TJX Options History — April 2007

In April 2007, TJX traded between $6.77 and $7.25. ATM implied volatility averaged 18.3%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.0% (HV 20d: 14.2%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2007-04-10: Highest Volume — 11,452 contracts
  • 2007-04-30: Largest IV spike — 18.6% change
  • 2007-04-30: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.03$6.77$7.25$6.77$6.97
Max Pain$5.97$5.63$6.25$6.25$5.63
ATM IV18.3%14.8%21.8%15.1%21.8%
Expected Move5.2%4.2%6.2%4.3%6.2%
HV 20d14.2%11.8%17.5%16.4%14.9%
HV 60d18.2%17.1%18.5%18.5%17.1%
Term Structure1.0%-4.0%10.8%10.8%-4.0%
VWIV20.3%13.4%27.0%25.2%26.5%
Skew 25d3.7%2.9%4.3%3.5%2.9%
Skew 10d6.1%5.0%7.3%6.8%5.3%
Call IV 25d19.6%18.8%20.9%20.5%20.9%
Put IV 25d23.3%22.3%24.2%23.9%23.8%
Bid-Ask Spread %23.164.5938.655.3431.89
Gamma HHI0.550.290.700.290.61
Net GEX425.5K-106.7K810.4K-106.7K515.6K
Net DEX-6.4M-11.4M1.1M1.1M-7.3M
Net VEX-108.0K-118.8K-88.2K-89.1K-112.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.002.080.810.23
Total Volume2,570.26011,4522683,712
Total OI115,343.899,684124,956109,544106,188

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$6.77$6.2515.1%4.3%16.4%0.0%25.2%3.5%10.8%-106.7K1.1M-89.1K0.815.34N/AN/A14812041,52468,020
2007-04-03$6.90$6.2514.8%4.2%17.5%0.0%19.2%4.0%7.5%81.8K-559.5K-88.2K0.065.92N/AN/A5,50432041,60067,776
2007-04-04$6.92$6.2516.1%4.6%17.3%0.0%15.0%3.7%5.6%181.6K-1.9M-97.0K0.015.93N/AN/A6,4328046,81667,840
2007-04-05$6.97$6.2515.0%4.3%17.0%0.0%14.3%4.3%5.5%341.4K-3.4M-104.3K1.664.59N/AN/A24841251,89267,824
2007-04-09$7.02$6.2515.6%4.5%16.6%0.0%25.9%4.0%1.0%406.6K-3.8M-104.7K0.3037.55N/AN/A2768451,88068,236
2007-04-10$6.98$6.2517.1%4.8%16.4%0.0%0.0%3.9%-0.0%379.4K-3.6M-103.0K0.0038.65N/AN/A11,4124051,94868,268
2007-04-11$6.96$6.2519.5%4.9%12.0%0.0%15.8%3.4%-0.4%356.0K-4.5M-111.8K0.0238.23N/AN/A5,28011654,79668,308
2007-04-12$6.97$6.2516.7%4.8%11.8%0.0%13.4%3.5%0.4%468.8K-7.1M-114.4K0.2538.14N/AN/A481256,56468,384
2007-04-13$6.98$6.2516.5%4.7%11.8%0.0%20.2%3.2%-0.2%495.2K-7.1M-110.6K0.0037.08N/AN/A124056,56868,388
2007-04-16$7.09$6.2519.1%5.5%12.4%0.0%0.0%4.1%0.9%494.1K-8.1M-113.3K0.1538.26N/AN/A5528456,56068,388
2007-04-17$7.08$6.2521.2%6.1%12.5%0.0%27.0%3.1%-0.9%546.9K-8.2M-112.3K0.0116.17N/AN/A1,8642856,56068,348
2007-04-18$7.10$5.6320.5%5.9%12.4%0.0%18.0%3.8%-0.6%536.8K-8.7M-112.2K0.0517.30N/AN/A8404055,66468,280
2007-04-19$7.16$5.6321.2%6.1%12.4%0.0%21.3%3.7%-1.0%559.3K-9.9M-107.4K0.0010.02N/AN/A1,096056,08468,280
2007-04-20$7.25$5.6320.9%6.0%12.9%0.0%20.9%3.4%-0.4%810.4K-11.4M-110.5K0.0313.77N/AN/A1,3484055,85668,280
2007-04-23$7.14$5.6321.4%6.1%14.6%0.0%21.5%3.4%-1.8%474.2K-9.2M-107.0K0.0016.63N/AN/A2,232040,43659,248
2007-04-24$7.09$5.6320.6%5.9%15.0%0.0%0.0%4.3%-0.5%465.3K-8.3M-114.0K2.0835.02N/AN/A1,6963,52042,49259,248
2007-04-25$7.08$5.6317.4%5.0%14.1%0.0%21.1%3.9%-0.3%502.2K-9.0M-114.4K0.5921.10N/AN/A32419244,03259,048
2007-04-26$7.04$5.6316.9%4.8%13.6%0.0%16.9%3.8%-0.7%484.2K-8.2M-118.8K0.6930.13N/AN/A644444,33259,240
2007-04-27$7.09$5.6318.3%5.3%13.1%0.0%22.9%4.0%-1.3%517.6K-9.3M-115.5K0.0321.47N/AN/A2,9848844,39659,284
2007-04-30$6.97$5.6321.8%6.2%14.9%0.0%26.5%2.9%-4.0%515.6K-7.3M-112.3K0.2331.89N/AN/A3,02468846,82459,364