The current price of COST is $180, up from about $173 before the announcement. If you think the price will drop by $7 following the dividend, as it logically should, back to $173, you should consider buying a put.
The June 2 puts with a $180 strike have an asking price of $3.70 per share as of this moment. If COST drops to $173, those options will be worth $7 per share on June 2, an 89% return in 29 days.
Oh, and it's actually $7 plus the $0.5 regular dividend.
How is this possible in an efficient market?