COST Options History — March 2017

In March 2017, COST traded between $164.63 and $177.87. ATM implied volatility averaged 14.6%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.4% (HV 20d: 18.0%). Max pain ranged from $165.00 to $172.50. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.09.

Notable Days

2017-03-03: Highest Volume — 75,843 contracts
2017-03-03: Largest IV drop — 21.1% change
2017-03-01: Highest IV Rank — 56.6%
2017-03-01: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$167.77	$164.63	$177.87	$177.82	$167.98
Max Pain	$165.76	$165.00	$172.50	$170.00	$165.00
ATM IV	14.6%	13.1%	19.6%	19.6%	13.4%
Expected Move	4.2%	3.6%	6.6%	6.6%	3.6%
HV 20d	18.0%	10.5%	20.2%	15.3%	10.5%
HV 60d	15.9%	14.3%	17.6%	14.3%	15.5%
IV Rank	16.0%	3.4%	56.6%	56.6%	6.4%
IV Percentile	13.4%	0.8%	77.8%	77.8%	3.6%
Term Structure	-0.1%	-1.0%	0.8%	-0.7%	0.3%
VWIV	14.9%	12.9%	23.0%	23.0%	12.9%
Skew 25d	1.9%	1.3%	3.0%	2.5%	1.4%
Skew 10d	3.8%	2.8%	5.3%	5.0%	2.8%
Call IV 25d	14.0%	12.6%	18.5%	18.5%	12.7%
Put IV 25d	15.8%	14.1%	20.9%	20.9%	14.2%
Bid-Ask Spread %	10.99	-0.64	69.74	67.93	4.25
Gamma HHI	0.18	0.10	0.58	0.11	0.29
Net GEX	-1.6M	-98.1M	52.6M	10.4M	52.6M
Net DEX	-11.8M	-480.2M	221.1M	-456.4M	-196.4M
Net VEX	-3.0M	-3.2M	-2.9M	-2.9M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.35	1.74	1.00	1.64
Total Volume	19,361.217	8,378	75,843	20,409	11,894
Total OI	165,196.435	148,897	193,372	153,680	167,964

Daily Data (23 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
2017-03-01	$177.82	$170.00	19.6%	6.6%	15.3%	56.6%	23.0%	2.5%	-0.7%	10.4M	-456.4M	-2.9M	1.00	67.93	10,191	10,218	64,717	88,963
2017-03-02	$177.87	$170.00	18.9%	6.3%	14.5%	50.5%	22.8%	2.2%	-0.3%	13.0M	-480.2M	-2.9M	1.40	69.74	21,942	30,686	68,930	93,881
2017-03-03	$170.55	$172.50	14.9%	4.2%	18.3%	18.3%	14.8%	1.6%	0.5%	-98.1M	164.1M	-2.9M	1.66	-0.64	28,512	47,331	82,837	110,535
2017-03-06	$166.57	$165.00	15.4%	4.4%	20.2%	22.5%	15.6%	1.7%	-0.5%	-24.2M	183.7M	-3.0M	1.25	3.85	14,866	18,545	65,874	91,296
2017-03-07	$167.04	$165.00	15.2%	4.4%	20.0%	20.7%	15.1%	1.7%	-0.3%	-19.6M	142.9M	-3.1M	0.91	4.23	11,432	10,390	69,271	96,057
2017-03-08	$166.30	$165.00	14.9%	4.3%	20.0%	18.2%	15.6%	1.9%	-0.1%	-20.0M	184.1M	-3.1M	1.74	2.77	5,583	9,726	73,537	99,936
2017-03-09	$165.82	$165.00	15.4%	4.3%	19.9%	22.2%	14.9%	2.0%	0.2%	-23.4M	203.2M	-3.2M	1.35	4.55	5,798	7,816	74,654	103,660
2017-03-10	$165.32	$165.00	14.7%	4.0%	19.0%	16.2%	14.2%	2.4%	-0.6%	-28.5M	194.2M	-3.0M	1.25	5.08	6,326	7,878	75,563	103,499
2017-03-13	$164.63	$165.00	14.4%	4.1%	18.7%	14.1%	14.4%	2.2%	-0.3%	-16.2M	221.1M	-3.0M	1.11	3.81	5,434	6,022	67,548	100,062
2017-03-14	$165.18	$165.00	14.3%	4.1%	18.8%	13.1%	14.1%	1.9%	-0.1%	-12.8M	162.2M	-2.9M	1.19	3.65	5,703	6,772	68,711	99,166
2017-03-15	$166.26	$165.00	14.7%	4.0%	18.7%	16.3%	14.0%	1.4%	0.2%	-8.9M	66.8M	-2.9M	0.98	6.23	6,063	5,935	69,618	98,361
2017-03-16	$166.73	$165.00	13.5%	3.9%	18.4%	7.0%	13.4%	1.6%	0.4%	-5.0M	33.1M	-2.9M	0.77	4.50	7,392	5,682	70,678	98,413
2017-03-17	$167.86	$165.00	13.1%	3.6%	18.6%	3.4%	13.5%	1.6%	-0.7%	2.1M	-52.8M	-3.0M	0.40	4.94	15,555	6,273	72,423	98,687
2017-03-20	$167.37	$165.00	13.2%	3.8%	18.5%	4.2%	13.3%	1.5%	0.2%	8.3M	-64.0M	-3.0M	0.96	5.17	5,722	5,520	62,061	86,836
2017-03-21	$166.80	$165.00	14.2%	4.1%	18.3%	12.4%	14.8%	2.1%	-0.3%	6.2M	-35.4M	-3.0M	1.00	6.17	7,002	6,980	63,526	88,544
2017-03-22	$167.65	$165.00	13.9%	4.0%	18.5%	10.3%	14.2%	1.9%	0.0%	11.6M	-95.1M	-3.0M	0.90	3.64	4,983	4,508	64,599	89,897
2017-03-23	$166.69	$165.00	13.9%	4.0%	18.5%	10.3%	14.1%	2.1%	-0.8%	3.9M	-29.7M	-3.1M	1.23	10.49	6,021	7,417	65,634	90,362
2017-03-24	$166.15	$165.00	14.3%	4.2%	17.7%	13.3%	14.1%	2.1%	-1.0%	753.0K	17.0M	-3.0M	0.91	10.55	6,375	5,824	65,521	92,715
2017-03-27	$166.20	$165.00	14.3%	4.1%	17.8%	13.5%	13.9%	3.0%	0.8%	-1.9M	-813.3K	-2.9M	0.35	4.71	17,783	6,192	63,897	90,772
2017-03-28	$166.75	$165.00	13.5%	3.9%	17.9%	6.5%	13.9%	1.8%	0.6%	28.1M	-98.0M	-2.9M	0.62	10.89	7,708	4,799	77,981	89,655
2017-03-29	$167.30	$165.00	13.5%	3.8%	17.9%	6.7%	13.8%	1.3%	0.0%	37.3M	-141.9M	-3.0M	1.20	10.99	3,813	4,565	75,425	90,392
2017-03-30	$167.83	$165.00	13.2%	3.7%	18.0%	4.0%	13.2%	1.5%	0.4%	48.7M	-191.9M	-2.9M	1.17	5.30	4,671	5,460	75,932	90,928
2017-03-31	$167.98	$165.00	13.4%	3.6%	10.5%	6.4%	12.9%	1.4%	0.3%	52.6M	-196.4M	-2.9M	1.64	4.25	4,512	7,382	76,304	91,660