COST Options History — April 2016

In April 2016, COST traded between $148.12 and $158.38. ATM implied volatility averaged 17.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.8% (HV 20d: 17.7%). Max pain ranged from $150.00 to $152.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-04-07: Highest Volume — 20,859 contracts
  • 2016-04-29: Largest IV spike — 9.0% change
  • 2016-04-29: Highest IV Rank — 37.2%
  • 2016-04-07: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.56$148.12$158.38$158.38$148.12
Max Pain$150.24$150.00$152.50$152.50$150.00
ATM IV17.0%15.3%19.5%15.3%19.5%
Expected Move4.8%4.4%5.4%4.4%5.2%
HV 20d17.7%14.3%19.4%17.5%17.4%
HV 60d20.4%18.8%21.5%21.5%19.2%
IV Rank21.3%10.8%37.2%10.8%37.2%
IV Percentile40.3%13.9%65.1%13.9%65.1%
Term Structure0.4%-1.0%2.1%0.9%-0.5%
VWIV16.9%15.2%18.3%15.3%18.3%
Skew 25d3.3%2.2%4.0%2.2%4.0%
Skew 10d7.3%4.9%11.3%5.1%7.3%
Call IV 25d15.8%14.3%18.3%14.4%18.3%
Put IV 25d19.1%16.6%22.3%16.6%22.3%
Bid-Ask Spread %15.359.9321.4613.3616.79
Gamma HHI0.150.080.320.310.11
Net GEX4.5M-18.3M33.6M33.6M-13.0M
Net DEX-56.4M-324.4M96.2M-324.4M96.2M
Net VEX-2.0M-2.1M-1.9M-2.1M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.501.631.090.62
Total Volume10,078.7627,08220,8597,42419,266
Total OI112,281.23892,022133,360115,458105,436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$158.38$152.5015.3%4.4%17.5%10.8%15.3%2.2%0.9%33.6M-324.4M-2.1M1.0913.363,5583,86662,17953,279
2016-04-04$157.60$150.0016.3%4.4%17.6%17.4%17.0%3.3%-0.5%32.3M-260.4M-2.0M1.3813.453,7015,10760,72951,678
2016-04-05$155.82$150.0017.1%4.9%16.0%22.1%17.4%3.3%-0.1%24.1M-187.9M-2.0M1.0213.784,3794,47262,24953,340
2016-04-06$156.72$150.0016.2%4.8%14.3%16.4%15.2%3.4%0.0%27.2M-216.7M-2.0M0.5012.936,8723,44462,43454,266
2016-04-07$152.17$150.0017.3%5.4%17.6%23.7%18.3%3.7%0.3%3.5M-18.8M-2.0M1.3211.589,00911,85066,43854,914
2016-04-08$151.32$150.0017.3%5.1%17.7%23.6%18.2%3.2%-1.0%-386.8K20.3M-2.0M1.4711.894,5656,71868,68159,448
2016-04-11$149.06$150.0017.8%5.1%18.4%26.7%18.2%3.5%0.1%-11.4M90.1M-1.9M1.079.934,9745,30467,76457,382
2016-04-12$150.41$150.0017.7%5.1%18.7%26.0%17.7%3.8%0.1%-9.5M46.6M-2.0M0.9111.224,8144,40069,27259,700
2016-04-13$151.76$150.0016.5%5.0%18.8%18.5%17.2%3.2%0.9%-1.5M-13.5M-2.0M0.9113.104,5334,13669,76360,573
2016-04-14$151.25$150.0017.2%4.9%18.9%22.7%16.4%3.5%0.0%-6.5M145.5K-2.0M0.9815.764,4304,35970,69860,717
2016-04-15$153.08$150.0015.6%4.4%19.4%13.1%16.1%2.7%-0.5%3.9M-77.0M-2.0M0.7613.466,7945,16171,65161,709
2016-04-18$153.29$150.0016.2%4.6%19.0%16.3%16.1%3.5%1.5%6.0M-78.9M-2.0M1.0318.194,1474,27445,54646,476
2016-04-19$153.41$150.0015.7%4.5%18.8%13.6%16.5%3.1%2.1%8.3M-82.3M-2.0M1.1117.523,5243,92747,41947,674
2016-04-20$153.05$150.0015.8%4.5%18.2%14.0%16.7%3.2%2.0%7.0M-77.0M-2.0M1.6119.633,4955,63447,66549,019
2016-04-21$151.48$150.0016.5%4.6%18.3%18.3%17.3%3.3%1.6%-1.5M-12.8M-2.0M1.6321.373,4745,65448,59751,751
2016-04-22$149.93$152.5017.4%4.8%18.0%24.1%16.9%3.3%1.5%-18.3M40.0M-2.0M1.5016.503,8395,76549,18954,031
2016-04-25$151.33$150.0017.6%4.7%18.1%25.3%18.0%3.3%0.3%411.4K-8.9M-2.0M1.1717.153,9534,62347,54750,093
2016-04-26$152.45$150.0017.3%4.7%17.2%23.6%16.2%3.2%-0.0%4.3M-59.0M-2.1M0.7215.864,6083,32349,37152,074
2016-04-27$151.69$150.0018.0%4.6%16.1%27.6%16.0%3.8%-0.6%2.9M-34.6M-2.1M0.7521.464,0363,04650,23052,590
2016-04-28$151.40$150.0017.9%4.7%16.0%27.2%16.7%3.9%-0.3%3.2M-25.6M-2.1M1.4517.493,5245,09651,25853,076
2016-04-29$148.12$150.0019.5%5.2%17.4%37.2%18.3%4.0%-0.5%-13.0M96.2M-2.0M0.6216.7911,8587,40851,72853,708