COST Options History — November 2017

In November 2017, COST traded between $162.76 and $184.44. ATM implied volatility averaged 18.7%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.8% (HV 20d: 14.9%). Max pain ranged from $160.00 to $167.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-11-30: Highest Volume — 56,307 contracts
  • 2017-11-13: Largest IV spike — 10.8% change
  • 2017-11-15: Highest IV Rank — 81.2%
  • 2017-11-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.77$162.76$184.44$162.76$184.44
Max Pain$164.64$160.00$167.50$160.00$167.50
ATM IV18.7%15.6%21.5%16.1%20.5%
Expected Move5.9%4.9%7.2%4.9%7.2%
HV 20d14.9%12.0%26.8%26.6%18.3%
HV 60d20.1%18.5%21.3%20.8%20.3%
IV Rank57.1%30.5%81.2%34.5%72.7%
IV Percentile71.8%25.8%98.8%33.3%95.6%
Term Structure0.3%-2.0%3.5%-0.2%0.1%
VWIV21.2%17.4%26.1%17.4%26.1%
Skew 25d2.1%1.3%3.2%1.4%1.6%
Skew 10d4.1%1.3%7.0%4.0%1.9%
Call IV 25d17.8%15.0%20.9%15.7%20.0%
Put IV 25d19.9%16.5%23.5%17.1%21.6%
Bid-Ask Spread %8.992.7623.917.7423.87
Gamma HHI0.110.080.170.100.17
Net GEX26.3M12.6M39.8M20.7M37.4M
Net DEX-676.4M-1.40B-299.8M-299.8M-1.40B
Net VEX-5.2M-5.5M-4.3M-5.2M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.431.810.580.57
Total Volume27,380.71413,33456,30725,71856,307
Total OI273,344.333250,883294,443274,145273,490

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$162.76$160.0016.1%4.9%26.6%34.5%17.4%1.4%-0.2%20.7M-299.8M-5.2M0.587.7416,2709,448115,154158,991
2017-11-02$165.12$160.0015.6%5.3%26.8%30.5%18.6%1.5%0.3%39.8M-506.4M-5.2M0.605.8722,77613,639115,755159,808
2017-11-03$166.14$165.0015.7%5.5%14.6%31.7%19.2%1.3%0.4%28.7M-582.9M-5.2M0.432.7621,5289,180117,063158,830
2017-11-06$165.08$165.0016.6%5.6%13.3%38.8%20.2%1.9%3.0%28.1M-417.3M-5.2M0.934.588,8068,166112,726153,147
2017-11-07$166.22$165.0016.7%5.7%12.7%39.9%20.2%1.5%3.3%27.6M-475.9M-5.3M0.945.638,7398,216113,696155,683
2017-11-08$168.92$165.0016.7%5.7%13.5%39.8%20.7%1.6%3.1%37.2M-707.5M-5.1M1.204.0220,15824,175114,356156,398
2017-11-09$169.27$165.0017.6%5.7%13.2%48.0%19.9%1.6%2.9%34.6M-710.2M-5.4M0.6410.2717,45611,168118,622166,225
2017-11-10$171.20$165.0017.9%5.8%12.7%50.7%20.6%2.1%3.5%33.3M-898.1M-5.4M0.713.6918,49213,055123,939166,940
2017-11-13$171.28$165.0019.9%5.9%12.2%67.3%20.6%2.5%-0.9%35.3M-834.3M-5.2M1.095.1718,05619,734120,827162,468
2017-11-14$171.53$165.0020.3%6.0%12.0%71.3%21.2%2.8%-1.1%23.8M-787.8M-5.5M1.709.896,47511,023122,277172,166
2017-11-15$168.76$165.0021.5%6.2%13.6%81.2%22.5%2.6%-0.7%15.4M-525.9M-5.5M0.498.4224,33812,033122,668171,011
2017-11-16$170.98$165.0020.5%5.9%14.1%72.8%20.4%3.0%-1.1%20.2M-614.2M-5.2M0.726.1010,9337,877112,774173,652
2017-11-17$170.92$165.0020.5%5.9%13.5%72.2%21.0%2.9%-0.9%15.5M-659.9M-5.2M0.845.3911,1209,366114,720174,163
2017-11-20$172.34$165.0019.6%5.8%13.5%65.1%21.5%2.0%-1.1%22.5M-652.6M-5.1M1.2016.078,63310,327104,460146,423
2017-11-21$173.33$165.0019.4%5.9%13.6%63.6%20.9%2.5%-2.0%28.2M-722.6M-4.9M1.8111.2910,56719,110105,366149,101
2017-11-22$172.47$165.0019.0%5.8%13.8%59.6%21.0%2.7%-1.6%16.5M-616.0M-5.2M0.883.469,7498,625106,989155,302
2017-11-24$171.62$165.0020.1%6.0%14.1%69.2%21.6%3.2%-1.3%12.6M-553.4M-5.2M0.8023.917,3915,943109,761157,341
2017-11-27$172.55$165.0019.1%6.4%14.0%60.6%22.8%1.9%0.6%16.9M-597.4M-5.1M1.075.107,8498,405106,111149,190
2017-11-28$173.69$165.0019.2%6.6%12.6%61.1%23.5%1.6%0.2%23.7M-689.6M-5.0M0.926.3110,0199,221108,019151,758
2017-11-29$177.56$165.0020.1%7.0%14.1%69.5%24.7%1.4%-0.5%34.4M-951.2M-4.9M0.6019.1725,45015,172109,414153,447
2017-11-30$184.44$167.5020.5%7.2%18.3%72.7%26.1%1.6%0.1%37.4M-1.40B-4.3M0.5723.8735,83720,470115,199158,291