COST Options History — September 2017

In September 2017, COST traded between $157.31 and $164.51. ATM implied volatility averaged 19.8%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.2% (HV 20d: 19.6%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-09-13: Highest Volume — 52,275 contracts
  • 2017-09-05: Largest IV spike — 14.0% change
  • 2017-09-26: Highest IV Rank — 77.9%
  • 2017-09-26: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.22$157.31$164.51$158.27$164.17
Max Pain$159.05$155.00$160.00$155.00$160.00
ATM IV19.8%17.2%21.1%17.2%19.1%
Expected Move5.6%4.3%6.4%4.3%5.8%
HV 20d19.6%12.9%23.3%21.5%12.9%
HV 60d20.8%18.7%24.7%24.7%18.7%
IV Rank66.2%44.5%77.9%44.5%60.7%
IV Percentile84.5%58.3%98.0%58.3%77.0%
Term Structure-0.4%-1.0%2.8%2.8%-0.4%
VWIV20.0%15.2%22.8%15.2%21.2%
Skew 25d2.1%1.5%2.9%1.5%2.3%
Skew 10d4.2%3.3%5.8%3.3%4.7%
Call IV 25d19.1%15.5%21.5%15.5%18.6%
Put IV 25d21.2%17.0%23.1%17.0%20.8%
Bid-Ask Spread %4.473.009.106.826.02
Gamma HHI0.090.060.130.080.08
Net GEX24.2M7.7M44.3M17.0M28.6M
Net DEX-261.1M-462.5M-9.0M-236.9M-449.1M
Net VEX-5.6M-6.0M-5.3M-6.0M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.521.280.750.85
Total Volume23,318.0515,24252,27534,27721,571
Total OI299,386.1282,045317,349317,349305,113

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$158.27$155.0017.2%4.3%21.5%44.5%15.2%1.5%2.8%17.0M-236.9M-6.0M0.756.8219,62914,648153,128164,221
2017-09-05$159.08$158.0019.6%5.5%21.5%65.2%20.1%2.9%-0.3%19.2M-172.3M-5.9M0.866.2212,99811,115143,052154,476
2017-09-06$158.86$158.0019.3%5.6%21.5%62.6%19.5%2.1%-0.1%20.3M-157.3M-5.8M0.904.929,9739,013144,096154,907
2017-09-07$159.27$158.0020.0%5.5%21.3%68.6%19.3%2.2%-0.8%25.5M-186.8M-5.8M0.824.0511,0599,106145,665156,482
2017-09-08$157.40$158.0020.8%5.7%21.8%75.2%20.4%1.6%-0.4%7.7M-9.0M-5.9M1.289.1012,93016,513146,369158,141
2017-09-11$157.31$158.0020.0%5.5%21.8%68.4%19.7%2.3%-0.7%10.3M-18.8M-5.6M1.074.058,2448,782144,423156,510
2017-09-12$159.91$158.0019.9%5.5%22.5%67.1%19.5%2.1%-0.4%24.3M-232.5M-5.7M0.614.0818,28711,069144,808158,578
2017-09-13$162.98$158.0019.9%5.5%23.3%67.0%19.6%2.0%-0.6%39.4M-462.5M-5.7M0.613.7432,39319,882143,885159,460
2017-09-14$162.27$160.0019.8%5.6%22.7%66.5%19.6%1.8%-0.5%33.0M-378.9M-5.5M0.814.4913,56311,011145,190162,059
2017-09-15$162.22$160.0019.7%5.5%22.7%65.8%19.6%1.9%-1.0%17.0M-361.8M-5.5M0.763.0912,4979,500148,537163,956
2017-09-18$160.89$160.0019.9%5.7%22.6%67.5%19.9%2.1%-0.5%13.0M-150.5M-5.5M0.863.2411,2789,720132,440149,605
2017-09-19$161.56$160.0019.3%5.5%22.6%62.6%19.7%1.9%-0.5%19.7M-212.4M-5.4M0.993.077,6607,585136,394152,369
2017-09-20$162.91$160.0019.6%5.6%22.5%64.4%19.8%1.9%-0.5%30.2M-323.2M-5.4M0.823.959,8708,053138,584154,151
2017-09-21$161.46$160.0019.5%5.6%22.7%63.8%20.4%2.1%-0.6%23.2M-204.7M-5.4M1.013.118,2318,327139,725154,825
2017-09-22$161.39$160.0019.4%5.6%13.5%63.0%20.0%2.0%-0.4%14.8M-185.6M-5.5M0.863.259,7188,314141,903155,569
2017-09-25$162.21$160.0020.3%6.0%13.5%70.8%21.3%2.3%-0.1%22.2M-246.0M-5.4M0.974.348,2918,056138,078151,503
2017-09-26$164.08$160.0021.1%6.4%13.7%77.9%22.8%2.3%-0.6%32.9M-400.1M-5.5M0.544.4118,3249,888140,207152,582
2017-09-27$164.51$160.0020.3%6.1%13.5%71.0%21.8%2.1%-0.6%44.3M-455.1M-5.3M0.524.4815,7878,234142,397153,685
2017-09-28$163.60$160.0020.3%6.1%13.9%71.1%21.4%2.3%-1.0%41.9M-377.9M-5.4M0.793.008,5046,738145,670154,979
2017-09-29$164.17$160.0019.1%5.8%12.9%60.7%21.2%2.3%-0.4%28.6M-449.1M-5.3M0.856.0211,6749,897148,872156,241