TJX Options History — January 2007

In January 2007, TJX traded between $7.17 and $7.51. ATM implied volatility averaged 23.1%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.0% (HV 20d: 21.2%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2007-01-22: Highest Volume — 22,324 contracts
  • 2007-01-31: Largest IV spike — 10.5% change
  • 2007-01-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.39$7.17$7.51$7.17$7.39
Max Pain$6.69$5.63$7.50$5.63$6.25
ATM IV23.1%20.6%26.2%23.2%22.8%
Expected Move6.5%5.9%7.2%6.7%6.5%
HV 20d21.2%20.1%22.1%22.1%20.1%
Term Structure0.9%-1.9%2.5%-0.9%-0.1%
VWIV22.8%20.6%25.2%23.4%22.8%
Skew 25d3.4%-2.6%4.8%-2.6%3.5%
Skew 10d4.5%-4.0%6.2%-4.0%4.8%
Call IV 25d22.0%20.2%27.5%23.5%20.9%
Put IV 25d25.5%20.9%30.1%20.9%24.3%
Bid-Ask Spread %14.117.3431.8916.4413.35
Gamma HHI0.740.520.950.770.52
Net GEX1.0M313.8K4.1M689.1K325.5K
Net DEX-24.5M-38.9M-8.8M-27.2M-9.3M
Net VEX-98.5K-103.1K-90.6K-97.6K-98.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.008.950.090.05
Total Volume4,221.46022,3247,0129,856
Total OI114,030.662,544142,948132,29680,244

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$7.17$5.6323.2%6.7%0.0%0.0%23.4%-2.6%-0.9%689.1K-27.2M-97.6K0.0916.44N/AN/A6,43258074,31257,984
2007-01-04$7.43$5.6325.2%7.2%0.0%0.0%25.2%3.3%-1.9%992.4K-35.5M-102.9K0.0610.68N/AN/A3,91221678,12857,680
2007-01-05$7.27$7.5025.6%6.7%0.0%0.0%0.0%0.6%0.7%967.6K-31.1M-102.5K7.9627.86N/AN/A1841,46480,05257,752
2007-01-08$7.22$7.5026.2%6.8%0.0%0.0%0.0%1.5%0.6%957.5K-29.9M-100.4K1.8311.64N/AN/A18433680,05657,968
2007-01-09$7.32$7.5024.1%6.9%0.0%0.0%0.0%4.1%0.7%1.1M-32.1M-100.7K0.0011.06N/AN/A60080,07657,936
2007-01-10$7.37$7.5025.4%6.8%0.0%0.0%23.6%4.7%1.0%1.2M-33.9M-101.0K0.6511.03N/AN/A1248080,06857,936
2007-01-11$7.49$7.5023.5%6.7%0.0%0.0%23.2%4.3%0.2%1.4M-37.3M-99.5K0.358.02N/AN/A56820080,13658,016
2007-01-12$7.49$7.5022.8%6.5%0.0%0.0%22.3%2.7%1.1%1.4M-37.5M-99.1K0.297.34N/AN/A2888480,22457,964
2007-01-16$7.46$7.5023.1%6.6%0.0%0.0%23.1%4.8%1.1%1.7M-36.9M-94.5K0.508.05N/AN/A1,12456080,22857,996
2007-01-17$7.41$7.5024.8%7.1%0.0%0.0%25.2%4.1%0.1%1.7M-33.4M-95.2K3.4131.89N/AN/A3,54812,11280,54458,488
2007-01-18$7.38$6.2524.2%6.9%0.0%0.0%24.2%3.9%0.4%1.5M-30.9M-94.3K1.1111.15N/AN/A1,8282,03682,66460,284
2007-01-19$7.51$6.2524.0%6.9%0.0%0.0%24.0%4.2%0.6%4.1M-38.9M-94.2K1.1612.78N/AN/A1,5441,79281,92459,900
2007-01-22$7.49$6.2522.2%6.4%0.0%0.0%22.2%4.5%2.1%473.2K-13.7M-90.6K8.9511.71N/AN/A2,24420,08038,37624,168
2007-01-23$7.46$6.2521.8%6.3%0.0%0.0%0.0%3.9%2.2%401.7K-11.8M-103.1K0.2111.51N/AN/A6,3361,30037,15644,248
2007-01-24$7.51$6.2521.1%6.0%0.0%0.0%21.1%4.5%2.5%417.0K-12.7M-100.0K0.0714.53N/AN/A2,55217236,40443,788
2007-01-25$7.45$6.2520.6%5.9%22.1%0.0%20.6%4.1%2.3%390.1K-11.0M-99.9K1.9115.29N/AN/A9217635,35243,928
2007-01-26$7.38$6.2520.7%5.9%21.9%0.0%20.7%4.0%1.9%348.3K-9.3M-99.4K8.8813.54N/AN/A1721,52834,41644,104
2007-01-29$7.35$6.2520.7%5.9%21.3%0.0%0.0%4.3%2.2%313.8K-8.8M-97.8K0.0017.33N/AN/A604034,47645,404
2007-01-30$7.37$6.2520.6%5.9%20.7%0.0%20.6%4.2%1.7%328.5K-9.0M-99.0K0.0716.94N/AN/A56434,82845,404
2007-01-31$7.39$6.2522.8%6.5%20.1%0.0%22.8%3.5%-0.1%325.5K-9.3M-98.4K0.0513.35N/AN/A9,40445234,83645,408