COST Options History — December 2016

In December 2016, COST traded between $150.49 and $163.66. ATM implied volatility averaged 17.3%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.7% (HV 20d: 15.6%). 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 10 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-12-08: Highest Volume — 65,894 contracts
  • 2016-12-08: Largest IV drop — 18.3% change
  • 2016-12-06: Highest IV Rank — 55.5%
  • 2016-12-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.79$150.49$163.66$151.47$159.85
Max Pain$152.38$150.00$155.00$150.00$155.00
ATM IV17.3%15.4%20.8%20.3%17.8%
Expected Move5.0%4.4%6.9%6.9%5.1%
HV 20d15.6%14.1%16.8%16.7%16.1%
HV 60d15.9%14.8%16.9%15.5%14.9%
IV Rank31.7%18.6%55.5%51.8%35.2%
IV Percentile36.8%13.1%77.8%68.3%47.2%
Term Structure-0.0%-0.7%0.9%-0.1%0.4%
VWIV17.8%15.6%24.6%24.6%17.6%
Skew 25d2.4%1.9%3.2%3.0%3.2%
Skew 10d4.9%3.7%6.5%5.2%6.5%
Call IV 25d16.4%14.5%19.7%19.5%16.3%
Put IV 25d18.7%16.5%22.5%22.5%19.5%
Bid-Ask Spread %7.763.9415.178.5515.17
Gamma HHI0.220.140.490.140.41
Net GEX22.2M-35.7M71.8M19.0M-35.7M
Net DEX-405.4M-604.6M-78.7M-162.2M-279.1M
Net VEX-2.7M-2.8M-2.4M-2.7M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.612.371.140.84
Total Volume19,917.2867,19565,89422,63211,486
Total OI180,143.667157,474196,610185,689186,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$151.47$150.0020.3%6.9%16.7%51.8%24.6%3.0%-0.1%19.0M-162.2M-2.7M1.148.5510,56812,06484,897100,792
2016-12-02$151.96$150.0020.1%6.9%15.3%51.0%24.3%2.8%-0.4%24.4M-175.4M-2.7M1.346.657,90910,62785,291101,971
2016-12-05$151.40$150.0020.4%5.6%14.1%52.7%19.6%2.7%-0.4%16.1M-127.7M-2.6M1.876.396,54312,26077,93191,016
2016-12-06$150.49$150.0020.8%5.6%14.4%55.5%19.6%2.6%-0.6%13.1M-78.7M-2.7M2.357.535,61713,19180,03293,946
2016-12-07$153.54$150.0020.4%5.3%14.1%52.6%18.9%2.4%-0.7%24.8M-263.5M-2.8M0.8410.2720,02316,88083,07997,165
2016-12-08$157.92$150.0016.7%4.5%16.8%27.2%17.4%2.0%-0.1%57.5M-604.6M-2.7M0.619.1840,86225,03292,636101,537
2016-12-09$159.47$150.0015.8%4.4%16.8%21.4%16.7%1.9%0.1%56.4M-597.7M-2.6M1.195.4911,05713,14989,950106,660
2016-12-12$160.15$150.0016.3%4.6%15.9%24.5%16.7%2.1%-0.2%33.3M-532.9M-2.6M1.535.538,62413,20079,46198,242
2016-12-13$159.97$150.0017.0%4.6%15.2%29.3%16.5%2.0%-0.5%31.6M-517.7M-2.6M1.414.588,98712,70580,153101,256
2016-12-14$159.20$150.0016.3%4.6%15.2%24.5%16.6%1.9%-0.2%30.9M-449.7M-2.6M2.374.744,88011,55081,046103,835
2016-12-15$160.34$150.0016.0%4.6%15.2%22.8%16.9%1.9%-0.0%33.2M-534.5M-2.6M1.993.945,41610,77582,418105,712
2016-12-16$160.02$155.0015.6%4.5%14.9%20.0%16.0%2.1%0.1%71.8M-511.6M-2.7M1.904.124,8499,20683,105107,311
2016-12-19$163.50$155.0015.7%4.5%15.9%20.8%15.7%2.0%0.0%22.3M-554.7M-2.4M0.636.9815,4339,77671,56385,911
2016-12-20$163.66$155.0015.4%4.4%16.0%18.7%15.6%2.0%0.1%22.7M-548.5M-2.6M1.456.026,6019,54876,15490,368
2016-12-21$163.14$155.0015.4%4.4%15.9%18.6%15.9%2.0%0.2%15.1M-519.1M-2.6M1.167.073,9434,55877,95294,315
2016-12-22$162.00$155.0016.3%4.7%15.7%24.5%17.4%2.3%-0.2%10.0M-447.1M-2.6M1.5315.096,79710,41478,55994,718
2016-12-23$161.96$155.0016.2%4.6%15.7%23.9%16.7%2.3%0.2%-2.5M-420.8M-2.8M1.818.434,7308,56680,703100,532
2016-12-27$162.37$155.0016.6%4.7%15.4%26.8%17.5%2.6%0.9%11.8M-444.9M-2.7M1.666.773,6666,08976,77397,219
2016-12-28$161.10$155.0017.3%4.9%15.9%31.9%16.5%2.9%0.5%4.8M-368.3M-2.7M0.747.197,7725,71577,95799,914
2016-12-29$161.02$155.0017.5%5.0%15.6%32.9%17.3%3.1%0.6%5.6M-374.5M-2.8M1.4413.172,9474,24882,929101,857
2016-12-30$159.85$155.0017.8%5.1%16.1%35.2%17.6%3.2%0.4%-35.7M-279.1M-2.8M0.8415.176,2335,25383,431102,720