COST Options History — September 2020

In September 2020, COST traded between $337.47 and $359.55. ATM implied volatility averaged 30.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.8% (HV 20d: 22.6%). Max pain ranged from $320.00 to $340.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2020-09-25: Highest Volume — 167,808 contracts
  • 2020-09-25: Largest IV drop — 18.7% change
  • 2020-09-03: Highest IV Rank — 39.5%
  • 2020-09-08: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$345.44$337.47$359.55$350.99$354.94
Max Pain$329.05$320.00$340.00$340.00$330.00
ATM IV30.3%22.9%38.4%29.5%22.9%
Expected Move8.4%6.1%10.0%6.4%6.1%
HV 20d22.6%12.0%26.3%12.0%26.2%
HV 60d18.2%14.8%19.5%14.8%19.1%
IV Rank26.6%14.8%39.5%25.3%14.8%
IV Percentile76.8%54.8%90.9%78.6%54.8%
Term Structure-0.5%-3.4%3.5%-0.9%3.3%
VWIV30.0%21.8%35.9%23.3%21.8%
Skew 25d1.0%-2.1%5.4%3.6%1.6%
Skew 10d1.4%-4.3%6.2%0.5%1.7%
Call IV 25d30.4%21.2%38.7%29.5%21.2%
Put IV 25d31.3%22.6%40.7%33.1%22.8%
Bid-Ask Spread %45.139.0061.5525.9217.28
Gamma HHI0.060.040.080.070.08
Net GEX62.3M7.2M107.2M82.0M107.2M
Net DEX-1.14B-1.97B-536.7M-1.47B-1.66B
Net VEX-8.3M-8.7M-7.8M-7.9M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.210.730.500.63
Total Volume54,800.90526,189167,80834,56935,571
Total OI258,155.19224,354350,926224,354272,010

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$350.99$340.0029.5%6.4%12.0%25.3%23.3%3.6%-0.9%82.0M-1.47B-7.9M0.5025.9223,09911,470108,888115,466
2020-09-02$359.55$340.0033.9%7.3%14.3%32.2%26.4%0.7%-3.4%99.8M-1.97B-8.1M0.2139.1762,11113,072114,583115,520
2020-09-03$346.75$320.0038.4%9.8%19.5%39.5%34.4%2.0%-1.9%59.9M-1.17B-8.7M0.3649.4746,06816,723128,540116,575
2020-09-04$347.37$325.0034.9%9.7%19.4%33.9%34.1%5.4%-2.4%50.7M-1.11B-8.7M0.5559.1032,21117,589132,977121,384
2020-09-08$339.11$325.0036.6%10.0%21.3%36.6%35.7%0.6%-1.4%29.3M-714.3M-8.4M0.6559.3818,48812,024122,504109,681
2020-09-09$347.47$325.0032.9%9.2%21.7%30.7%32.2%0.4%-0.8%74.2M-1.24B-8.3M0.4454.0621,5239,424127,807114,099
2020-09-10$340.27$325.0032.9%8.9%23.0%30.6%31.8%4.0%-2.4%34.7M-748.8M-8.3M0.4957.6020,79410,287132,329116,863
2020-09-11$339.04$325.0031.9%8.7%23.0%29.0%31.0%-1.4%-2.2%7.2M-627.1M-8.2M0.5457.7417,0299,160134,868120,806
2020-09-14$343.78$325.0029.3%8.3%23.5%24.9%30.9%0.9%-0.3%46.0M-985.8M-7.8M0.7358.5516,39811,892127,565110,024
2020-09-15$343.34$330.0027.7%7.9%23.2%22.5%27.8%0.4%-0.5%44.8M-924.5M-7.8M0.5961.5518,30810,713133,416114,062
2020-09-16$345.05$330.0028.0%8.0%23.2%22.9%28.9%1.3%0.4%52.3M-1.04B-7.8M0.6256.2516,46410,135137,075116,155
2020-09-17$338.67$330.0030.7%8.8%24.2%27.1%31.6%0.6%0.8%8.6M-536.7M-8.0M0.5657.1829,96016,695141,165120,471
2020-09-18$337.47$330.0030.3%8.8%24.2%26.6%32.5%-0.5%-1.3%13.6M-559.1M-8.2M0.4760.6637,89417,638152,116123,791
2020-09-21$337.99$330.0031.6%9.4%23.8%28.6%33.3%-0.6%-0.4%46.9M-796.7M-8.3M0.3645.3228,90410,458138,409105,010
2020-09-22$344.71$330.0030.3%8.8%24.9%26.6%32.0%1.4%-1.0%75.3M-1.28B-8.4M0.4145.5734,60714,272148,568109,611
2020-09-23$345.08$330.0033.5%9.7%24.9%31.7%35.9%-2.1%-1.2%77.1M-1.36B-8.5M0.3142.1756,14417,271151,645114,279
2020-09-24$347.17$330.0030.1%9.7%24.9%26.3%34.4%-0.7%0.4%102.9M-1.59B-8.6M0.4243.96104,80743,672170,840120,342
2020-09-25$342.83$330.0024.5%6.8%25.2%17.3%25.0%1.6%-0.4%84.0M-1.08B-8.1M0.5226.48110,23657,572207,562143,364
2020-09-28$349.50$330.0023.0%6.5%26.1%15.0%23.7%0.3%3.5%106.2M-1.45B-8.4M0.709.0037,14225,902147,165115,505
2020-09-29$353.07$330.0024.4%6.7%26.3%17.1%23.7%0.9%2.1%105.1M-1.60B-8.5M0.4221.2833,18513,907146,937121,282
2020-09-30$354.94$330.0022.9%6.1%26.2%14.8%21.8%1.6%3.3%107.2M-1.66B-8.5M0.6317.2821,76413,807147,032124,978