COST Options History — November 2016

In November 2016, COST traded between $142.22 and $152.84. ATM implied volatility averaged 20.0%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.9% (HV 20d: 16.1%). Max pain ranged from $150.00 to $150.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.71.

Notable Days

2016-11-30: Highest Volume — 23,802 contracts
2016-11-22: Largest IV drop — 4.8% change
2016-11-07: Highest IV Rank — 55.3%
2016-11-30: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.05	$142.22	$152.84	$146.61	$150.71
Max Pain	$150.00	$150.00	$150.00	$150.00	$150.00
ATM IV	20.0%	18.8%	20.8%	18.8%	20.3%
Expected Move	6.0%	5.6%	7.0%	5.7%	7.0%
HV 20d	16.1%	11.4%	18.4%	11.4%	16.6%
HV 60d	16.8%	15.5%	17.8%	15.5%	15.7%
IV Rank	50.3%	41.8%	55.3%	42.0%	52.2%
IV Percentile	65.9%	51.6%	75.0%	54.0%	68.7%
Term Structure	-0.1%	-1.3%	2.3%	1.7%	-0.7%
VWIV	21.2%	19.9%	25.1%	20.6%	25.1%
Skew 25d	3.4%	2.7%	4.2%	3.5%	3.0%
Skew 10d	7.0%	5.3%	8.5%	7.2%	5.8%
Call IV 25d	18.6%	17.6%	19.7%	17.7%	19.0%
Put IV 25d	22.0%	20.3%	23.6%	21.2%	22.0%
Bid-Ask Spread %	10.90	5.56	17.99	10.35	7.71
Gamma HHI	0.17	0.11	0.24	0.13	0.20
Net GEX	16.5M	-21.5M	34.4M	11.2M	24.1M
Net DEX	-51.0M	-262.7M	372.8M	116.5M	-126.4M
Net VEX	-2.7M	-2.8M	-2.5M	-2.8M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.87	4.48	1.53	4.18
Total Volume	14,575.381	8,627	23,802	16,274	23,802
Total OI	173,208.095	154,731	188,442	172,917	175,919

Daily Data (21 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
2016-11-01	$146.61	$150.00	18.8%	5.7%	11.4%	42.0%	20.6%	3.5%	1.7%	11.2M	116.5M	-2.8M	1.53	10.35	6,429	9,845	88,944	83,973
2016-11-02	$146.63	$150.00	19.1%	5.8%	11.4%	43.9%	21.3%	3.5%	1.8%	12.6M	98.7M	-2.8M	0.87	13.35	10,429	9,075	90,021	89,454
2016-11-03	$144.24	$150.00	19.8%	6.0%	12.6%	48.5%	20.4%	3.9%	2.3%	-18.4M	281.8M	-2.7M	1.12	9.91	9,501	10,615	94,888	93,388
2016-11-04	$142.22	$150.00	20.6%	6.4%	13.1%	54.5%	20.8%	4.2%	2.1%	-21.5M	372.8M	-2.5M	1.15	5.56	8,441	9,683	95,021	93,421
2016-11-07	$143.27	$150.00	20.8%	5.8%	13.5%	55.3%	20.1%	3.9%	-1.2%	-9.8M	255.4M	-2.5M	0.92	7.78	6,009	5,518	79,643	87,744
2016-11-08	$146.47	$150.00	20.4%	5.9%	15.9%	52.6%	21.0%	3.8%	0.0%	2.8M	90.0M	-2.7M	1.38	8.71	5,207	7,176	81,222	89,540
2016-11-09	$146.75	$150.00	19.8%	5.8%	16.0%	49.0%	20.1%	3.6%	0.3%	5.4M	62.5M	-2.7M	1.32	11.27	4,049	5,326	82,378	90,746
2016-11-10	$146.73	$150.00	20.5%	6.0%	16.0%	53.8%	20.4%	4.0%	0.4%	5.8M	59.4M	-2.7M	1.18	12.80	5,652	6,667	82,716	91,963
2016-11-11	$149.50	$150.00	20.2%	5.7%	17.5%	51.3%	20.2%	3.2%	-0.6%	24.3M	-113.2M	-2.8M	1.35	13.84	5,447	7,332	83,447	92,726
2016-11-14	$152.01	$150.00	20.4%	5.9%	18.0%	53.2%	20.5%	3.5%	-1.3%	27.9M	-225.1M	-2.8M	1.06	14.86	6,289	6,648	81,579	90,032
2016-11-15	$151.18	$150.00	20.4%	5.8%	18.1%	53.2%	21.1%	3.5%	-0.5%	23.7M	-177.3M	-2.7M	1.48	9.42	3,475	5,152	81,110	91,418
2016-11-16	$152.26	$150.00	20.3%	5.8%	18.2%	52.3%	20.3%	3.5%	-1.0%	29.8M	-242.8M	-2.7M	0.87	10.57	6,333	5,494	81,422	92,218
2016-11-17	$151.22	$150.00	20.7%	6.0%	18.4%	55.0%	21.2%	3.8%	-0.7%	25.8M	-196.3M	-2.7M	1.23	17.99	4,531	5,551	82,513	91,992
2016-11-18	$150.44	$150.00	20.6%	6.0%	18.3%	54.2%	20.7%	3.4%	-0.7%	22.2M	-159.7M	-2.7M	1.37	14.48	4,105	5,642	83,107	92,882
2016-11-21	$150.94	$150.00	19.7%	5.8%	17.0%	48.3%	20.7%	3.1%	-0.4%	25.1M	-138.7M	-2.6M	4.48	16.91	3,276	14,673	76,428	78,303
2016-11-22	$152.84	$150.00	18.8%	5.6%	17.4%	41.8%	19.9%	2.7%	-0.7%	34.4M	-262.7M	-2.6M	1.24	10.48	8,499	10,568	78,494	84,722
2016-11-23	$151.49	$150.00	19.6%	5.9%	17.7%	47.2%	21.2%	2.8%	-1.2%	30.5M	-195.7M	-2.7M	1.96	8.24	5,934	11,605	81,662	86,347
2016-11-25	$151.88	$150.00	19.8%	6.1%	17.7%	48.6%	22.3%	3.1%	-1.0%	33.9M	-217.7M	-2.7M	2.21	11.99	3,943	8,727	83,835	88,832
2016-11-28	$151.10	$150.00	20.3%	6.6%	17.6%	52.3%	23.5%	3.1%	-0.6%	27.2M	-159.4M	-2.6M	2.36	6.45	4,363	10,298	82,178	88,036
2016-11-29	$151.63	$150.00	19.6%	6.5%	16.8%	47.6%	23.5%	2.9%	-0.5%	30.1M	-194.2M	-2.7M	2.59	6.15	4,112	10,662	83,276	89,830
2016-11-30	$150.71	$150.00	20.3%	7.0%	16.6%	52.2%	25.1%	3.0%	-0.7%	24.1M	-126.4M	-2.6M	4.18	7.71	4,599	19,203	84,277	91,642