TJX Options History — February 2007 In February 2007, TJX traded between $6.88 and $7.18. ATM implied volatility averaged 20.3%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.6% (HV 20d: 20.9%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.99.
Notable Days 2007-02-02 : Highest Volume — 7,400 contracts2007-02-08 : Largest IV spike — 27.3% change2007-02-01 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $7.07 $6.88 $7.18 $7.12 $6.88 Max Pain $7.43 $6.25 $7.50 $6.25 $7.50 ATM IV 20.3% 15.2% 25.7% 25.7% 18.8% Expected Move 6.1% 4.4% 7.4% 7.4% 5.4% HV 20d 20.9% 19.4% 23.9% 23.9% 23.0% Term Structure -1.3% -3.8% 4.4% -1.4% 4.4% VWIV 21.1% 14.5% 25.8% 25.8% 19.7% Skew 25d 3.7% 3.3% 4.1% 3.4% 3.8% Skew 10d 6.0% 5.2% 7.5% 5.2% 7.5% Call IV 25d 20.1% 19.2% 21.3% 21.3% 20.0% Put IV 25d 23.8% 23.2% 24.7% 24.7% 23.8% Bid-Ask Spread % 23.04 6.58 37.36 22.16 7.19 Gamma HHI 0.55 0.43 0.62 0.58 0.43 Net GEX 412.0K 197.6K 603.9K 481.7K 197.6K Net DEX -3.6M -7.0M 539.1K -6.0M 539.1K Net VEX -97.0K -103.9K -88.1K -103.9K -90.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.04 4.33 0.57 1.08 Total Volume 1,535.368 80 7,400 1,888 4,448 Total OI 89,434.526 84,084 94,148 88,204 85,188
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $7.12 $6.25 25.7% 7.4% 23.9% 0.0% 25.8% 3.4% -1.4% 481.7K -6.0M -103.9K 0.57 22.16 N/A N/A 1,204 684 42,472 45,732 2007-02-02 $7.17 $7.50 19.7% 7.0% 20.0% 0.0% 24.2% 3.7% -1.7% 603.9K -7.0M -101.7K 0.94 27.15 N/A N/A 3,808 3,592 43,228 45,824 2007-02-05 $7.03 $7.50 18.4% 6.9% 19.8% 0.0% 0.0% 3.4% -2.0% 317.1K -3.3M -102.6K 1.51 35.72 N/A N/A 488 736 44,792 47,028 2007-02-06 $7.09 $7.50 22.9% 7.0% 20.0% 0.0% 22.4% 4.1% -2.3% 497.9K -4.4M -101.8K 0.28 33.85 N/A N/A 476 132 43,296 47,336 2007-02-07 $7.04 $7.50 17.7% 6.6% 19.4% 0.0% 20.8% 3.7% -0.7% 351.0K -3.2M -101.4K 0.23 35.04 N/A N/A 888 200 43,604 47,368 2007-02-08 $7.15 $7.50 22.5% 6.4% 20.0% 0.0% 25.0% 3.9% -1.6% 488.4K -4.9M -99.7K 0.11 12.65 N/A N/A 2,812 300 43,960 47,468 2007-02-09 $7.02 $7.50 22.6% 6.5% 19.8% 0.0% 23.2% 3.6% -1.4% 360.8K -3.0M -100.2K 0.29 37.36 N/A N/A 344 100 45,900 47,592 2007-02-12 $7.01 $7.50 22.1% 6.3% 19.8% 0.0% 0.0% 3.4% -2.0% 353.1K -3.0M -98.8K 0.40 34.03 N/A N/A 100 40 46,112 47,528 2007-02-13 $7.03 $7.50 22.1% 6.3% 19.9% 0.0% 0.0% 3.3% -2.7% 389.9K -3.0M -98.8K 4.33 34.08 N/A N/A 60 260 46,172 47,488 2007-02-14 $7.16 $7.50 22.5% 6.4% 21.2% 0.0% 22.5% 4.1% -1.7% 479.9K -5.3M -99.3K 0.04 13.21 N/A N/A 1,448 52 46,080 47,696 2007-02-15 $7.18 $7.50 22.2% 6.4% 21.2% 0.0% 22.1% 3.4% -2.3% 542.1K -5.5M -98.8K 0.53 14.54 N/A N/A 376 200 46,408 47,740 2007-02-16 $7.12 $7.50 22.9% 6.6% 20.1% 0.0% 0.0% 4.0% -3.2% 385.2K -4.4M -96.6K 0.24 16.14 N/A N/A 444 108 46,392 47,740 2007-02-20 $7.16 $7.50 22.3% 6.4% 20.3% 0.0% 22.3% 4.1% -3.5% 452.7K -4.5M -94.5K 0.42 15.83 N/A N/A 1,288 536 36,932 47,152 2007-02-21 $7.04 $7.50 16.6% 4.8% 20.9% 0.0% 16.3% 3.6% -1.0% 372.1K -1.7M -91.3K 0.41 8.52 N/A N/A 840 348 37,444 47,316 2007-02-22 $7.16 $7.50 15.3% 4.4% 21.7% 0.0% 18.7% 4.0% -0.6% 483.8K -4.0M -93.2K 3.21 17.01 N/A N/A 268 860 37,388 47,372 2007-02-23 $7.12 $7.50 15.2% 4.4% 21.6% 0.0% 0.0% 3.9% 0.4% 440.6K -3.4M -92.8K 0.18 31.30 N/A N/A 68 12 37,496 47,680 2007-02-26 $7.06 $7.50 18.6% 5.3% 21.5% 0.0% 14.5% 3.4% -3.8% 408.2K -2.5M -88.9K 2.79 35.46 N/A N/A 76 212 37,460 47,660 2007-02-27 $6.88 $7.50 16.9% 4.8% 23.1% 0.0% 17.5% 4.0% 2.3% 222.6K 216.7K -88.1K 1.21 6.58 N/A N/A 616 748 37,488 47,724 2007-02-28 $6.88 $7.50 18.8% 5.4% 23.0% 0.0% 19.7% 3.8% 4.4% 197.6K 539.1K -90.5K 1.08 7.19 N/A N/A 2,136 2,312 37,544 47,644
« Jan 2007 | All History | Mar 2007 » Home TJX History February 2007