COST Options History — October 2017

In October 2017, COST traded between $154.59 and $166.95. ATM implied volatility averaged 17.3%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 6.5% (HV 20d: 23.7%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-10-06: Highest Volume — 163,610 contracts
  • 2017-10-26: Largest IV spike — 8.9% change
  • 2017-10-04: Highest IV Rank — 77.7%
  • 2017-10-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.64$154.59$166.95$165.90$161.11
Max Pain$158.86$155.00$160.00$160.00$160.00
ATM IV17.3%14.9%21.1%19.9%16.7%
Expected Move5.1%4.3%6.8%6.1%5.2%
HV 20d23.7%12.9%26.5%12.9%26.3%
HV 60d21.2%17.9%22.6%18.3%20.8%
IV Rank44.8%24.9%77.7%67.1%39.7%
IV Percentile51.4%19.0%98.4%87.7%44.8%
Term Structure-0.0%-0.8%0.6%0.5%0.0%
VWIV18.2%15.3%24.9%21.8%18.3%
Skew 25d1.9%1.3%2.8%2.7%2.1%
Skew 10d3.5%2.5%4.8%3.3%4.3%
Call IV 25d16.7%14.5%20.1%18.3%15.8%
Put IV 25d18.6%16.2%22.9%21.0%17.9%
Bid-Ask Spread %12.383.7658.344.817.65
Gamma HHI0.110.060.620.080.08
Net GEX19.2M-29.8M193.9M35.9M6.2M
Net DEX-157.4M-650.6M448.0M-530.6M-135.5M
Net VEX-5.4M-5.9M-5.0M-5.2M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.491.940.830.91
Total Volume39,721.27316,593163,61036,96116,593
Total OI327,179.318259,363389,238293,594270,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$165.90$160.0019.9%6.1%12.9%67.1%21.8%2.7%0.5%35.9M-530.6M-5.2M0.834.8120,16216,799142,318151,276
2017-10-03$165.16$160.0020.1%6.3%13.1%69.2%22.4%2.0%-0.7%36.9M-493.7M-5.2M0.525.9720,48510,659146,856153,569
2017-10-04$165.23$160.0021.1%6.8%13.1%77.7%24.9%2.8%-0.8%38.6M-504.6M-5.2M0.885.7917,85715,684151,031154,800
2017-10-05$166.95$160.0020.6%5.8%13.4%73.9%20.3%2.2%-0.0%49.4M-650.6M-5.2M0.8626.9036,67431,529156,836160,790
2017-10-06$157.10$160.0019.1%5.5%25.8%60.6%19.3%1.5%-0.2%-17.7M379.6M-5.0M0.936.2284,92278,688167,879175,885
2017-10-09$154.59$160.0019.3%5.5%26.4%61.9%19.4%1.4%-0.1%-29.8M448.0M-5.4M0.724.8450,53336,202166,563183,345
2017-10-10$156.85$155.0018.0%5.2%26.3%50.9%18.1%1.9%0.4%3.4M99.6M-5.9M0.634.0530,71719,331185,478193,574
2017-10-11$157.96$155.0017.3%4.9%25.4%45.2%17.8%1.6%-0.3%18.1M-62.1M-5.9M0.493.8727,32013,382190,243196,647
2017-10-12$157.33$155.0017.2%5.1%25.4%44.6%17.6%1.3%0.6%1.0M81.1M-5.7M0.714.0114,10810,039188,005197,747
2017-10-13$159.95$155.0016.4%4.7%26.2%37.5%16.7%1.6%-0.1%193.9M-289.4M-5.7M0.646.1624,28215,575190,435198,803
2017-10-16$158.90$155.0016.7%4.8%26.1%39.9%15.8%1.9%-0.4%3.8M-72.3M-5.5M0.813.8914,92712,073175,159189,966
2017-10-17$158.39$160.0016.4%4.7%26.1%37.5%16.9%1.9%0.2%-942.7K6.1M-5.5M0.904.7612,94211,640179,405193,411
2017-10-18$157.61$160.0016.1%4.6%25.9%35.2%16.7%1.8%0.1%-10.2M98.0M-5.5M0.833.7612,43710,349181,994194,911
2017-10-19$158.36$160.0016.0%4.6%25.8%34.1%16.6%1.8%0.0%-2.2M-4.9M-5.4M0.834.7711,5709,637183,215195,912
2017-10-20$160.69$160.0014.9%4.3%26.4%24.9%15.3%1.7%-0.3%15.5M-355.1M-5.5M0.528.0830,03515,483183,544195,885
2017-10-23$161.99$160.0015.2%4.4%26.5%27.1%16.3%1.8%-0.1%23.4M-280.5M-5.3M0.7515.9914,90911,218111,471147,892
2017-10-24$162.25$160.0015.0%4.4%26.2%25.7%16.8%1.5%0.4%26.2M-296.9M-5.3M0.994.4511,42211,268113,078149,024
2017-10-25$162.23$160.0015.2%4.5%26.2%27.3%16.6%1.9%0.3%22.1M-280.6M-5.3M0.896.369,2668,254113,779153,227
2017-10-26$162.80$160.0016.6%4.9%26.1%39.0%18.0%2.0%-0.2%23.3M-310.5M-5.4M1.9458.3411,19421,700114,643154,570
2017-10-27$162.44$160.0015.4%4.6%26.1%28.9%16.8%2.3%0.1%-13.6M-242.5M-5.3M0.9747.0810,2399,964114,737163,944
2017-10-30$160.23$160.0016.5%5.1%26.2%38.3%18.4%2.2%0.2%-583.1K-65.5M-5.3M0.9734.5711,06910,731110,411154,855
2017-10-31$161.11$160.0016.7%5.2%26.3%39.7%18.3%2.1%0.0%6.2M-135.5M-5.4M0.917.658,6817,912113,144157,688