COST Options History — July 2016

In July 2016, COST traded between $155.22 and $168.07. ATM implied volatility averaged 15.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.3% (HV 20d: 17.6%). Max pain ranged from $152.50 to $162.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.13.

Notable Days

2016-07-07: Highest Volume — 49,391 contracts
2016-07-28: Largest IV drop — 8.2% change
2016-07-06: Highest IV Rank — 22.7%
2016-07-01: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$165.17	$155.22	$168.07	$156.25	$167.30
Max Pain	$158.75	$152.50	$162.50	$152.50	$162.50
ATM IV	15.3%	14.0%	18.1%	17.7%	14.3%
Expected Move	4.4%	4.0%	5.2%	5.2%	4.1%
HV 20d	17.6%	9.7%	19.4%	9.7%	18.4%
HV 60d	18.6%	16.9%	19.3%	17.2%	18.1%
IV Rank	6.7%	0.0%	22.7%	19.6%	1.7%
IV Percentile	11.3%	0.0%	45.6%	41.3%	1.2%
Term Structure	0.1%	-0.3%	0.9%	-0.3%	0.5%
VWIV	16.1%	14.2%	18.2%	17.9%	15.3%
Skew 25d	3.4%	2.7%	4.3%	4.0%	2.7%
Skew 10d	7.5%	5.8%	9.3%	9.2%	6.3%
Call IV 25d	13.9%	12.9%	16.2%	15.7%	13.3%
Put IV 25d	17.3%	16.0%	20.1%	19.7%	16.0%
Bid-Ask Spread %	26.56	12.65	73.02	62.11	15.39
Gamma HHI	0.21	0.15	0.41	0.16	0.15
Net GEX	28.1M	18.3M	55.6M	24.9M	31.5M
Net DEX	-452.8M	-708.5M	-157.5M	-256.2M	-342.5M
Net VEX	-2.4M	-2.6M	-2.3M	-2.6M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.25	2.28	1.33	1.78
Total Volume	12,174.65	5,024	49,391	15,199	7,217
Total OI	136,841.4	108,907	162,065	160,240	120,106

Daily Data (20 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
2016-07-01	$156.25	$152.50	17.7%	5.2%	9.7%	19.6%	17.9%	4.0%	-0.3%	24.9M	-256.2M	-2.6M	1.33	62.11	6,526	8,673	76,777	83,463
2016-07-05	$155.22	$155.00	17.9%	5.0%	10.1%	21.4%	17.7%	4.3%	-0.2%	18.3M	-157.5M	-2.6M	1.23	19.77	4,143	5,078	74,610	80,961
2016-07-06	$156.25	$155.00	18.1%	5.1%	10.3%	22.7%	18.2%	3.7%	-0.3%	23.2M	-215.2M	-2.6M	1.40	21.87	4,401	6,179	75,042	82,162
2016-07-07	$163.71	$155.00	16.9%	4.6%	19.1%	14.2%	17.0%	3.4%	-0.2%	42.8M	-690.9M	-2.4M	0.62	14.09	30,532	18,859	76,056	84,285
2016-07-08	$165.40	$155.00	15.8%	4.4%	19.3%	7.0%	15.5%	3.4%	-0.3%	55.6M	-708.5M	-2.4M	0.74	14.55	10,821	7,995	74,305	87,280
2016-07-11	$166.74	$160.00	14.9%	4.4%	19.4%	1.2%	15.9%	3.6%	0.5%	34.8M	-690.4M	-2.4M	0.57	17.03	13,107	7,518	72,067	81,164
2016-07-12	$166.23	$160.00	15.5%	4.4%	19.4%	5.4%	15.8%	3.5%	-0.3%	34.4M	-668.8M	-2.3M	1.22	12.65	4,789	5,847	74,006	83,483
2016-07-13	$166.95	$160.00	14.4%	4.4%	19.4%	0.0%	15.4%	3.4%	0.9%	37.3M	-694.5M	-2.3M	1.22	17.46	4,705	5,747	75,127	84,733
2016-07-14	$167.05	$160.00	14.4%	4.3%	19.0%	0.0%	15.3%	3.3%	0.8%	35.4M	-677.5M	-2.4M	0.75	19.35	5,791	4,358	75,546	86,315
2016-07-15	$166.34	$160.00	14.2%	4.2%	19.0%	0.0%	14.2%	3.8%	0.6%	18.6M	-650.9M	-2.4M	0.52	19.21	7,172	3,739	74,676	87,389
2016-07-18	$167.73	$160.00	14.0%	4.0%	19.1%	0.0%	15.5%	3.1%	0.1%	24.5M	-402.4M	-2.4M	0.93	30.56	3,775	3,500	53,761	55,146
2016-07-19	$168.02	$160.00	14.4%	4.1%	19.1%	2.3%	15.2%	3.1%	-0.1%	23.5M	-404.9M	-2.4M	0.81	31.76	4,891	3,979	53,525	56,671
2016-07-20	$168.07	$160.00	14.5%	4.2%	19.1%	3.1%	15.5%	3.2%	-0.1%	23.9M	-409.6M	-2.4M	1.75	21.02	1,824	3,200	55,571	57,830
2016-07-21	$166.88	$160.00	14.6%	4.2%	19.4%	3.9%	15.9%	3.0%	0.1%	21.1M	-357.5M	-2.4M	2.28	24.49	2,407	5,478	55,813	58,491
2016-07-22	$167.25	$160.00	14.2%	4.1%	19.1%	0.9%	18.2%	3.1%	0.0%	23.7M	-376.9M	-2.4M	1.31	72.33	2,532	3,311	56,659	59,773
2016-07-25	$167.77	$160.00	15.1%	4.3%	18.6%	7.1%	16.0%	3.0%	0.0%	23.2M	-368.2M	-2.5M	0.25	73.02	11,772	2,972	55,013	57,477
2016-07-26	$167.72	$160.00	15.1%	4.3%	17.9%	7.1%	15.1%	3.4%	0.2%	25.8M	-366.6M	-2.5M	0.65	13.05	4,502	2,927	58,329	58,073
2016-07-27	$166.18	$160.00	15.9%	4.6%	18.4%	12.0%	16.1%	3.3%	0.1%	20.2M	-306.1M	-2.5M	1.63	16.93	2,444	3,973	58,020	58,770
2016-07-28	$166.41	$160.00	14.6%	4.2%	18.4%	3.6%	15.9%	3.3%	0.6%	20.0M	-311.3M	-2.5M	1.53	14.56	2,690	4,119	58,472	59,881
2016-07-29	$167.30	$162.50	14.3%	4.1%	18.4%	1.7%	15.3%	2.7%	0.5%	31.5M	-342.5M	-2.5M	1.78	15.39	2,600	4,617	58,960	61,146