TJX Options History — July 2007

In July 2007, TJX traded between $6.83 and $7.41. ATM implied volatility averaged 33.4%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.9% (HV 20d: 26.5%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 7.30.

Notable Days

  • 2007-07-09: Highest Volume — 124,660 contracts
  • 2007-07-09: Largest IV spike — 127.6% change
  • 2007-07-10: Highest IV Rank — 99.9%
  • 2007-07-10: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.14$6.83$7.41$6.88$6.94
Max Pain$7.38$6.25$7.50$7.50$7.50
ATM IV33.4%21.8%54.4%23.3%28.4%
Expected Move9.2%6.4%12.9%6.7%8.1%
HV 20d26.5%19.2%32.8%20.7%32.8%
HV 60d22.5%19.0%25.3%19.0%25.3%
IV Rank50.5%19.3%99.9%20.5%35.6%
IV Percentile87.0%46.5%99.2%53.2%84.0%
Term Structure-6.4%-13.4%-1.4%-4.0%-5.4%
VWIV32.3%17.0%45.1%17.0%27.4%
Skew 25d2.0%0.8%3.1%1.6%2.5%
Skew 10d3.2%0.4%5.6%2.8%4.2%
Call IV 25d24.7%22.1%27.9%23.1%26.2%
Put IV 25d26.7%24.7%28.9%24.8%28.7%
Bid-Ask Spread %27.6710.0352.9429.9319.63
Gamma HHI0.640.440.850.460.52
Net GEX1.9M324.1K5.5M324.1K809.6K
Net DEX-13.4M-35.0M933.2K-1.2M-3.3M
Net VEX-151.2K-182.4K-117.8K-123.8K-150.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.300.00148.750.830.16
Total Volume15,117.33336124,660442,812
Total OI188,929.143144,476235,996145,116170,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$6.88$7.5023.3%6.7%20.7%0.0%17.0%1.6%-4.0%324.1K-1.2M-123.8K0.8329.93N/AN/A242058,09287,024
2007-07-03$6.89$7.5025.7%7.4%20.7%0.0%31.8%1.8%-8.0%364.3K-1.7M-124.4K0.2915.92N/AN/A28857,89287,104
2007-07-05$7.00$7.5022.2%6.4%21.5%20.5%26.8%2.2%-3.5%549.1K-3.2M-123.1K0.0031.55N/AN/A852057,86487,012
2007-07-06$7.04$6.2521.8%6.8%19.2%19.3%23.8%2.6%-1.4%656.9K-3.9M-117.8K0.0037.49N/AN/A15,048057,46487,012
2007-07-09$7.30$6.2549.5%10.9%22.3%87.7%38.1%1.8%-9.4%930.9K-16.5M-126.2K0.0734.03N/AN/A116,5528,10864,77687,012
2007-07-10$7.01$7.5054.4%12.9%26.7%99.9%45.1%0.8%-13.4%1.6M-16.2M-165.7K0.1520.82N/AN/A29,6204,348118,40891,560
2007-07-11$7.00$7.5049.9%11.2%26.5%88.8%39.0%2.1%-9.3%1.7M-13.3M-172.3K1.0427.30N/AN/A11,33611,804124,90891,824
2007-07-12$7.16$7.5036.0%10.3%26.1%54.3%36.0%2.7%-8.1%2.4M-19.4M-182.4K0.1630.10N/AN/A6,188988130,860102,536
2007-07-13$7.40$7.5037.9%10.9%28.6%59.0%37.8%1.6%-10.2%3.1M-35.0M-177.7K0.0637.10N/AN/A23,9921,532129,116100,688
2007-07-16$7.35$7.5036.2%10.4%28.7%54.8%36.2%2.0%-8.5%3.7M-30.2M-166.7K0.4914.59N/AN/A4,9402,408130,83299,284
2007-07-17$7.41$7.5037.7%10.8%28.4%58.5%37.7%2.2%-10.1%4.3M-32.9M-165.9K0.0421.45N/AN/A18,504812129,120100,988
2007-07-18$7.37$7.5035.2%10.1%28.4%52.5%35.2%2.5%-7.3%4.6M-28.1M-168.5K0.0025.16N/AN/A5,9160134,332101,664
2007-07-19$7.39$7.5034.4%9.9%27.0%50.6%34.4%1.5%-7.0%5.5M-23.0M-161.9K0.0323.28N/AN/A1,58040129,312101,664
2007-07-20$7.37$7.5030.2%8.7%27.1%40.1%30.2%1.6%-4.4%4.6M-15.7M-149.9K0.0431.18N/AN/A17,916704127,168101,704
2007-07-23$7.33$7.5029.0%8.3%26.9%37.1%29.0%1.5%-3.5%1.3M-14.7M-142.9K0.0410.03N/AN/A6,12024075,49688,544
2007-07-24$7.18$7.5028.1%8.0%27.2%34.9%28.1%2.2%-3.0%1.2M-9.8M-143.4K0.0816.86N/AN/A2,23217277,16888,744
2007-07-25$7.11$7.5029.6%8.5%27.5%38.6%29.6%1.6%-2.4%1.0M-7.4M-146.2K0.0416.41N/AN/A7,70034077,07288,752
2007-07-26$6.90$7.5026.8%7.7%29.4%31.8%31.2%2.1%-4.3%678.0K-1.2M-157.1K148.7548.25N/AN/A8011,90087,41688,840
2007-07-27$6.83$7.5034.0%9.7%29.5%49.4%30.2%2.3%-7.3%462.8K933.2K-156.7K0.1652.94N/AN/A1,30420481,93695,516
2007-07-30$7.07$7.5032.3%9.3%32.0%45.3%33.5%3.1%-4.5%1.0M-6.1M-152.4K0.8137.07N/AN/A60448882,02088,008
2007-07-31$6.94$7.5028.4%8.1%32.8%35.6%27.4%2.5%-5.4%809.6K-3.3M-150.2K0.1619.63N/AN/A2,42438882,33688,444