COST Options History — June 2016

In June 2016, COST traded between $151.33 and $158.25. ATM implied volatility averaged 17.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 17.3%). Max pain ranged from $148.00 to $152.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-06-02: Highest Volume — 40,736 contracts
  • 2016-06-24: Largest IV spike — 16.2% change
  • 2016-06-27: Highest IV Rank — 40.6%
  • 2016-06-24: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.94$151.33$158.25$152.41$156.86
Max Pain$150.59$148.00$152.50$148.00$152.50
ATM IV17.5%15.5%20.4%16.7%16.8%
Expected Move5.0%4.2%6.0%4.9%4.9%
HV 20d17.3%9.5%24.0%23.9%9.5%
HV 60d18.7%18.1%19.7%19.7%18.2%
IV Rank23.4%12.2%40.6%19.4%14.1%
IV Percentile38.8%12.7%64.3%33.7%32.1%
Term Structure-0.2%-1.2%0.7%-0.0%0.3%
VWIV18.4%15.1%23.8%17.8%17.4%
Skew 25d4.2%2.8%5.9%3.1%4.3%
Skew 10d9.3%6.1%14.1%7.3%10.1%
Call IV 25d15.8%14.1%18.1%15.6%15.2%
Put IV 25d19.9%17.1%24.0%18.6%19.4%
Bid-Ask Spread %15.107.9123.9618.4918.98
Gamma HHI0.160.100.260.100.12
Net GEX24.8M-208.5K57.9M9.6M14.5M
Net DEX-292.5M-490.3M-95.9M-192.9M-244.0M
Net VEX-2.7M-2.8M-2.6M-2.6M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.512.841.290.51
Total Volume13,254.6827,37340,73622,34822,030
Total OI155,335.636132,830172,964147,202151,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$152.41$148.0016.7%4.9%23.9%19.4%17.8%3.1%-0.0%9.6M-192.9M-2.6M1.2918.499,74812,60064,21182,991
2016-06-02$151.33$150.0016.2%4.8%24.0%16.6%17.0%2.9%0.4%-208.5K-112.5M-2.6M0.9510.3620,90219,83466,37290,471
2016-06-03$151.63$150.0015.9%4.7%21.9%14.6%16.7%2.8%0.6%28.3M-239.0M-2.7M1.069.926,9887,41979,09492,996
2016-06-06$152.22$150.0016.2%4.7%21.6%16.7%15.7%3.8%-0.1%37.2M-253.6M-2.6M0.967.916,7076,41075,54779,751
2016-06-07$152.56$150.0015.7%4.3%21.1%13.4%15.1%3.1%-0.6%39.5M-273.5M-2.6M1.128.505,7806,48777,39581,532
2016-06-08$153.36$150.0015.5%4.2%21.1%12.2%15.7%3.0%-0.9%46.8M-331.3M-2.6M1.448.593,6845,30878,35882,191
2016-06-09$154.00$150.0015.8%4.4%20.2%14.0%16.0%2.9%-0.4%47.3M-378.4M-2.6M1.6511.003,7726,24078,75482,603
2016-06-10$154.80$150.0016.7%4.7%20.2%19.9%16.7%3.7%-0.4%57.9M-398.8M-2.7M1.1610.195,5826,47278,93984,983
2016-06-13$154.65$150.0017.8%5.1%19.1%26.7%20.4%4.8%-0.2%36.2M-366.9M-2.7M1.888.104,9099,22675,74883,115
2016-06-14$155.85$150.0018.8%5.4%19.0%33.0%19.5%5.2%-0.2%33.0M-427.3M-2.8M1.3813.164,7526,54876,06986,373
2016-06-15$154.70$150.0018.3%5.2%18.5%29.7%19.4%5.1%-0.1%38.1M-362.3M-2.8M1.4116.295,1757,28077,94088,922
2016-06-16$156.26$150.0018.6%5.4%16.1%31.6%19.9%5.1%-1.2%27.7M-466.3M-2.8M1.2714.883,2414,13280,42391,868
2016-06-17$156.05$150.0018.6%5.3%16.0%31.2%18.4%4.6%-0.3%13.5M-490.3M-2.7M1.0914.003,9964,35580,50192,463
2016-06-20$156.50$150.0016.9%4.9%15.8%21.0%18.5%4.6%-0.2%14.9M-243.7M-2.6M1.2620.993,2684,11562,17070,660
2016-06-21$157.16$150.0017.2%5.0%15.5%22.9%18.8%3.9%-0.2%17.1M-276.4M-2.6M0.7020.218,1185,67263,10571,512
2016-06-22$158.25$150.0017.9%5.2%15.5%26.9%19.4%4.3%-0.3%24.4M-351.6M-2.7M1.7114.903,8156,51169,37474,469
2016-06-23$157.26$152.5017.3%4.8%15.6%20.7%17.7%4.6%-0.3%21.3M-290.8M-2.7M2.8423.963,1218,86070,36078,017
2016-06-24$155.93$152.5020.1%6.0%11.5%38.7%22.7%5.6%0.7%12.0M-216.0M-2.8M2.5620.924,34611,13971,13481,350
2016-06-27$154.29$152.5020.4%6.0%12.2%40.6%23.8%5.9%0.2%3.0M-95.9M-2.8M1.7419.602,9595,14567,26379,257
2016-06-28$155.70$152.5019.4%5.4%12.4%31.5%19.7%4.6%-0.1%10.2M-185.5M-2.7M1.6620.332,7804,62067,52380,577
2016-06-29$156.85$152.5017.5%4.9%10.0%18.7%18.4%3.6%0.3%13.8M-237.4M-2.6M1.6020.932,9124,64568,12781,466
2016-06-30$156.86$152.5016.8%4.9%9.5%14.1%17.4%4.3%0.3%14.5M-244.0M-2.6M0.5118.9814,6327,39868,86582,545