COST Options History — October 2016

In October 2016, COST traded between $147.79 and $151.91. ATM implied volatility averaged 16.6%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.5% (HV 20d: 16.1%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-10-06: Highest Volume — 36,361 contracts
  • 2016-10-31: Largest IV spike — 11.2% change
  • 2016-10-05: Highest IV Rank — 36.2%
  • 2016-10-31: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.15$147.79$151.91$150.93$147.79
Max Pain$150.71$150.00$155.00$155.00$150.00
ATM IV16.6%14.7%18.0%17.8%17.8%
Expected Move4.8%4.4%5.3%5.2%5.3%
HV 20d16.1%11.1%18.4%18.4%11.1%
HV 60d14.9%14.7%15.4%14.9%15.4%
IV Rank26.8%14.2%36.2%34.9%35.1%
IV Percentile29.6%9.9%46.8%43.7%45.2%
Term Structure0.2%-0.9%1.6%0.0%1.6%
VWIV17.2%15.9%19.1%18.1%19.1%
Skew 25d3.1%2.5%4.5%2.7%3.8%
Skew 10d6.0%4.4%7.8%5.3%7.1%
Call IV 25d15.3%13.8%16.5%16.5%16.5%
Put IV 25d18.4%16.5%20.2%19.2%20.2%
Bid-Ask Spread %14.836.3643.6936.6610.15
Gamma HHI0.160.100.560.100.13
Net GEX15.9M-2.5M123.1M7.7M8.3M
Net DEX77.1M-125.1M219.3M93.6M65.7M
Net VEX-2.7M-2.9M-2.5M-2.8M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.251.940.540.35
Total Volume15,560.2387,85336,36128,55326,998
Total OI192,051.429141,588221,857195,404161,507

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$150.93$155.0017.8%5.2%18.4%34.9%18.1%2.7%0.0%7.7M93.6M-2.8M0.5436.6618,50010,05392,356103,048
2016-10-04$150.62$155.0017.9%5.2%18.4%36.0%18.6%2.7%0.0%4.9M108.8M-2.8M0.7640.9912,8249,75894,323106,038
2016-10-05$150.05$155.0018.0%5.1%17.9%36.2%17.6%2.5%-0.3%12.0M129.0M-2.8M1.2943.695,8837,564100,084109,364
2016-10-06$149.47$150.0017.6%5.0%17.4%33.5%17.8%2.5%0.0%17.6M196.6M-2.8M0.2513.6229,0637,298104,163111,100
2016-10-07$149.99$150.0016.9%4.9%16.5%29.2%17.3%2.7%0.4%123.1M138.2M-2.8M1.0113.457,0967,159110,359111,498
2016-10-10$150.32$150.0017.0%4.7%16.4%29.8%17.0%3.9%-0.9%5.6M130.2M-2.7M0.9411.837,3366,86097,136103,199
2016-10-11$151.05$150.0017.1%4.8%16.3%30.5%17.2%4.2%-0.4%12.8M53.0M-2.8M0.868.876,6485,73899,615102,864
2016-10-12$150.67$150.0017.2%4.8%16.3%30.6%17.5%3.2%0.0%12.4M62.0M-2.7M1.298.863,8855,030100,881103,493
2016-10-13$150.44$150.0017.3%4.8%15.6%31.5%17.2%4.5%-0.4%9.8M100.1M-2.7M1.199.414,5025,368101,452105,071
2016-10-14$150.43$150.0016.5%4.7%15.6%26.4%16.2%3.8%-0.1%11.9M94.4M-2.7M1.946.363,7887,356102,107105,718
2016-10-17$148.80$150.0016.5%4.7%15.9%26.2%17.2%3.0%-0.1%-348.4K207.1M-2.5M0.757.107,1855,42498,493101,373
2016-10-18$149.24$150.0016.0%4.6%15.9%22.8%16.6%3.0%0.2%-2.5M190.2M-2.6M1.098.554,3424,746100,126102,537
2016-10-19$149.55$150.0016.2%4.6%15.9%23.9%16.8%2.9%-0.2%3.2M154.1M-2.6M1.1512.135,7486,618100,565102,944
2016-10-20$150.09$150.0015.7%4.5%15.9%20.7%16.6%2.6%-0.3%3.6M123.2M-2.6M1.297.143,8634,970101,780104,944
2016-10-21$149.03$150.0015.3%4.4%16.0%17.8%15.9%2.7%-0.2%8.6M219.3M-2.5M1.628.606,50310,522101,506104,867
2016-10-24$151.91$150.0014.7%4.4%17.2%14.2%15.9%2.7%0.7%11.9M-76.1M-2.6M0.4111.3816,6256,77266,06675,522
2016-10-25$150.81$150.0015.9%4.6%17.4%21.9%16.3%3.1%0.3%19.3M-82.7M-2.8M0.6214.088,6605,33776,73877,525
2016-10-26$151.24$150.0015.5%4.6%17.0%19.1%17.3%2.8%0.8%25.4M-125.1M-2.8M0.9513.005,4595,19981,49579,519
2016-10-27$150.80$150.0015.7%4.7%16.7%20.8%16.9%2.6%1.2%23.8M-110.4M-2.9M1.1413.923,6654,18883,96781,341
2016-10-28$149.94$150.0016.0%4.7%11.1%22.8%17.7%2.8%0.9%15.7M-51.2M-2.9M1.3011.715,3196,91384,44181,955
2016-10-31$147.79$150.0017.8%5.3%11.1%35.1%19.1%3.8%1.6%8.3M65.7M-2.7M0.3510.1519,9857,01380,91280,595