COST Options History — February 2017

In February 2017, COST traded between $162.14 and $177.53. ATM implied volatility averaged 17.2%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.2% (HV 20d: 16.0%). Max pain ranged from $160.00 to $170.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.40.

Notable Days

  • 2017-02-02: Highest Volume — 30,920 contracts
  • 2017-02-28: Largest IV spike — 7.5% change
  • 2017-02-28: Highest IV Rank — 55.9%
  • 2017-02-28: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$172.45$162.14$177.53$162.14$177.26
Max Pain$166.05$160.00$170.00$160.00$170.00
ATM IV17.2%15.9%19.5%18.7%19.5%
Expected Move5.0%4.6%6.4%4.7%6.4%
HV 20d16.0%11.9%17.0%11.9%15.3%
HV 60d14.7%14.2%15.5%14.4%14.3%
IV Rank34.3%22.2%55.9%41.4%55.9%
IV Percentile44.9%22.6%76.2%61.5%76.2%
Term Structure-0.4%-1.0%0.2%-0.4%-0.7%
VWIV18.0%16.0%23.1%18.6%23.1%
Skew 25d2.2%1.8%2.8%2.8%2.3%
Skew 10d4.8%3.7%5.6%5.3%5.3%
Call IV 25d16.4%15.2%18.5%17.7%18.5%
Put IV 25d18.6%17.1%20.8%20.5%20.8%
Bid-Ask Spread %9.555.5918.8314.218.64
Gamma HHI0.260.120.520.230.12
Net GEX41.1M12.0M70.1M12.0M16.3M
Net DEX-524.4M-861.0M-73.6M-73.6M-446.8M
Net VEX-2.7M-2.9M-2.6M-2.7M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.233.561.713.08
Total Volume15,621.7898,68130,92013,04823,527
Total OI142,335.632131,596168,787131,662142,941

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$162.14$160.0018.7%4.7%11.9%41.4%18.6%2.8%-0.4%12.0M-73.6M-2.7M1.7114.214,8198,22964,71566,947
2017-02-02$167.92$160.0017.7%4.8%17.0%34.4%17.9%2.4%-0.3%53.2M-478.0M-2.6M0.848.9516,80514,11566,02870,509
2017-02-03$168.45$165.0017.2%4.7%16.0%30.8%16.0%2.1%0.1%46.7M-490.7M-2.7M0.6910.369,0186,21968,12972,124
2017-02-06$166.80$165.0017.1%4.9%16.6%29.9%17.0%2.5%0.2%42.5M-317.5M-2.7M1.3111.613,9415,16266,17667,447
2017-02-07$167.39$165.0016.9%4.9%15.9%29.2%17.1%2.3%0.2%44.4M-340.0M-2.7M1.1210.515,3405,96567,26068,931
2017-02-08$168.37$165.0016.8%4.7%15.9%27.9%16.9%2.2%-0.5%54.8M-389.5M-2.7M1.2411.193,8824,79965,06871,674
2017-02-09$170.94$165.0016.7%4.7%16.5%27.6%16.9%1.9%-0.4%60.3M-543.7M-2.7M0.757.107,7225,82165,63571,887
2017-02-10$172.02$165.0015.9%4.6%16.5%22.2%16.4%1.8%0.2%61.3M-600.7M-2.6M0.238.6020,8464,86668,09873,007
2017-02-13$171.97$165.0016.3%4.7%16.5%28.2%16.5%2.2%-0.9%65.8M-629.3M-2.6M0.658.587,9685,20972,72670,893
2017-02-14$173.38$165.0016.3%4.6%16.4%28.6%17.1%2.1%-0.1%64.4M-724.5M-2.6M0.867.467,7946,71274,74672,384
2017-02-15$174.81$165.0016.5%4.7%16.5%30.4%17.1%2.2%-0.9%70.1M-815.4M-2.6M2.4710.075,43513,41978,59475,758
2017-02-16$175.49$165.0016.6%4.8%16.3%31.6%17.1%2.0%-0.6%59.1M-826.2M-2.7M1.238.145,4876,76379,34685,853
2017-02-17$175.83$165.0016.8%4.8%16.3%33.2%17.1%1.9%-0.3%20.0M-861.0M-2.7M0.945.597,1646,76480,01988,768
2017-02-21$176.85$170.0016.9%5.0%15.9%34.0%18.4%1.9%-0.6%22.9M-525.1M-2.6M1.306.856,0927,93159,25172,345
2017-02-22$176.46$170.0017.0%5.0%16.1%35.3%18.4%2.2%-0.6%21.3M-488.9M-2.8M3.569.454,10814,62360,97376,028
2017-02-23$175.55$170.0017.9%5.5%16.4%42.3%20.1%2.5%-0.6%12.9M-421.3M-2.9M2.4118.833,4298,27161,31377,895
2017-02-24$177.53$170.0018.1%5.5%16.6%43.8%20.2%2.5%-1.0%36.9M-520.1M-2.8M1.599.084,8077,63962,22581,671
2017-02-27$177.48$170.0018.2%5.9%15.2%44.8%20.7%2.5%-0.1%16.4M-471.6M-2.8M0.526.2710,5925,53159,73177,282
2017-02-28$177.26$170.0019.5%6.4%15.3%55.9%23.1%2.3%-0.7%16.3M-446.8M-2.9M3.088.645,77317,75463,63979,302