.7%	20.2%	21.7%
IV Rank	50.1%	40.4%	61.6%	42.2%	45.3%
IV Percentile	86.4%	75.8%	94.0%	82.9%	81.3%
Term Structure	0.1%	-1.8%	1.8%	-0.3%	1.8%
VWIV	21.9%	18.5%	24.5%	19.7%	23.2%
Skew 25d	4.5%	3.2%	6.7%	3.9%	3.7%
Skew 10d	8.7%	6.2%	12.0%	8.6%	7.1%
Call IV 25d	19.8%	18.2%	22.2%	19.0%	19.0%
Put IV 25d	24.3%	22.5%	27.5%	22.9%	22.7%
Bid-Ask Spread %	21.41	16.03	65.67	19.66	65.67
Gamma HHI	0.16	0.07	0.26	0.16	0.14
Net GEX	-5.4M	-18.9M	12.6M	11.0M	-18.9M
Net DEX	-27.0M	-271.4M	132.8M	-237.0M	114.3M
Net VEX	-1.7M	-1.9M	-1.6M	-1.8M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.69	3.15	0.87	3.15
Total Volume	10,844.316	6,307	28,444	9,443	12,039
Total OI	97,932.421	63,624	122,221	114,678	93,245

Daily Data (19 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
2016-01-04	$159.24	$160.00	20.3%	5.5%	25.5%	42.2%	19.7%	3.9%	-0.3%	11.0M	-237.0M	-1.8M	0.87	19.66	5,052	4,391	58,275	56,403
2016-01-05	$160.11	$160.00	20.1%	5.5%	24.5%	40.9%	18.5%	4.0%	-0.5%	12.6M	-271.4M	-1.8M	0.92	17.45	3,775	3,485	58,322	57,505
2016-01-06	$158.09	$160.00	20.9%	5.5%	24.8%	45.8%	20.1%	4.5%	-0.5%	6.3M	-200.0M	-1.8M	1.02	17.34	4,289	4,372	59,163	58,346
2016-01-07	$154.94	$160.00	22.6%	6.2%	25.0%	56.6%	21.7%	6.7%	-0.4%	-5.7M	-74.6M	-1.7M	1.03	20.54	6,848	7,037	59,398	59,620
2016-01-08	$152.11	$160.00	23.4%	6.6%	17.3%	61.3%	22.6%	4.5%	-0.3%	-5.7M	22.1M	-1.7M	1.15	20.26	4,468	5,122	60,521	61,700
2016-01-11	$154.94	$160.00	22.9%	6.0%	18.3%	58.3%	22.6%	4.4%	-1.8%	-5.3M	-101.1M	-1.7M	0.69	16.75	4,982	3,434	56,377	59,716
2016-01-12	$156.30	$155.00	20.5%	5.8%	18.4%	43.6%	20.6%	3.5%	0.3%	-4.2M	-138.2M	-1.6M	1.25	16.16	4,081	5,095	56,898	60,291
2016-01-13	$152.15	$155.00	22.5%	6.5%	20.0%	55.5%	22.5%	5.6%	1.1%	-10.3M	-8.7M	-1.6M	1.86	22.65	2,813	5,234	57,854	60,692
2016-01-14	$153.13	$155.00	21.3%	5.8%	20.3%	48.6%	20.7%	4.8%	-1.0%	-12.7M	-32.0M	-1.6M	1.37	18.18	4,424	6,044	58,044	61,779
2016-01-15	$150.56	$155.00	23.4%	6.6%	20.4%	61.6%	23.1%	5.2%	-0.5%	-13.6M	34.4M	-1.6M	1.22	16.03	5,632	6,881	58,646	63,279
2016-01-19	$150.74	$155.00	21.8%	6.2%	20.3%	51.1%	20.9%	4.2%	-0.1%	-8.6M	51.8M	-1.6M	0.84	17.72	4,163	3,500	31,979	31,645
2016-01-20	$149.15	$155.00	23.0%	6.6%	19.8%	59.1%	23.2%	4.5%	-0.3%	-8.3M	83.1M	-1.6M	0.85	16.81	4,990	4,259	33,755	33,668
2016-01-21	$150.49	$155.00	22.5%	6.5%	20.0%	55.8%	23.5%	5.1%	-0.2%	-10.3M	53.0M	-1.6M	0.89	17.12	3,341	2,966	34,504	34,887
2016-01-22	$153.43	$155.00	20.0%	5.8%	21.0%	40.4%	20.5%	4.3%	-0.3%	2.5M	-47.3M	-1.6M	1.50	24.89	4,443	6,682	35,258	35,275
2016-01-25	$150.71	$155.00	21.2%	6.2%	21.6%	47.6%	22.6%	4.6%	1.4%	198.0K	123.6K	-1.6M	1.80	23.06	2,721	4,907	33,849	30,702
2016-01-26	$148.89	$155.00	20.9%	6.1%	21.7%	46.1%	24.1%	4.3%	0.9%	-2.9M	43.1M	-1.6M	1.57	19.34	11,072	17,372	34,633	32,628
2016-01-27	$147.65	$152.50	21.0%	6.3%	21.7%	46.4%	24.5%	3.8%	1.6%	-16.6M	132.8M	-1.8M	2.36	18.12	4,018	9,500	42,946	46,968
2016-01-28	$149.50	$150.00	20.7%	6.0%	21.9%	44.8%	22.5%	3.2%	1.2%	-12.4M	62.7M	-1.9M	2.81	19.00	3,312	9,298	43,837	48,108
2016-01-29	$147.91	$152.50	20.8%	6.0%	22.0%	45.3%	23.2%	3.7%	1.8%	-18.9M	114.3M	-1.8M	3.15	65.67	2,898	9,141	44,536	48,709