COST Options History — September 2016

In September 2016, COST traded between $147.85 and $157.96. ATM implied volatility averaged 20.4%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.6% (HV 20d: 17.9%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-09-29: Highest Volume — 60,351 contracts
  • 2016-09-30: Largest IV drop — 19.3% change
  • 2016-09-13: Highest IV Rank — 67.9%
  • 2016-09-29: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.64$147.85$157.96$155.77$153.07
Max Pain$157.86$155.00$165.00$165.00$155.00
ATM IV20.4%17.8%22.6%20.6%17.8%
Expected Move5.8%4.5%6.8%5.2%5.2%
HV 20d17.9%15.7%19.0%15.7%18.7%
HV 60d16.1%14.9%16.5%15.4%14.9%
IV Rank53.1%34.9%67.9%54.2%34.9%
IV Percentile69.1%43.7%86.9%69.4%43.7%
Term Structure-0.4%-1.3%0.3%-0.2%0.3%
VWIV20.3%15.4%23.8%17.3%18.3%
Skew 25d3.5%2.9%4.2%3.5%2.9%
Skew 10d7.0%5.7%9.8%6.6%6.1%
Call IV 25d19.0%16.7%20.8%18.9%16.7%
Put IV 25d22.5%19.7%24.7%22.4%19.7%
Bid-Ask Spread %16.846.4065.8857.8235.29
Gamma HHI0.140.080.270.160.15
Net GEX-14.1M-32.6M24.6M-29.1M24.6M
Net DEX255.9M-93.2M480.6M350.7M-93.2M
Net VEX-2.7M-3.0M-2.4M-2.4M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.682.870.680.71
Total Volume22,084.33311,14260,35139,96049,718
Total OI174,548.333144,046232,691144,046232,691

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$155.77$165.0020.6%5.2%15.7%54.2%17.3%3.5%-0.2%-29.1M350.7M-2.4M0.6857.8223,83116,12960,44683,600
2016-09-02$157.96$160.0019.0%4.5%16.5%43.2%15.4%3.2%-0.1%-13.7M161.0M-2.6M1.1265.8810,57611,87672,79585,191
2016-09-06$157.79$160.0019.3%5.3%16.5%45.6%19.9%3.3%-0.4%-5.8M137.5M-2.5M2.878.957,27520,90968,20583,627
2016-09-07$155.49$160.0020.0%5.5%16.8%50.0%19.7%3.4%-0.5%-27.9M287.4M-2.6M1.189.835,3016,25970,48993,623
2016-09-08$153.47$160.0020.1%5.4%17.0%50.9%19.5%3.4%-0.6%-32.6M403.8M-2.5M0.777.6310,2077,82672,12395,116
2016-09-09$151.01$160.0022.0%6.1%17.4%63.4%21.1%3.8%-0.6%-23.2M480.6M-2.6M1.408.558,44211,81876,90896,392
2016-09-12$151.82$160.0021.1%6.1%17.4%57.5%21.0%3.8%0.3%-24.0M378.5M-2.6M0.8910.139,9008,86074,18495,420
2016-09-13$150.71$160.0022.6%6.3%17.3%67.9%21.8%4.2%-0.5%-18.3M399.6M-2.7M2.238.614,2729,51678,34796,665
2016-09-14$150.88$160.0022.3%6.2%17.4%65.5%21.6%4.0%-0.5%-17.5M391.8M-2.7M1.726.674,1007,04279,77898,074
2016-09-15$152.89$160.0021.0%5.7%18.7%56.9%20.6%4.1%-1.3%-18.2M297.8M-2.8M1.668.975,2068,63981,21999,765
2016-09-16$152.61$160.0020.7%5.7%18.6%55.1%20.5%4.1%-1.3%10.1M308.8M-2.8M1.618.987,04611,34182,630101,101
2016-09-19$151.87$155.0020.5%5.8%18.5%53.7%20.7%3.9%-0.2%-16.4M210.3M-2.8M1.7110.115,5709,50871,38492,042
2016-09-20$152.42$155.0020.3%5.8%18.6%52.1%20.2%3.7%-0.5%-15.7M179.0M-2.8M2.6410.194,29611,36174,25996,017
2016-09-21$152.74$155.0019.7%5.7%18.8%48.2%20.4%3.6%-0.5%-15.4M166.9M-2.9M2.1012.494,4699,36875,876100,702
2016-09-22$153.32$155.0019.6%5.7%19.0%47.6%19.9%3.1%-0.4%-7.9M119.5M-2.9M1.3111.317,0869,31376,437101,622
2016-09-23$152.73$155.0019.3%5.6%18.4%45.2%19.9%3.3%-0.8%-7.1M140.4M-2.8M1.489.025,0447,48178,457102,811
2016-09-26$151.26$155.0020.0%5.9%18.5%50.4%21.5%3.5%-0.4%-10.6M191.9M-2.8M1.128.316,8647,67874,62596,805
2016-09-27$150.61$155.0020.0%6.0%18.5%49.9%20.4%3.0%-0.1%-12.8M229.3M-2.7M1.618.516,38810,31476,73998,429
2016-09-28$149.25$155.0021.2%6.5%18.3%58.4%22.6%2.9%-0.3%-14.7M281.3M-2.7M1.376.4013,76018,83178,227100,401
2016-09-29$147.85$155.0022.0%6.8%18.4%63.8%23.8%3.4%-0.6%-20.0M351.4M-2.7M1.7239.9922,17338,17884,068108,225
2016-09-30$153.07$155.0017.8%5.2%18.7%34.9%18.3%2.9%0.3%24.6M-93.2M-3.0M0.7135.2929,11820,60099,873132,818