TJX Options History — March 2007

In March 2007, TJX traded between $6.50 and $6.88. ATM implied volatility averaged 22.0%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 18.6%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 31.45.

Notable Days

  • 2007-03-22: Highest Volume — 20,204 contracts
  • 2007-03-28: Largest IV spike — 27.0% change
  • 2007-03-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.68$6.50$6.88$6.88$6.74
Max Pain$6.82$6.25$7.50$7.50$6.25
ATM IV22.0%17.6%26.4%17.6%20.3%
Expected Move6.7%5.0%7.9%5.0%5.8%
HV 20d18.6%16.3%22.9%22.9%17.3%
HV 60d20.7%20.0%21.6%21.1%20.0%
Term Structure1.9%-3.4%10.4%3.8%9.9%
VWIV21.9%14.5%26.0%21.6%20.5%
Skew 25d3.9%3.2%4.5%3.8%4.0%
Skew 10d7.5%6.4%8.5%7.4%7.6%
Call IV 25d20.4%19.6%21.4%20.2%19.6%
Put IV 25d24.3%23.1%25.3%24.0%23.6%
Bid-Ask Spread %17.266.5530.706.5724.95
Gamma HHI0.360.310.440.440.34
Net GEX15.8K-161.4K215.5K215.5K85
Net DEX2.1M91.4K4.9M255.7K1.5M
Net VEX-89.8K-100.8K-79.2K-89.9K-100.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.450.02560.220.4924.43
Total Volume2,2902020,204844712
Total OI92,43084,568110,06885,936110,068

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$6.88$7.5017.6%5.0%22.9%0.0%0.0%3.8%3.8%215.5K255.7K-89.9K0.496.57N/AN/A56827637,68448,252
2007-03-02$6.83$7.5019.1%5.5%19.3%0.0%0.0%3.6%6.0%121.7K91.4K-95.8K0.676.55N/AN/A966437,52448,356
2007-03-05$6.72$7.5018.4%7.2%19.5%0.0%21.6%3.5%-0.0%35.0K292.9K-96.3K0.3830.70N/AN/A77629637,62048,400
2007-03-06$6.67$7.5018.7%7.0%18.5%0.0%24.2%3.8%0.8%34.3K1.7M-93.7K12.4412.71N/AN/A6479637,79648,368
2007-03-07$6.74$7.5020.1%6.9%18.6%0.0%24.1%4.4%0.5%62.5K2.2M-88.0K0.7628.50N/AN/A65649637,74047,872
2007-03-08$6.83$7.5022.0%7.2%19.3%0.0%25.6%4.1%1.1%144.8K938.1K-88.7K2.6823.59N/AN/A1,5764,22438,22448,140
2007-03-09$6.76$7.5023.4%7.5%18.5%0.0%26.0%4.5%-1.2%131.3K1.5M-86.5K11.1918.29N/AN/A1481,65639,40846,676
2007-03-12$6.71$7.5024.3%7.6%17.7%0.0%0.0%3.6%-2.1%50.5K2.8M-88.1K0.0212.70N/AN/A1,7804039,48048,332
2007-03-13$6.52$7.5021.6%7.5%20.0%0.0%25.5%3.9%-2.6%-85.8K4.9M-88.2K2.169.52N/AN/A31668441,07648,332
2007-03-14$6.50$7.5022.7%7.9%19.9%0.0%17.0%3.9%-3.4%-73.0K4.7M-87.8K0.098.87N/AN/A4,04836441,18847,956
2007-03-15$6.54$6.2526.4%7.6%18.5%0.0%0.0%4.4%-1.2%-54.3K3.8M-87.1K0.0012.37N/AN/A02041,21646,480
2007-03-16$6.53$6.2526.1%7.5%18.3%0.0%0.0%4.0%-2.0%-63.4K3.6M-83.6K0.1510.09N/AN/A801241,21646,500
2007-03-19$6.56$6.2524.3%7.0%18.5%0.0%24.4%4.3%1.0%-79.1K2.8M-80.2K0.4512.96N/AN/A2,2881,03639,50845,060
2007-03-20$6.62$6.2525.0%7.2%18.8%0.0%17.3%3.8%-0.7%-26.6K2.4M-82.6K0.169.23N/AN/A5649241,55645,468
2007-03-21$6.67$6.2523.4%6.7%18.8%0.0%23.5%3.7%0.5%-9181.7M-79.2K0.3019.06N/AN/A1,45643640,05245,456
2007-03-22$6.71$6.2523.4%6.7%17.8%0.0%22.6%3.9%1.3%73.3K869.4K-81.1K560.2212.82N/AN/A3620,16841,18445,652
2007-03-23$6.75$6.2518.6%5.3%18.0%0.0%22.6%4.4%10.4%43.9K1.3M-98.0K0.0024.44N/AN/A04441,18865,752
2007-03-26$6.78$6.2520.3%5.8%18.0%0.0%14.5%3.5%9.8%87.0K954.3K-95.9K2.8025.64N/AN/A10028041,18865,792
2007-03-27$6.69$6.2519.1%5.5%16.3%0.0%15.4%3.2%8.7%-65.5K2.2M-94.9K1.2525.41N/AN/A324041,17666,048
2007-03-28$6.63$6.2524.3%7.0%16.6%0.0%0.0%3.9%0.1%-161.4K3.2M-92.6K0.0219.24N/AN/A1,1762041,17665,988
2007-03-29$6.71$6.2524.5%7.0%17.4%0.0%25.0%3.9%1.3%-41.7K1.9M-96.0K8.4225.51N/AN/A3042,56041,34465,968
2007-03-30$6.74$6.2520.3%5.8%17.3%0.0%20.5%4.0%9.9%851.5M-100.8K24.4324.95N/AN/A2868441,84468,224