COST Options History — June 2017

In June 2017, COST traded between $157.26 and $182.14. ATM implied volatility averaged 15.8%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 5.7% (HV 20d: 21.5%). Max pain ranged from $163.00 to $175.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2017-06-16: Highest Volume — 171,670 contracts
2017-06-16: Largest IV spike — 50.0% change
2017-06-23: Highest IV Rank — 84.1%
2017-06-23: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$171.00	$157.26	$182.14	$180.23	$160.27
Max Pain	$169.55	$163.00	$175.00	$170.00	$163.00
ATM IV	15.8%	12.0%	21.8%	12.7%	18.0%
Expected Move	4.5%	3.4%	6.3%	3.5%	5.0%
HV 20d	21.5%	10.0%	30.6%	20.0%	30.3%
HV 60d	17.7%	13.6%	22.4%	13.6%	22.4%
IV Rank	31.6%	0.0%	84.1%	1.4%	51.5%
IV Percentile	39.7%	0.0%	97.6%	1.2%	72.2%
Term Structure	0.2%	-0.8%	1.8%	0.2%	1.8%
VWIV	16.1%	11.8%	21.9%	12.4%	17.8%
Skew 25d	1.9%	1.4%	2.9%	1.6%	1.8%
Skew 10d	3.9%	2.7%	5.6%	4.2%	3.5%
Call IV 25d	15.2%	11.5%	21.1%	12.2%	17.1%
Put IV 25d	17.0%	13.3%	23.3%	13.8%	18.9%
Bid-Ask Spread %	7.32	2.17	43.15	3.59	6.76
Gamma HHI	0.14	0.09	0.44	0.15	0.44
Net GEX	-6.5M	-188.0M	70.0M	59.3M	-188.0M
Net DEX	-5.3M	-678.3M	1.01B	-635.3M	374.6M
Net VEX	-4.4M	-6.5M	-3.0M	-3.0M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.53	2.10	0.62	0.81
Total Volume	44,883.955	10,744	171,670	19,081	35,908
Total OI	243,768.591	165,582	394,698	172,665	394,698

Daily Data (22 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
2017-06-01	$180.23	$170.00	12.7%	3.5%	20.0%	1.4%	12.4%	1.6%	0.2%	59.3M	-635.3M	-3.0M	0.62	3.59	11,795	7,286	72,751	99,914
2017-06-02	$180.66	$170.00	12.3%	3.4%	19.4%	0.0%	11.8%	1.9%	0.2%	70.0M	-678.3M	-3.1M	0.62	43.15	11,316	6,964	74,901	101,268
2017-06-05	$182.12	$170.00	12.0%	3.5%	19.1%	0.0%	12.7%	1.6%	0.1%	52.7M	-676.2M	-3.0M	0.99	2.57	7,919	7,817	70,731	94,851
2017-06-06	$181.09	$170.00	13.1%	3.8%	10.2%	9.4%	13.5%	1.9%	-0.1%	46.7M	-602.8M	-3.2M	1.45	3.55	7,730	11,203	71,155	97,359
2017-06-07	$182.14	$175.00	12.6%	3.6%	10.2%	5.1%	13.4%	1.6%	0.1%	43.9M	-630.2M	-3.3M	0.93	5.19	6,400	5,926	72,070	102,937
2017-06-08	$181.28	$175.00	12.2%	3.7%	10.0%	1.5%	13.7%	1.8%	0.2%	42.3M	-581.5M	-3.3M	1.21	4.48	6,709	8,121	71,924	103,894
2017-06-09	$180.02	$175.00	12.8%	3.7%	10.5%	6.8%	13.3%	2.1%	0.0%	34.7M	-462.5M	-3.5M	1.23	6.65	6,093	7,517	73,871	107,030
2017-06-12	$179.49	$175.00	12.9%	3.7%	10.5%	7.4%	14.3%	2.0%	0.0%	24.9M	-412.9M	-3.4M	2.03	5.76	4,004	8,114	72,143	103,592
2017-06-13	$180.48	$175.00	12.4%	3.6%	10.6%	3.2%	13.0%	2.0%	0.1%	33.2M	-482.8M	-3.3M	1.82	5.68	3,811	6,933	72,315	102,910
2017-06-14	$181.42	$175.00	12.1%	3.6%	10.4%	0.3%	12.9%	2.1%	0.4%	54.8M	-547.2M	-3.2M	1.29	4.50	5,310	6,856	72,470	103,165
2017-06-15	$180.10	$175.00	13.1%	3.7%	10.2%	8.8%	14.3%	2.9%	-0.0%	31.8M	-465.1M	-3.3M	2.10	3.96	4,937	10,370	72,897	103,760
2017-06-16	$167.00	$175.00	19.6%	5.6%	29.6%	64.7%	19.8%	2.1%	0.1%	-20.1M	343.1M	-3.5M	0.76	9.95	97,725	73,945	73,253	107,703
2017-06-19	$164.19	$170.00	18.9%	5.4%	30.0%	59.1%	19.1%	1.5%	0.1%	-26.6M	419.9M	-4.4M	0.91	8.52	59,403	53,809	91,107	120,578
2017-06-20	$162.91	$168.00	18.7%	5.4%	29.8%	57.5%	18.8%	1.7%	0.2%	-28.5M	464.9M	-5.0M	0.53	7.23	33,271	17,796	116,218	143,509
2017-06-21	$163.09	$165.00	17.9%	5.1%	29.9%	50.5%	17.9%	1.8%	0.2%	-21.4M	388.3M	-5.3M	0.78	4.57	16,909	13,171	130,743	150,989
2017-06-22	$159.39	$165.00	19.2%	5.5%	30.6%	61.6%	19.5%	1.4%	-0.2%	-59.9M	763.7M	-5.2M	0.93	4.02	48,745	45,298	134,339	152,675
2017-06-23	$157.26	$165.00	21.8%	6.3%	30.2%	84.1%	21.9%	2.2%	-0.8%	-69.3M	1.01B	-5.8M	1.13	19.02	63,305	71,713	151,747	175,099
2017-06-26	$160.28	$165.00	19.1%	5.5%	30.4%	60.5%	19.3%	1.7%	0.4%	-47.1M	514.1M	-6.4M	0.55	3.48	50,290	27,882	151,421	203,718
2017-06-27	$159.56	$163.00	18.6%	5.3%	30.2%	56.6%	18.8%	1.9%	0.3%	-45.5M	568.7M	-6.5M	0.64	2.22	30,393	19,343	167,797	208,679
2017-06-28	$160.25	$163.00	17.6%	4.9%	30.1%	48.0%	17.4%	1.4%	0.3%	-58.1M	471.1M	-6.4M	0.88	2.17	15,647	13,823	169,777	212,057
2017-06-29	$158.80	$163.00	18.6%	5.4%	30.0%	56.3%	18.7%	1.8%	0.3%	-72.0M	742.6M	-6.4M	0.84	3.92	19,515	16,425	172,825	216,069
2017-06-30	$160.27	$163.00	18.0%	5.0%	30.3%	51.5%	17.8%	1.8%	1.8%	-188.0M	374.6M	-6.5M	0.81	6.76	19,792	16,116	176,619	218,079