COST Options History — December 2017

In December 2017, COST traded between $185.03 and $192.45. ATM implied volatility averaged 19.3%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.5% (HV 20d: 20.8%). Max pain ranged from $163.00 to $173.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-12-15: Highest Volume — 74,167 contracts
  • 2017-12-15: Largest IV drop — 29.9% change
  • 2017-12-14: Highest IV Rank — 98.0%
  • 2017-12-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.75$185.03$192.45$185.03$186.34
Max Pain$168.57$163.00$173.00$170.00$173.00
ATM IV19.3%16.4%23.5%19.8%16.4%
Expected Move5.4%4.6%7.2%7.2%4.6%
HV 20d20.8%17.6%23.2%18.1%17.6%
HV 60d20.9%20.3%21.6%20.3%21.4%
IV Rank62.7%37.2%98.0%66.8%37.2%
IV Percentile72.5%35.7%99.6%87.3%35.7%
Term Structure-0.2%-1.7%0.8%0.4%0.7%
VWIV19.5%17.0%25.4%25.4%17.0%
Skew 25d1.7%0.7%3.3%0.7%1.3%
Skew 10d3.0%-1.3%5.4%-1.0%2.9%
Call IV 25d18.8%15.9%23.4%19.2%15.9%
Put IV 25d20.6%17.2%25.0%19.9%17.2%
Bid-Ask Spread %7.423.2612.167.1510.04
Gamma HHI0.130.070.510.510.07
Net GEX34.0M6.9M117.5M117.5M14.5M
Net DEX-1.12B-1.56B-721.9M-1.42B-721.9M
Net VEX-4.4M-4.7M-4.1M-4.3M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.541.790.541.66
Total Volume27,256.5511,02374,16742,00814,771
Total OI279,588.05257,383313,155282,471274,785

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$185.03$170.0019.8%7.2%18.1%66.8%25.4%0.7%0.4%117.5M-1.42B-4.3M0.547.1527,33114,677119,986162,485
2017-12-04$189.66$163.0021.7%5.7%19.3%82.8%20.4%3.3%-0.9%35.2M-1.48B-4.2M0.647.0423,69715,110114,492157,290
2017-12-05$187.74$165.0020.8%5.6%19.7%75.2%20.2%2.5%-0.3%42.7M-1.41B-4.3M0.7310.0615,42511,254122,810161,386
2017-12-06$187.06$165.0021.2%5.7%20.0%78.5%20.6%1.3%0.8%39.6M-1.33B-4.4M1.014.998,9308,990123,663163,306
2017-12-07$186.19$165.0021.6%5.8%20.0%81.5%21.0%1.8%-0.3%38.0M-1.28B-4.4M1.798.917,26012,993124,174165,525
2017-12-08$187.78$165.0021.9%5.7%20.0%84.3%20.6%1.3%-1.6%42.1M-1.38B-4.4M1.398.137,47710,419124,107166,296
2017-12-11$188.83$165.0022.5%6.1%19.9%89.9%21.7%2.0%-0.9%34.7M-1.36B-4.3M1.0210.6713,23413,445119,338153,852
2017-12-12$188.54$165.0022.6%6.2%19.9%90.6%21.7%2.3%-0.8%37.2M-1.38B-4.3M0.8811.2719,65717,353123,925158,325
2017-12-13$187.90$168.0023.3%6.3%20.1%96.9%22.2%1.8%-1.3%37.8M-1.27B-4.7M1.0411.6411,13611,591129,100161,114
2017-12-14$186.68$170.0023.5%6.3%19.0%98.0%22.4%1.6%-1.7%34.5M-1.17B-4.7M1.0012.1629,29729,389131,721164,606
2017-12-15$192.45$170.0016.4%4.7%20.9%37.9%17.1%0.9%0.2%82.5M-1.56B-4.2M0.635.5445,56528,602135,925177,230
2017-12-18$192.41$170.0016.8%4.8%20.9%40.5%17.3%1.7%0.1%29.3M-1.11B-4.1M0.947.3011,26710,624108,358149,025
2017-12-19$188.34$170.0017.4%5.0%23.0%46.1%17.7%1.8%-0.1%18.0M-871.6M-4.3M0.883.2614,95013,215111,066150,966
2017-12-20$187.62$170.0017.0%4.9%23.2%42.9%17.3%1.4%0.2%13.8M-822.0M-4.5M0.987.7713,97713,686115,401154,903
2017-12-21$186.68$170.0016.8%4.8%23.2%40.8%17.3%1.9%0.3%6.9M-756.1M-4.6M0.914.288,7607,966118,641158,086
2017-12-22$186.50$170.0016.7%4.8%23.0%39.8%17.4%1.7%0.3%14.9M-745.2M-4.5M1.063.968,0678,589119,619159,616
2017-12-26$186.37$172.5017.2%4.9%23.1%44.4%17.7%1.7%0.4%14.5M-753.5M-4.5M1.204.595,0166,007113,041155,150
2017-12-27$186.34$172.5016.9%4.8%23.1%42.1%17.4%1.8%0.6%13.4M-739.3M-4.5M1.273.585,6807,201113,514156,155
2017-12-28$186.49$172.5016.4%4.6%22.1%37.5%17.2%1.6%0.4%13.1M-739.7M-4.5M1.106.065,9586,565114,401158,378
2017-12-29$186.34$173.0016.4%4.6%17.6%37.2%17.0%1.3%0.7%14.5M-721.9M-4.5M1.6610.045,5559,216115,489159,296