COST Options History — May 2017

In May 2017, COST traded between $169.52 and $182.31. ATM implied volatility averaged 16.5%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.5% (HV 20d: 18.0%). Max pain ranged from $163.00 to $175.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-05-25: Highest Volume — 55,866 contracts
  • 2017-05-08: Largest IV spike — 46.9% change
  • 2017-05-09: Highest IV Rank — 89.6%
  • 2017-05-10: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.62$169.52$182.31$178.17$180.07
Max Pain$167.41$163.00$175.00$170.00$170.00
ATM IV16.5%12.6%23.7%16.6%13.4%
Expected Move4.6%3.4%7.1%4.0%3.9%
HV 20d18.0%10.4%20.5%11.1%20.1%
HV 60d15.6%13.6%16.9%13.8%13.6%
IV Rank32.2%0.0%89.6%32.3%7.3%
IV Percentile43.3%0.0%99.6%45.2%4.0%
Term Structure-1.5%-28.8%30.4%-0.4%-0.3%
VWIV16.6%12.7%22.3%14.1%13.9%
Skew 25d0.6%-8.8%2.2%2.2%1.8%
Skew 10d2.6%-7.4%5.3%5.3%4.0%
Call IV 25d16.3%12.0%25.4%15.6%12.7%
Put IV 25d16.9%13.2%21.1%17.8%14.5%
Bid-Ask Spread %14.743.1362.7562.7515.08
Gamma HHI0.120.060.330.130.12
Net GEX14.4M-23.1M95.0M20.2M50.0M
Net DEX-309.7M-661.1M13.8M-397.5M-623.6M
Net VEX-3.5M-5.5M-2.6M-2.6M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.701.750.920.70
Total Volume28,061.04510,01055,86610,01019,213
Total OI201,373.864134,831320,482134,831171,789

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$178.17$170.0016.6%4.0%11.1%32.3%14.1%2.2%-0.4%20.2M-397.5M-2.6M0.9262.755,2064,80454,88279,949
2017-05-02$178.80$170.0016.5%4.1%10.4%31.5%15.2%1.8%-0.5%19.3M-409.4M-2.6M1.7557.4812,69122,25956,14581,608
2017-05-03$179.89$175.0016.1%3.7%10.4%27.5%14.0%2.2%-0.6%8.1M-424.6M-2.7M0.8818.2314,59312,90464,61394,520
2017-05-04$182.31$165.0015.4%4.3%10.9%22.6%15.7%2.1%-0.7%40.4M-615.2M-2.7M0.764.7415,65611,92769,47895,728
2017-05-05$180.12$165.0015.5%4.2%11.5%22.9%15.8%2.0%-0.6%62.7M-455.9M-2.9M0.865.9318,61216,05370,76197,755
2017-05-08$172.45$170.0022.8%4.1%20.1%81.9%20.9%1.2%-28.8%-11.6M-45.3M-2.9M1.138.2718,78221,26865,26998,186
2017-05-09$172.36$163.0023.7%4.5%20.1%89.6%19.6%-2.0%-26.7%9.4M-530.0M-5.2M0.929.1721,07219,392130,471190,011
2017-05-10$171.22$165.0015.3%7.1%20.2%21.3%22.3%-8.3%30.4%4.6M-343.1M-5.3M1.176.8917,48520,476122,080191,457
2017-05-11$171.27$165.0015.9%4.7%20.2%26.0%15.7%-0.2%4.4%-21.0M-51.2M-5.5M1.584.5612,45919,676122,376192,657
2017-05-12$170.73$163.0015.8%4.6%20.2%25.3%16.0%-8.8%5.1%-9.1M-23.4M-4.1M1.164.0011,58613,39697,187155,472
2017-05-15$171.44$163.0015.7%4.5%20.2%24.9%15.9%1.6%-4.3%-4.7M-143.1M-3.7M1.124.0610,86512,21888,975140,604
2017-05-16$171.05$165.0016.0%4.6%20.1%27.0%15.6%1.6%-7.5%-3.7M-113.4M-3.4M1.224.349,53211,63486,348138,520
2017-05-17$169.52$168.0017.6%5.0%20.4%40.0%17.1%2.2%-0.9%-23.1M13.8M-3.5M1.135.719,73610,96583,778123,082
2017-05-18$170.68$168.0017.2%5.0%20.4%36.8%18.4%2.2%-0.6%-21.1M-72.5M-3.4M0.983.789,5769,41784,153119,209
2017-05-19$171.64$168.0016.7%4.8%20.5%36.3%17.1%2.1%0.1%-6.6M-144.5M-3.3M0.844.3710,5258,78984,902120,757
2017-05-22$172.90$168.0016.7%4.9%20.4%36.2%17.4%1.9%-0.2%11.4M-272.0M-3.2M0.963.388,8888,50073,26292,386
2017-05-23$172.45$168.0016.7%5.1%20.5%36.5%17.4%1.9%-0.4%11.0M-256.0M-3.1M0.723.139,2716,67975,00893,819
2017-05-24$172.91$168.0016.4%5.0%18.5%33.9%17.2%1.7%-0.5%15.1M-281.1M-3.2M1.143.5811,10912,64876,34295,488
2017-05-25$174.96$168.0018.0%5.6%19.0%48.1%19.7%1.4%-0.7%24.1M-396.4M-3.3M0.844.6630,39325,47379,929100,907
2017-05-26$177.92$168.0012.6%3.4%20.0%0.0%12.7%1.1%-0.0%95.0M-661.1M-3.0M0.8842.4028,77925,45288,387114,178
2017-05-30$178.88$170.0012.6%3.7%20.0%0.2%13.2%1.7%0.1%47.4M-568.6M-3.1M1.2847.897,6179,76771,01596,782
2017-05-31$180.07$170.0013.4%3.9%20.1%7.3%13.9%1.8%-0.3%50.0M-623.6M-3.1M0.7015.0811,3017,91272,63499,155