TJX Options History — May 2007

In May 2007, TJX traded between $6.86 and $7.14. ATM implied volatility averaged 21.9%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.4% (HV 20d: 18.5%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2007-05-10: Highest Volume — 12,728 contracts
  • 2007-05-15: Largest IV drop — 39.8% change
  • 2007-05-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.00$6.86$7.14$7.04$6.99
Max Pain$6.96$5.63$7.50$5.63$7.50
ATM IV21.9%13.9%29.0%21.6%13.9%
Expected Move6.0%4.0%8.0%6.2%4.0%
HV 20d18.5%13.9%21.7%15.1%20.9%
HV 60d17.3%16.5%18.1%17.2%17.5%
Term Structure-0.9%-6.9%9.9%-4.9%9.9%
VWIV20.7%12.6%28.0%23.2%19.4%
Skew 25d3.1%2.1%3.9%3.9%2.2%
Skew 10d5.7%4.2%7.1%6.5%5.1%
Call IV 25d20.8%19.9%21.6%20.6%20.4%
Put IV 25d23.9%22.5%24.6%24.5%22.5%
Bid-Ask Spread %24.926.0557.6615.766.05
Gamma HHI0.530.410.810.620.44
Net GEX444.0K149.4K873.2K582.8K246.2K
Net DEX-4.2M-9.5M912.9K-8.4M-303.7K
Net VEX-129.9K-149.7K-71.2K-120.8K-132.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0016.070.111.73
Total Volume3,2064812,7283,8564,484
Total OI126,227.45561,760148,664108,324138,040

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$7.04$5.6321.6%6.2%15.1%0.0%23.2%3.9%-4.9%582.8K-8.4M-120.8K0.1115.76N/AN/A3,46439249,02459,300
2007-05-02$7.09$5.6327.9%8.0%13.9%0.0%28.0%3.5%-5.4%649.0K-9.5M-117.4K0.0825.80N/AN/A4,43237649,10459,656
2007-05-03$7.02$5.6324.3%7.0%14.5%0.0%0.0%3.8%-6.9%703.4K-8.0M-119.9K16.0722.38N/AN/A1602,57252,01259,744
2007-05-04$7.01$7.5028.9%6.4%14.2%0.0%22.4%3.6%-1.2%635.0K-6.5M-116.7K0.9735.48N/AN/A1,2321,20052,16861,516
2007-05-07$7.06$7.5022.9%6.4%14.2%0.0%0.0%3.4%-1.4%699.1K-7.8M-119.3K0.0131.24N/AN/A468452,48862,344
2007-05-08$6.92$7.5029.0%5.1%15.9%0.0%15.6%3.5%-0.0%574.8K-5.6M-118.1K0.0041.07N/AN/A124051,94462,340
2007-05-09$7.04$6.2527.2%6.5%16.9%0.0%22.8%3.0%-2.1%687.5K-8.0M-114.8K8.9632.15N/AN/A8207,34851,94062,340
2007-05-10$7.14$6.2522.6%6.5%17.7%0.0%23.5%3.4%-1.5%873.2K-8.8M-126.4K11.297.47N/AN/A1,03611,69252,59269,312
2007-05-11$7.04$7.5023.1%6.6%18.5%0.0%22.1%3.3%-2.3%576.3K-5.3M-145.7K1.1819.53N/AN/A68080053,21680,932
2007-05-14$7.09$6.2527.4%7.9%17.8%0.0%26.8%2.7%-4.0%806.0K-8.6M-71.2K0.1011.40N/AN/A10,1401,05245,58416,176
2007-05-15$6.94$6.2516.5%4.7%19.5%0.0%18.4%2.6%1.5%338.6K-3.6M-142.8K0.117.22N/AN/A4,56450861,04482,612
2007-05-16$6.91$6.2518.4%5.3%19.5%0.0%15.5%2.5%-0.8%210.2K-2.1M-141.7K1.6628.64N/AN/A2,4964,15260,09682,600
2007-05-17$6.88$7.5020.1%5.7%19.1%0.0%12.6%3.5%-2.4%175.8K481.8K-149.7K0.2434.43N/AN/A1644062,03686,628
2007-05-18$7.08$7.5020.1%5.8%21.4%0.0%20.3%3.7%1.0%310.0K-3.8M-148.3K0.0657.66N/AN/A5563661,97686,652
2007-05-21$7.07$7.5022.7%6.5%20.7%0.0%22.4%3.1%-1.4%328.5K-3.2M-148.3K0.0012.16N/AN/A96049,46486,412
2007-05-22$6.99$7.5017.6%5.0%20.9%0.0%21.5%2.9%-0.2%291.1K-1.7M-137.4K0.1431.25N/AN/A6448849,47686,412
2007-05-23$7.04$7.5016.4%4.7%21.0%0.0%20.5%2.9%0.7%336.6K-2.8M-144.0K0.0030.78N/AN/A256049,82886,316
2007-05-24$6.92$7.5020.4%5.9%21.7%0.0%0.0%2.1%-3.2%223.5K-566.5K-141.5K0.0030.39N/AN/A1,400049,85686,316
2007-05-25$6.88$7.5017.3%5.0%21.6%0.0%17.4%2.7%8.2%168.9K733.1K-135.7K0.1129.55N/AN/A5245649,63686,316
2007-05-29$6.86$7.5020.1%5.8%20.8%0.0%0.0%2.4%3.0%149.4K912.9K-134.1K2.0030.05N/AN/A163249,44086,328
2007-05-30$6.93$7.5023.1%6.6%20.9%0.0%0.0%2.3%-5.6%202.4K22.1K-131.1K8.207.79N/AN/A2642,16449,42886,360
2007-05-31$6.99$7.5013.9%4.0%20.9%0.0%19.4%2.2%9.9%246.2K-303.7K-132.8K1.736.05N/AN/A1,6402,84449,61288,428