COST Options History — March 2016

In March 2016, COST traded between $147.70 and $157.90. ATM implied volatility averaged 17.8%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.9% (HV 20d: 20.7%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2016-03-03: Highest Volume — 38,882 contracts
  • 2016-03-03: Largest IV drop — 14.8% change
  • 2016-03-01: Highest IV Rank — 62.1%
  • 2016-03-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.97$147.70$157.90$150.26$157.90
Max Pain$151.02$150.00$155.00$150.00$152.50
ATM IV17.8%14.8%23.5%23.5%15.5%
Expected Move5.2%4.3%7.9%7.9%4.5%
HV 20d20.7%17.2%22.6%22.6%18.0%
HV 60d21.9%21.0%23.8%23.8%21.6%
IV Rank26.3%7.9%62.1%62.1%12.5%
IV Percentile48.2%4.4%91.3%91.3%21.0%
Term Structure0.2%-0.9%1.0%-0.7%0.6%
VWIV18.6%15.1%28.0%28.0%15.8%
Skew 25d3.7%2.9%4.5%4.5%3.2%
Skew 10d7.9%5.5%10.7%10.0%6.4%
Call IV 25d16.3%13.6%21.4%21.4%13.9%
Put IV 25d20.0%16.4%25.9%25.9%17.1%
Bid-Ask Spread %16.746.6970.2036.7217.31
Gamma HHI0.200.090.360.150.27
Net GEX20.9M-3.4M45.7M9.7M31.7M
Net DEX-155.1M-302.3M34.7M-92.7M-302.3M
Net VEX-2.0M-2.1M-1.8M-2.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.871.971.441.05
Total Volume12,600.3185,87938,88217,08811,138
Total OI111,487.27396,435136,482110,475113,159

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$150.26$150.0023.5%7.9%22.6%62.1%28.0%4.5%-0.7%9.7M-92.7M-2.1M1.4436.726,99210,09660,29250,183
2016-03-02$152.72$150.0022.3%7.4%22.2%54.6%26.9%4.3%-0.4%18.0M-187.2M-2.1M1.5270.2010,68016,18562,01155,636
2016-03-03$151.30$155.0019.0%5.5%22.1%34.0%19.1%3.3%0.8%17.4M-111.5M-2.0M1.2812.9217,07421,80866,33664,179
2016-03-04$150.97$155.0018.2%5.3%19.6%28.9%17.8%3.4%0.5%7.4M-126.5M-2.0M1.3810.677,51210,34067,70368,779
2016-03-07$147.70$155.0018.9%5.3%21.5%33.6%18.9%3.6%-0.4%-3.4M34.7M-1.9M1.8711.704,3558,14354,20452,810
2016-03-08$151.07$150.0019.1%5.5%21.7%34.4%18.9%3.5%-0.2%9.5M-83.7M-2.0M1.2410.965,8367,26255,10354,036
2016-03-09$152.82$150.0019.0%5.1%21.9%34.0%18.9%3.8%-0.9%17.8M-158.9M-2.0M1.4011.095,1567,21355,87154,680
2016-03-10$152.63$150.0018.7%5.1%21.9%31.9%19.3%4.0%-0.8%16.9M-138.9M-2.0M1.669.985,2708,74556,05655,596
2016-03-11$152.50$150.0018.2%5.4%21.7%29.2%18.9%4.3%0.8%32.5M-142.3M-1.9M1.299.044,2385,45956,61254,537
2016-03-14$153.01$150.0017.6%5.0%21.5%25.6%17.8%4.2%1.0%19.4M-146.8M-1.9M1.479.642,6303,87754,49450,849
2016-03-15$154.12$150.0017.4%5.0%21.5%24.1%18.5%3.9%0.3%33.7M-225.0M-2.0M0.946.694,3384,07863,56151,556
2016-03-16$154.02$150.0016.5%4.7%21.2%18.3%18.3%4.3%0.4%36.4M-222.7M-2.0M1.3511.792,6043,52463,52951,581
2016-03-17$154.52$150.0016.5%4.7%20.3%18.3%16.6%3.4%1.0%45.7M-246.0M-2.0M1.308.592,5573,32264,02151,789
2016-03-18$152.97$150.0016.3%4.6%20.8%17.3%16.4%3.8%0.8%25.0M-186.0M-1.9M1.1810.903,5204,17164,04851,919
2016-03-21$154.15$150.0016.3%4.6%20.6%17.4%16.9%3.6%0.2%21.3M-159.0M-1.9M1.0219.073,3793,44554,84441,591
2016-03-22$152.12$150.0016.6%4.8%21.2%19.1%17.1%3.7%-0.1%15.8M-102.6M-1.8M1.8217.413,4416,27856,51342,471
2016-03-23$153.53$152.5016.6%4.8%20.1%19.3%16.6%3.2%0.1%18.8M-145.6M-1.9M0.9216.064,3634,00657,41545,404
2016-03-24$151.44$152.5016.9%4.8%20.6%20.9%17.5%3.6%-0.3%10.6M-68.5M-1.9M1.9714.514,2858,42358,54746,318
2016-03-28$152.62$150.0016.8%5.0%17.2%20.5%18.1%3.8%0.7%13.7M-102.2M-1.9M1.3916.393,5814,98857,91948,032
2016-03-29$155.23$150.0015.9%4.6%18.1%15.0%16.7%3.4%0.8%25.4M-195.9M-2.0M1.0916.994,0864,43958,96049,427
2016-03-30$157.63$150.0014.8%4.3%18.7%7.9%15.1%2.9%0.8%35.3M-301.6M-2.0M0.8719.657,6916,67959,96950,180
2016-03-31$157.90$152.5015.5%4.5%18.0%12.5%15.8%3.2%0.6%31.7M-302.3M-2.1M1.0517.315,4375,70161,38551,774