COST Options History — November 2020

In November 2020, COST traded between $363.38 and $392.56. ATM implied volatility averaged 24.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.3% (HV 20d: 24.9%). Max pain ranged from $370.00 to $380.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-11-25: Highest Volume — 55,976 contracts
  • 2020-11-04: Largest IV drop — 19.1% change
  • 2020-11-02: Highest IV Rank — 24.1%
  • 2020-11-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$379.78$363.38$392.56$363.38$392.56
Max Pain$373.00$370.00$380.00$370.00$380.00
ATM IV24.7%22.2%28.8%28.8%23.0%
Expected Move7.3%6.8%8.9%8.9%7.4%
HV 20d24.9%19.8%27.2%19.8%22.7%
HV 60d21.9%19.8%22.7%19.8%20.9%
IV Rank17.6%13.6%24.1%24.1%15.0%
IV Percentile53.9%40.9%69.0%69.0%44.4%
Term Structure0.4%-2.0%3.3%1.5%0.2%
VWIV26.0%24.2%31.2%31.2%26.5%
Skew 25d2.6%-0.4%5.3%5.0%2.5%
Skew 10d4.3%0.7%10.7%8.9%5.6%
Call IV 25d23.7%19.0%27.0%25.9%22.5%
Put IV 25d26.3%23.8%30.9%30.9%25.0%
Bid-Ask Spread %42.6721.5561.9442.1529.71
Gamma HHI0.090.040.230.040.11
Net GEX73.4M855.2K131.9M855.2K120.3M
Net DEX-1.39B-1.92B-518.2M-518.2M-1.91B
Net VEX-8.1M-8.7M-7.8M-8.7M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.391.570.850.44
Total Volume30,277.5519,69655,97624,26540,383
Total OI241,008.05215,760263,950215,760246,204

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$363.38$370.0028.8%8.9%19.8%24.1%31.2%5.0%1.5%855.2K-518.2M-8.7M0.8542.1513,08911,17699,325116,435
2020-11-03$373.07$370.0027.4%8.3%21.8%21.9%29.8%3.8%2.4%23.3M-1.03B-8.5M1.5740.6411,25717,66399,325116,435
2020-11-04$375.24$370.0022.2%6.9%21.3%13.6%24.9%5.3%3.3%45.1M-1.23B-8.3M1.4437.6510,56215,248105,113127,192
2020-11-05$384.79$370.0022.3%7.1%22.9%13.9%26.3%4.8%3.3%91.3M-1.83B-7.8M0.6761.8016,09910,751107,066130,491
2020-11-06$386.54$370.0023.4%7.1%22.6%15.6%25.0%2.0%1.1%95.5M-1.92B-7.9M0.9061.9412,41411,182110,262133,384
2020-11-09$370.04$370.0025.8%7.1%26.9%19.4%25.2%3.6%-2.0%22.3M-832.5M-7.8M0.9761.4823,07422,421102,700118,899
2020-11-10$367.83$375.0026.1%7.5%26.5%19.9%26.3%2.3%0.0%6.8M-657.1M-8.2M0.7658.5415,65511,953110,589129,064
2020-11-11$373.62$370.0025.8%7.0%27.2%19.4%25.4%3.3%-1.0%33.4M-1.00B-8.1M0.4352.0813,7735,923113,580132,061
2020-11-12$375.52$370.0026.3%7.5%27.2%20.2%26.6%1.7%-0.1%46.4M-1.14B-8.3M0.7247.6513,2399,570116,220133,374
2020-11-13$379.61$370.0025.4%7.3%27.0%18.8%26.0%2.1%0.2%110.5M-1.42B-8.2M0.6447.4512,8688,221117,231134,027
2020-11-16$378.99$370.0025.9%7.4%26.4%19.6%27.2%2.3%1.3%55.6M-1.31B-8.0M0.9845.6313,78013,533107,905126,336
2020-11-17$382.74$370.0025.2%7.2%26.4%18.4%25.6%2.2%0.8%90.9M-1.57B-8.1M0.6147.0726,43516,151113,374131,884
2020-11-18$383.32$375.0024.7%7.1%26.4%17.7%25.7%2.5%-0.2%90.4M-1.56B-8.1M0.8745.3214,20512,346116,732136,064
2020-11-19$383.90$375.0025.2%7.2%26.3%18.4%25.9%2.2%-0.0%105.4M-1.64B-8.0M0.6948.5712,7608,789119,333138,385
2020-11-20$382.15$375.0024.1%7.0%26.3%16.7%24.6%1.8%-1.1%96.2M-1.48B-8.0M0.7522.2317,77613,313120,319140,295
2020-11-23$381.55$375.0023.3%6.9%25.8%15.5%24.2%0.8%-0.5%48.2M-1.31B-7.9M0.4121.5524,1539,902101,192120,227
2020-11-24$384.70$375.0022.8%6.8%25.7%14.6%24.3%-0.4%-0.3%123.2M-1.68B-8.0M0.6126.5721,02912,775114,019125,116
2020-11-25$387.80$380.0023.1%6.9%24.9%15.1%24.6%2.4%-0.6%131.9M-1.85B-8.1M0.4133.3539,77216,204116,081129,972
2020-11-27$388.31$380.0022.7%6.9%24.8%14.5%24.6%2.7%-0.2%130.3M-1.87B-8.3M0.3922.0718,7777,330125,991137,959
2020-11-30$392.56$380.0023.0%7.4%22.7%15.0%26.5%2.5%0.2%120.3M-1.91B-8.0M0.4429.7128,07812,305116,944129,260