TJX Options History — June 2007

In June 2007, TJX traded between $6.70 and $7.17. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.7% (HV 20d: 21.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-06-06: Highest Volume — 35,912 contracts
  • 2007-06-06: Largest IV spike — 130.8% change
  • 2007-06-08: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.98$6.70$7.17$7.03$6.88
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV27.4%15.7%54.5%15.7%19.2%
Expected Move6.8%4.5%8.6%4.5%5.5%
HV 20d21.7%20.6%22.5%20.7%22.1%
HV 60d18.4%17.4%19.4%17.4%19.1%
Term Structure-0.6%-5.6%9.1%6.1%6.1%
VWIV24.1%15.4%30.0%15.4%27.2%
Skew 25d2.3%1.6%3.4%2.1%2.0%
Skew 10d4.1%2.0%5.6%4.2%3.4%
Call IV 25d22.6%20.7%23.5%21.0%23.1%
Put IV 25d24.9%23.1%26.1%23.1%25.1%
Bid-Ask Spread %27.116.7448.646.7431.64
Gamma HHI0.490.380.610.460.45
Net GEX464.3K-18.3K1.0M313.9K316.0K
Net DEX-2.6M-7.0M3.0M-1.2M-976.1K
Net VEX-139.5K-155.7K-126.8K-138.0K-128.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.006.050.580.00
Total Volume3,820.57111235,9121,440616
Total OI150,859.619140,476166,004140,736145,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$7.03$7.5015.7%4.5%20.7%0.0%15.4%2.1%6.1%313.9K-1.2M-138.0K0.586.74N/AN/A91252849,90890,828
2007-06-04$7.17$7.5023.2%6.0%21.8%0.0%20.8%2.9%1.5%425.6K-4.4M-137.4K1.5828.82N/AN/A17227249,52890,948
2007-06-05$7.11$7.5016.3%6.1%21.9%0.0%15.6%2.7%1.3%392.7K-2.8M-137.5K0.1332.58N/AN/A3044049,61691,220
2007-06-06$7.13$7.5037.7%8.2%20.6%0.0%28.4%2.8%-3.6%265.8K-4.9M-146.3K0.0131.42N/AN/A35,41250049,77691,260
2007-06-07$6.93$7.5031.8%7.7%22.1%0.0%27.1%2.9%-2.8%509.1K-1.4M-152.9K0.2423.42N/AN/A1,16028466,24891,496
2007-06-08$7.05$7.5045.7%8.6%22.3%0.0%30.0%2.3%-5.6%635.3K-5.2M-153.2K0.0728.83N/AN/A18,8721,26866,42491,696
2007-06-11$7.00$7.5054.5%8.0%22.0%0.0%27.9%2.5%-4.1%781.4K-4.8M-155.7K0.2322.81N/AN/A2,77663273,72892,236
2007-06-12$6.93$7.5037.8%7.8%22.0%0.0%27.0%2.2%-3.6%484.3K-380.8K-149.5K0.7123.78N/AN/A36025673,08492,712
2007-06-13$7.12$7.5037.1%7.4%22.5%0.0%25.8%3.4%-2.7%1.0M-6.5M-150.7K0.0732.08N/AN/A1,3049673,19292,528
2007-06-14$7.17$7.5024.7%7.1%22.5%0.0%24.7%3.4%-2.1%964.2K-7.0M-146.1K0.0111.71N/AN/A3,1684073,47692,528
2007-06-15$7.17$7.5023.3%6.7%22.5%0.0%23.2%2.2%-0.6%822.4K-6.0M-138.3K6.059.18N/AN/A6764,09271,58892,488
2007-06-18$7.09$7.5024.7%7.1%20.6%0.0%24.7%2.0%-0.3%708.6K-6.9M-137.5K0.019.53N/AN/A572857,76488,384
2007-06-19$7.04$7.5022.3%6.4%20.7%0.0%22.5%2.3%1.0%636.3K-4.2M-139.0K0.0718.40N/AN/A1,1488058,21288,384
2007-06-20$6.89$7.5021.8%6.2%21.7%0.0%27.1%2.2%-2.7%401.0K-1.9M-134.5K0.0218.10N/AN/A2,2004058,58488,348
2007-06-21$6.90$7.5019.9%5.7%21.6%0.0%16.1%1.8%0.6%343.4K-933.6K-135.4K0.1535.83N/AN/A3485257,98088,388
2007-06-22$6.83$7.5025.1%7.2%21.0%0.0%26.0%1.7%-4.3%253.0K195.7K-133.8K0.0535.77N/AN/A2281258,03288,424
2007-06-25$6.72$7.5024.1%6.9%21.7%0.0%24.3%1.8%0.7%-18.3K3.0M-129.8K0.0444.55N/AN/A9243658,12888,416
2007-06-26$6.70$7.5026.1%7.5%21.7%0.0%24.1%1.6%-4.4%-5.1K2.5M-129.1K5.7745.43N/AN/A5230058,59687,408
2007-06-27$6.80$7.5028.5%8.2%22.2%0.0%28.2%2.0%-3.1%205.6K307.3K-129.9K0.1448.64N/AN/A3324858,64887,072
2007-06-28$6.87$7.5016.7%4.8%22.2%0.0%19.8%1.9%9.1%301.1K-797.1K-126.8K0.0030.02N/AN/A112058,40087,024
2007-06-29$6.88$7.5019.2%5.5%22.1%0.0%27.2%2.0%6.1%316.0K-976.1K-128.6K0.0031.64N/AN/A616058,32887,024