COST Options History — July 2017

In July 2017, COST traded between $150.62 and $158.82. ATM implied volatility averaged 17.8%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 4.3% (HV 20d: 22.1%). Max pain ranged from $155.00 to $163.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-07-10: Highest Volume — 89,509 contracts
  • 2017-07-12: Largest IV drop — 8.0% change
  • 2017-07-11: Highest IV Rank — 76.0%
  • 2017-07-11: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.41$150.62$158.82$158.82$158.58
Max Pain$156.80$155.00$163.00$163.00$155.00
ATM IV17.8%16.0%20.9%18.5%16.5%
Expected Move5.1%4.6%5.9%5.3%4.9%
HV 20d22.1%13.6%30.6%29.9%19.3%
HV 60d22.6%22.1%23.6%22.2%23.6%
IV Rank49.3%34.4%76.0%55.1%38.1%
IV Percentile63.3%38.9%96.0%74.6%45.6%
Term Structure-0.1%-1.0%0.5%0.1%0.2%
VWIV18.0%16.0%20.7%18.3%17.8%
Skew 25d2.2%1.7%3.0%2.5%2.0%
Skew 10d4.2%3.1%5.6%3.2%3.5%
Call IV 25d17.1%15.2%19.9%17.7%15.8%
Put IV 25d19.2%17.1%22.1%20.3%17.8%
Bid-Ask Spread %8.894.7817.9112.4613.33
Gamma HHI0.120.080.280.090.09
Net GEX-37.4M-64.9M23.7M-18.2M23.7M
Net DEX623.7M-207.0M1.06B465.6M-207.0M
Net VEX-5.8M-6.2M-5.4M-6.2M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.471.410.600.47
Total Volume39,315.6520,47889,50922,34165,766
Total OI351,745.45288,803402,991344,091290,715

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$158.82$163.0018.5%5.3%29.9%55.1%18.3%2.5%0.1%-18.2M465.6M-6.2M0.6012.4613,9628,379163,037181,054
2017-07-05$158.09$163.0019.4%5.5%29.9%63.3%19.2%2.3%-0.3%-23.6M537.2M-6.0M0.7917.3818,82714,957168,135182,833
2017-07-06$157.25$160.0019.3%5.4%29.5%61.9%18.5%3.0%-0.2%-49.4M667.9M-5.9M0.659.5228,56318,569174,230188,008
2017-07-07$154.37$160.0019.2%5.5%29.8%61.2%20.0%2.6%-0.0%-48.1M1.01B-5.6M0.956.9139,36437,478180,308186,958
2017-07-10$151.46$160.0019.5%5.7%30.0%64.2%19.7%2.1%0.5%-57.3M1.06B-5.4M1.415.9737,15252,357168,538177,626
2017-07-11$151.13$160.0020.9%5.9%30.0%76.0%20.7%2.3%-0.4%-63.0M1.03B-5.8M0.985.7733,57132,991182,834192,999
2017-07-12$151.70$155.0019.2%5.6%29.9%61.7%19.6%2.0%0.2%-60.7M943.9M-5.9M0.735.7420,33614,776188,987198,007
2017-07-13$153.69$155.0018.4%5.1%30.5%54.6%18.4%2.3%-0.6%-46.4M683.7M-6.0M0.715.9422,69216,085194,627202,481
2017-07-14$153.09$155.0017.5%4.9%30.6%46.6%17.4%2.0%-0.6%-56.6M739.9M-6.0M0.895.7615,79514,057199,482203,509
2017-07-17$153.01$155.0017.5%5.0%17.4%46.8%17.9%2.6%0.5%-52.8M723.8M-5.8M1.155.059,51810,960182,594191,677
2017-07-18$151.58$155.0017.5%5.0%16.9%47.3%17.5%2.1%-1.0%-64.9M847.2M-5.5M0.945.0816,25115,199184,073191,743
2017-07-19$151.47$155.0017.1%4.9%16.9%43.6%17.3%2.0%-1.0%-63.6M741.0M-5.6M1.204.9812,68515,239189,299188,674
2017-07-20$151.21$155.0017.0%4.9%16.8%42.7%16.8%1.9%-0.1%-60.1M744.5M-5.6M1.035.7211,76212,151193,802189,239
2017-07-21$150.62$155.0016.1%4.6%15.2%34.4%16.0%1.9%-0.0%-56.0M768.3M-5.5M1.024.7819,75720,176197,037190,594
2017-07-24$151.19$155.0016.7%4.8%14.8%39.8%17.0%2.0%0.3%-29.7M491.7M-5.6M0.799.7714,16511,163129,998158,805
2017-07-25$153.25$155.0016.2%4.7%13.9%35.7%16.6%2.1%0.4%-10.8M278.0M-5.9M0.648.5225,82416,605133,786162,298
2017-07-26$152.32$155.0016.2%4.7%13.9%36.1%17.1%2.0%0.4%-13.6M359.7M-5.9M0.5217.9115,3467,945140,552163,643
2017-07-27$152.76$155.0017.1%5.0%13.8%43.3%17.6%1.7%-0.1%-5.0M290.8M-6.0M0.9012.1412,86711,564146,363164,087
2017-07-28$152.69$155.0016.0%4.6%13.6%34.4%16.4%1.7%0.1%8.1M294.4M-5.8M0.8115.0311,8549,605146,660165,617
2017-07-31$158.58$155.0016.5%4.9%19.3%38.1%17.8%2.0%0.2%23.7M-207.0M-6.2M0.4713.3344,62621,140134,807155,908