COST Options History — August 2016

In August 2016, COST traded between $161.86 and $169.05. ATM implied volatility averaged 14.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 6.2% (HV 20d: 8.7%). Max pain ranged from $162.50 to $170.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.47.

Notable Days

  • 2016-08-25: Highest Volume — 23,342 contracts
  • 2016-08-25: Largest IV spike — 16.3% change
  • 2016-08-30: Highest IV Rank — 44.9%
  • 2016-08-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.73$161.86$169.05$167.48$161.91
Max Pain$166.85$162.50$170.00$162.50$165.00
ATM IV14.9%12.7%19.3%14.9%19.2%
Expected Move4.2%3.6%5.0%4.3%4.9%
HV 20d8.7%5.4%18.2%18.2%8.7%
HV 60d14.9%12.9%17.2%17.2%13.2%
IV Rank12.1%0.0%44.9%5.8%44.5%
IV Percentile14.0%0.0%57.1%4.8%56.3%
Term Structure0.7%-0.5%2.4%-0.2%-0.3%
VWIV15.3%13.6%18.7%15.8%18.7%
Skew 25d3.1%2.4%4.0%3.0%3.4%
Skew 10d6.4%4.6%8.2%6.7%6.0%
Call IV 25d13.9%12.1%18.2%14.1%18.0%
Put IV 25d17.0%14.7%21.8%17.0%21.5%
Bid-Ask Spread %22.4711.5683.5714.2918.69
Gamma HHI0.160.120.220.160.14
Net GEX16.5M-19.8M39.3M22.2M-18.6M
Net DEX-248.1M-389.4M69.2M-332.3M58.1M
Net VEX-2.4M-2.6M-2.2M-2.5M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.614.071.623.01
Total Volume10,051.1743,66523,3426,10415,381
Total OI122,007.217107,024140,703116,248140,703

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$167.48$162.5014.9%4.3%18.2%5.8%15.8%3.0%-0.2%22.2M-332.3M-2.5M1.6214.292,3343,77056,70059,548
2016-08-02$166.44$162.5015.7%4.5%18.2%10.7%16.4%3.0%-0.3%18.5M-277.4M-2.5M1.1420.874,5675,22357,36260,805
2016-08-03$166.03$162.5016.8%4.9%18.2%17.8%16.6%3.0%-0.4%18.7M-273.5M-2.5M0.9615.596,2186,00058,43162,121
2016-08-04$166.44$165.0014.3%4.3%8.2%2.1%15.5%2.9%-0.0%21.8M-293.7M-2.4M1.2518.504,0385,06261,08064,442
2016-08-05$167.69$165.0013.7%3.8%7.8%0.0%14.1%2.4%0.1%38.0M-373.8M-2.3M0.9718.073,8673,74460,85664,879
2016-08-08$167.22$165.0013.8%4.1%7.4%0.5%14.0%2.4%0.7%30.1M-323.5M-2.3M1.6121.062,1813,52158,51858,050
2016-08-09$167.73$165.0013.4%3.7%7.4%0.0%14.0%2.6%-0.4%31.8M-348.1M-2.3M1.1113.324,7235,24958,75359,158
2016-08-10$168.09$165.0013.3%3.7%7.3%0.0%13.6%2.6%-0.5%35.1M-337.4M-2.3M1.4714.632,3783,49256,95061,665
2016-08-11$168.11$165.0013.4%3.7%7.3%0.5%14.0%2.5%-0.4%34.1M-329.0M-2.4M0.9715.713,7343,63257,37562,484
2016-08-12$169.05$165.0012.7%3.7%7.3%0.0%14.0%2.7%0.2%39.3M-389.4M-2.2M0.7518.836,2354,67258,88363,275
2016-08-15$168.66$170.0013.2%3.8%6.8%3.3%13.9%2.9%1.5%37.0M-363.9M-2.2M1.1219.672,9503,31658,07162,708
2016-08-16$168.37$170.0013.5%3.8%6.8%4.6%14.3%3.2%1.4%35.5M-344.9M-2.4M1.5914.963,1965,08958,98863,185
2016-08-17$167.96$170.0013.5%3.9%6.9%4.7%14.5%3.1%1.4%27.1M-317.5M-2.2M0.9517.073,1873,02259,43965,126
2016-08-18$167.75$170.0013.5%3.8%6.4%4.7%14.5%3.2%1.4%19.4M-314.1M-2.2M0.6115.022,8891,76160,38466,347
2016-08-19$167.87$170.0013.1%3.6%6.3%2.3%13.6%2.9%1.4%-1.2M-348.9M-2.2M1.0212.294,6004,67861,06766,844
2016-08-22$168.11$170.0013.9%3.8%6.3%7.4%14.4%3.2%2.4%14.6M-257.1M-2.2M1.7513.593,8076,65750,58156,443
2016-08-23$167.53$170.0014.2%3.9%6.4%9.4%14.2%3.6%2.4%9.9M-220.5M-2.4M0.9211.564,8464,46152,28260,028
2016-08-24$167.57$170.0014.5%4.0%5.4%12.5%14.7%3.5%2.3%11.8M-227.0M-2.3M1.7412.601,3392,32654,42360,037
2016-08-25$164.83$170.0016.9%4.6%8.0%28.6%18.0%3.9%2.3%-2.5M-114.6M-2.4M4.0716.944,60318,73954,98961,485
2016-08-26$164.11$167.5018.0%4.9%7.8%36.0%17.6%4.0%2.1%-9.4M-29.2M-2.6M1.8226.485,75210,47156,40873,388
2016-08-29$163.92$167.5018.4%4.7%7.8%38.9%16.9%3.6%0.1%-14.9M-18.8M-2.5M1.3283.524,4835,90953,95275,016
2016-08-30$161.86$165.0019.3%5.0%8.7%44.9%18.3%3.6%0.0%-19.8M69.2M-2.5M2.0283.577,63015,44555,76177,176
2016-08-31$161.91$165.0019.2%4.9%8.7%44.5%18.7%3.4%-0.3%-18.6M58.1M-2.5M3.0118.693,83911,54259,66881,035