COST Options History — May 2016

In May 2016, COST traded between $141.00 and $151.54. ATM implied volatility averaged 20.9%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.1% (HV 20d: 19.8%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.44.

Notable Days

2016-05-25: Highest Volume — 77,497 contracts
2016-05-26: Largest IV drop — 20.6% change
2016-05-18: Highest IV Rank — 71.2%
2016-05-18: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$146.54	$141.00	$151.54	$150.83	$148.97
Max Pain	$148.43	$145.00	$150.00	$150.00	$147.00
ATM IV	20.9%	16.7%	25.0%	19.1%	17.3%
Expected Move	5.9%	4.7%	7.2%	5.3%	5.0%
HV 20d	19.8%	18.0%	24.7%	18.9%	22.4%
HV 60d	19.2%	18.3%	19.8%	18.8%	19.6%
IV Rank	45.7%	19.9%	71.2%	34.5%	23.2%
IV Percentile	71.3%	35.3%	96.0%	61.1%	41.3%
Term Structure	-0.5%	-1.5%	0.1%	-0.1%	-0.4%
VWIV	21.1%	17.1%	25.0%	20.1%	17.9%
Skew 25d	3.9%	2.9%	4.8%	3.7%	3.5%
Skew 10d	7.7%	5.9%	9.3%	8.2%	6.9%
Call IV 25d	19.3%	15.4%	23.1%	17.3%	16.0%
Put IV 25d	23.1%	18.3%	27.2%	20.9%	19.5%
Bid-Ask Spread %	20.56	9.75	56.75	16.21	56.75
Gamma HHI	0.13	0.08	0.61	0.10	0.10
Net GEX	-8.4M	-34.7M	99.4M	4.3M	-2.8M
Net DEX	115.4M	-364.3M	442.1M	-25.1M	-37.0M
Net VEX	-2.2M	-2.5M	-2.1M	-2.1M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.76	2.45	0.90	2.22
Total Volume	22,716.905	10,761	77,497	18,097	16,952
Total OI	136,315.095	107,368	200,311	107,368	140,817

Daily Data (21 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
2016-05-02	$150.83	$150.00	19.1%	5.3%	18.9%	34.5%	20.1%	3.7%	-0.1%	4.3M	-25.1M	-2.1M	0.90	16.21	9,514	8,583	54,032	53,336
2016-05-03	$151.48	$150.00	18.8%	5.2%	18.8%	32.7%	18.5%	3.4%	-0.2%	7.1M	-54.2M	-2.2M	0.76	14.88	6,512	4,940	56,722	58,085
2016-05-04	$151.54	$150.00	19.0%	5.1%	18.6%	34.3%	18.3%	3.9%	-0.0%	8.7M	-57.4M	-2.2M	0.97	19.54	7,031	6,825	58,038	59,623
2016-05-05	$147.61	$150.00	20.2%	5.4%	18.0%	41.4%	20.0%	3.6%	-0.6%	-14.7M	153.7M	-2.2M	0.93	11.85	14,376	13,355	60,949	62,577
2016-05-06	$146.34	$150.00	20.6%	5.8%	18.1%	44.0%	20.7%	3.6%	-0.6%	-25.3M	199.7M	-2.2M	1.54	10.43	7,194	11,068	63,076	66,991
2016-05-09	$148.54	$150.00	20.5%	5.6%	18.3%	43.3%	20.8%	4.0%	-1.0%	-11.6M	63.0M	-2.2M	1.01	16.45	7,127	7,164	56,695	65,940
2016-05-10	$149.31	$150.00	20.8%	5.6%	18.1%	45.0%	21.2%	3.6%	-1.3%	-9.9M	43.0M	-2.3M	1.36	16.55	4,566	6,195	57,994	69,260
2016-05-11	$147.15	$150.00	21.4%	6.2%	18.4%	48.7%	20.9%	3.8%	0.1%	-19.3M	151.4M	-2.3M	1.59	11.87	4,162	6,635	58,263	70,193
2016-05-12	$146.76	$150.00	21.7%	6.2%	18.4%	50.8%	22.1%	3.6%	-0.0%	-23.6M	172.2M	-2.3M	1.87	14.13	4,204	7,880	58,943	72,761
2016-05-13	$144.50	$150.00	23.6%	6.5%	18.3%	62.6%	22.7%	4.3%	-1.5%	-31.2M	279.9M	-2.3M	1.95	13.73	5,429	10,600	59,377	73,451
2016-05-16	$145.85	$150.00	23.3%	6.6%	18.8%	60.4%	22.5%	4.1%	-1.2%	-30.5M	214.4M	-2.3M	2.06	10.79	5,915	12,169	57,830	74,489
2016-05-17	$144.01	$150.00	23.5%	6.7%	19.1%	62.2%	22.2%	4.2%	-0.5%	-32.2M	295.2M	-2.3M	1.57	15.98	4,619	7,274	60,091	76,889
2016-05-18	$141.00	$150.00	25.0%	7.2%	20.1%	71.2%	25.0%	4.2%	-1.0%	-30.5M	442.1M	-2.1M	2.45	11.52	8,827	21,583	60,854	78,623
2016-05-19	$142.88	$150.00	22.9%	6.6%	20.8%	57.9%	24.4%	4.4%	0.1%	-34.7M	348.9M	-2.2M	1.51	10.03	6,933	10,475	63,412	85,858
2016-05-20	$142.63	$145.00	21.9%	6.3%	20.7%	52.2%	21.9%	4.1%	-0.5%	-30.5M	347.7M	-2.2M	1.16	10.46	7,249	8,390	64,854	85,724
2016-05-23	$141.99	$145.00	22.5%	6.6%	20.2%	56.0%	22.6%	4.8%	-1.1%	-15.7M	210.9M	-2.1M	1.26	9.75	6,652	8,408	55,169	68,012
2016-05-24	$142.54	$145.00	21.7%	6.6%	20.0%	50.6%	23.5%	4.4%	-0.2%	-15.6M	190.2M	-2.2M	2.05	42.13	8,478	17,413	57,016	71,502
2016-05-25	$144.62	$145.00	21.2%	6.3%	20.9%	47.9%	23.0%	3.7%	-0.8%	-13.9M	122.8M	-2.3M	1.32	46.01	33,422	44,075	60,157	77,011
2016-05-26	$149.65	$145.00	16.9%	4.8%	24.7%	20.6%	17.2%	3.4%	-0.1%	46.4M	-364.3M	-2.4M	1.02	17.40	32,419	32,972	82,237	105,455
2016-05-27	$149.07	$145.00	16.7%	4.7%	23.4%	19.9%	17.1%	2.9%	-0.3%	99.4M	-273.6M	-2.5M	0.78	55.21	16,597	12,873	86,609	113,702
2016-05-31	$148.97	$147.00	17.3%	5.0%	22.4%	23.2%	17.9%	3.5%	-0.4%	-2.8M	-37.0M	-2.5M	2.22	56.75	5,265	11,687	63,391	77,426