COST Options History — January 2017

In January 2017, COST traded between $159.50 and $164.23. ATM implied volatility averaged 16.9%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.3% (HV 20d: 12.5%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-01-18: Highest Volume — 22,173 contracts
  • 2017-01-30: Largest IV spike — 10.7% change
  • 2017-01-03: Highest IV Rank — 44.1%
  • 2017-01-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.61$159.50$164.23$159.50$163.71
Max Pain$159.50$155.00$160.00$155.00$160.00
ATM IV16.9%14.8%19.1%19.1%18.4%
Expected Move4.8%4.3%5.6%5.6%4.8%
HV 20d12.5%10.4%16.5%16.2%11.3%
HV 60d15.1%14.7%15.5%14.8%14.7%
IV Rank28.7%14.3%44.1%44.1%38.9%
IV Percentile34.9%10.3%59.1%58.7%59.1%
Term Structure0.7%-0.5%2.9%-0.1%-0.3%
VWIV17.5%15.5%19.8%19.8%17.6%
Skew 25d2.8%2.1%3.6%2.9%2.6%
Skew 10d6.1%4.4%8.0%5.7%5.4%
Call IV 25d15.9%14.2%18.1%18.1%17.4%
Put IV 25d18.7%16.8%21.0%21.0%20.0%
Bid-Ask Spread %13.188.0120.6918.1611.17
Gamma HHI0.200.130.420.130.22
Net GEX21.1M8.7M68.8M12.9M22.5M
Net DEX-330.0M-550.2M-66.9M-268.1M-164.1M
Net VEX-2.6M-2.8M-2.5M-2.8M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.411.960.740.89
Total Volume12,687.88,21422,17319,59311,981
Total OI165,675.15109,086211,653177,023128,054

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$159.50$155.0019.1%5.6%16.2%44.1%19.8%2.9%-0.1%12.9M-268.1M-2.8M0.7418.1611,2878,30679,34097,683
2017-01-04$159.85$155.0018.5%5.4%16.0%39.8%19.4%2.8%0.1%18.1M-297.0M-2.7M1.3218.254,5125,96884,172101,996
2017-01-05$162.73$160.0016.9%4.6%16.5%28.6%17.0%2.3%0.3%42.1M-491.1M-2.7M1.148.017,1348,12985,365103,834
2017-01-06$162.86$160.0016.8%4.7%15.4%28.1%17.3%2.1%0.1%68.8M-521.2M-2.6M1.1912.867,1998,53586,878105,305
2017-01-09$161.00$160.0017.8%5.1%13.0%35.4%17.8%2.8%-0.2%12.3M-322.6M-2.7M1.4811.624,6696,93180,023103,460
2017-01-10$161.79$160.0017.5%5.1%12.7%33.3%18.5%2.7%0.3%14.0M-371.0M-2.6M1.859.893,0535,63481,415105,509
2017-01-11$161.34$160.0017.1%5.1%12.7%30.3%17.6%2.6%0.6%12.7M-356.2M-2.6M1.5713.103,1975,01781,923105,699
2017-01-12$161.79$160.0017.2%5.1%12.7%30.8%18.1%2.9%0.7%12.8M-384.7M-2.6M1.5910.583,2665,20882,607106,780
2017-01-13$161.96$160.0016.7%4.9%12.5%27.7%16.7%3.0%1.1%14.5M-401.4M-2.5M1.559.304,1056,38282,930107,412
2017-01-17$163.80$160.0016.8%4.8%12.9%28.4%18.8%3.6%-0.3%14.5M-502.5M-2.5M1.128.507,0417,86580,585106,546
2017-01-18$164.19$160.0016.2%4.6%12.9%24.0%16.3%3.3%-0.0%18.3M-542.7M-2.5M0.4112.1215,7126,46183,434108,300
2017-01-19$163.76$160.0016.1%4.6%10.5%23.2%17.3%3.5%-0.2%29.8M-550.2M-2.6M1.439.916,7849,72294,417110,088
2017-01-20$164.00$160.0015.3%4.4%10.5%17.8%17.0%3.1%-0.0%16.4M-541.4M-2.6M0.9312.375,7605,35396,867114,786
2017-01-23$163.02$160.0016.1%4.7%10.6%23.1%16.9%3.0%2.1%13.7M-132.6M-2.6M0.8017.655,8804,72753,00856,078
2017-01-24$163.68$160.0016.0%4.6%10.4%22.6%16.8%2.5%2.2%21.2M-173.8M-2.6M1.9620.693,5556,96655,68357,818
2017-01-25$164.04$160.0014.8%4.3%10.4%14.3%16.6%2.6%2.9%23.7M-184.8M-2.7M0.8614.374,9544,27656,97060,244
2017-01-26$164.23$160.0015.3%4.4%10.4%17.9%15.5%2.4%2.4%28.9M-206.1M-2.7M0.6817.956,3764,36459,34661,118
2017-01-27$161.81$160.0016.5%4.6%11.4%26.4%16.9%2.6%2.4%8.7M-66.9M-2.7M1.2814.267,4389,50261,00562,235
2017-01-30$163.07$160.0018.3%5.0%11.7%38.4%18.0%2.9%-0.5%15.6M-122.5M-2.8M0.9712.835,3365,17160,21264,378
2017-01-31$163.71$160.0018.4%4.8%11.3%38.9%17.6%2.6%-0.3%22.5M-164.1M-2.8M0.8911.176,3355,64661,95166,103