COST Options History — February 2016

In February 2016, COST traded between $143.11 and $154.52. ATM implied volatility averaged 23.8%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.5% (HV 20d: 23.3%). Max pain ranged from $150.00 to $150.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2016-02-26: Highest Volume — 22,092 contracts
  • 2016-02-02: Largest IV spike — 9.1% change
  • 2016-02-11: Highest IV Rank — 85.6%
  • 2016-02-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.88$143.11$154.52$151.29$150.30
Max Pain$150.00$150.00$150.00$150.00$150.00
ATM IV23.8%20.2%27.3%20.2%23.1%
Expected Move6.8%5.7%7.9%5.7%7.4%
HV 20d23.3%21.0%25.5%24.0%24.0%
HV 60d22.9%22.2%23.8%22.2%23.8%
IV Rank63.7%41.3%85.6%41.3%59.3%
IV Percentile91.7%75.4%99.2%75.4%88.5%
Term Structure-0.7%-1.6%0.4%-0.4%-0.6%
VWIV24.8%21.0%28.3%21.0%25.6%
Skew 25d4.8%3.7%6.3%3.8%4.4%
Skew 10d10.3%7.3%13.6%8.5%8.5%
Call IV 25d22.0%19.6%25.2%19.6%20.7%
Put IV 25d26.8%23.4%30.4%23.4%25.1%
Bid-Ask Spread %25.3612.4358.6420.6028.03
Gamma HHI0.150.080.790.170.16
Net GEX-12.9M-164.1M10.3M-2.5M10.3M
Net DEX15.8M-178.8M305.3M-14.9M-89.1M
Net VEX-1.9M-2.1M-1.8M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.382.661.310.83
Total Volume11,719.756,89822,09212,22610,212
Total OI98,625.991,078109,62195,377107,530

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$151.29$150.0020.2%5.7%24.0%41.3%21.0%3.8%-0.4%-2.5M-14.9M-1.9M1.3120.605,2946,93245,66249,715
2016-02-02$148.54$150.0022.0%6.2%24.1%52.7%23.7%4.0%-0.6%-16.2M81.0M-1.9M2.0617.803,0956,36447,57250,994
2016-02-03$146.90$150.0023.5%6.5%24.0%62.2%23.1%4.5%-0.4%-22.7M144.2M-1.9M1.1519.256,8437,87348,19253,102
2016-02-04$143.11$150.0023.9%6.5%25.1%64.4%22.8%3.7%-0.6%-34.9M305.3M-1.8M1.8912.435,86811,06150,05056,256
2016-02-05$143.84$150.0023.8%6.7%24.7%63.8%23.9%4.1%-0.5%-164.1M279.5M-1.8M2.0513.003,8517,89851,04258,579
2016-02-08$146.86$150.0025.3%7.2%25.5%72.9%25.9%4.8%-0.1%-8.2M68.1M-1.9M1.5915.244,2986,82044,02947,049
2016-02-09$147.95$150.0025.9%7.1%24.6%77.1%25.7%5.5%-0.9%-6.3M37.5M-2.0M1.3929.304,2225,85844,84248,511
2016-02-10$147.88$150.0025.8%7.1%24.3%75.9%25.9%5.7%-0.7%-5.8M25.8M-2.0M0.7730.584,7923,69145,61449,240
2016-02-11$146.90$150.0027.3%7.9%22.6%85.6%26.1%5.3%-0.2%-7.2M51.2M-2.0M1.2130.353,1203,77846,98249,777
2016-02-12$148.47$150.0025.6%7.0%22.9%74.9%25.6%6.0%-1.6%-1.2M-8.0M-2.0M0.8924.683,7843,37547,19350,281
2016-02-16$148.90$150.0024.2%6.9%22.2%66.1%25.7%5.5%-0.3%-1.4M-15.9M-1.9M1.6622.453,6926,14045,90947,228
2016-02-17$150.75$150.0023.5%6.7%22.6%61.8%24.2%5.6%-0.1%4.7M-84.4M-1.9M0.7924.605,7164,49446,97947,123
2016-02-18$148.52$150.0025.2%7.2%22.9%72.5%28.3%6.3%-0.4%-3.9M-7.5M-1.9M2.6639.625,12213,61548,48848,212
2016-02-19$148.50$150.0024.0%6.9%22.7%65.1%24.7%5.5%0.4%-14.2M28.9M-2.0M1.0558.646,1066,41049,84056,521
2016-02-22$150.12$150.0022.7%6.8%21.9%56.7%25.0%4.3%-1.2%-4.0M-36.0M-2.0M1.1031.975,3555,89744,23550,795
2016-02-23$150.67$150.0022.8%6.8%21.0%57.5%25.2%4.5%-0.9%-1.5M-63.3M-2.0M0.8521.644,1903,57743,83650,728
2016-02-24$153.86$150.0022.0%6.6%21.7%52.9%24.2%4.3%-1.0%7.4M-164.2M-2.0M0.8722.244,9774,32145,21551,510
2016-02-25$154.52$150.0021.8%6.5%21.4%51.4%24.5%4.0%-1.4%9.4M-178.8M-2.0M0.3823.489,9043,75846,00952,321
2016-02-26$149.63$150.0023.1%7.1%24.3%59.1%25.4%4.9%-1.6%4.4M-43.9M-2.0M0.5821.2214,0158,07752,30753,050
2016-02-29$150.30$150.0023.1%7.4%24.0%59.3%25.6%4.4%-0.6%10.3M-89.1M-2.1M0.8328.035,5944,61858,35449,176