TJX Options History — August 2007 In August 2007, TJX traded between $6.75 and $7.69. ATM implied volatility averaged 29.7%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 6.0% (HV 20d: 35.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.12.
Notable Days 2007-08-17 : Highest Volume — 39,088 contracts2007-08-13 : Largest IV spike — 86.9% change2007-08-13 : Highest IV Rank — 84.0%2007-08-09 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $7.25 $6.75 $7.69 $7.00 $7.62 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 29.7% 20.4% 48.0% 27.0% 28.0% Expected Move 8.4% 5.9% 10.2% 7.7% 8.0% HV 20d 35.7% 30.9% 39.3% 33.0% 37.7% HV 60d 28.6% 25.1% 31.5% 25.4% 31.2% IV Rank 38.9% 16.0% 84.0% 32.2% 34.7% IV Percentile 78.8% 30.6% 97.4% 80.7% 77.2% Term Structure 0.4% -5.4% 8.0% -5.4% 1.8% VWIV 30.1% 25.6% 36.3% 33.3% 28.0% Skew 25d 3.8% 1.9% 5.7% 3.3% 4.2% Skew 10d 7.2% 2.3% 15.1% 5.4% 6.6% Call IV 25d 26.9% 24.5% 29.8% 25.4% 25.8% Put IV 25d 30.7% 28.1% 35.1% 28.7% 30.0% Bid-Ask Spread % 19.33 9.89 39.73 39.73 14.30 Gamma HHI 0.52 0.39 0.89 0.54 0.48 Net GEX 1.2M 257.5K 7.7M 946.1K 931.6K Net DEX -10.8M -25.9M 1.8M -5.3M -22.0M Net VEX -152.0K -169.9K -140.6K -150.0K -159.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.00 6.42 0.00 2.63 Total Volume 5,576 120 39,088 160 1,392 Total OI 172,312.174 153,872 175,052 172,440 173,432
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $7.00 $7.50 27.0% 7.7% 33.0% 32.2% 33.3% 3.3% -5.4% 946.1K -5.3M -150.0K 0.00 39.73 N/A N/A 160 0 84,100 88,340 2007-08-02 $7.03 $7.50 31.9% 9.1% 32.5% 44.3% 26.5% 2.6% -3.1% 995.1K -4.9M -145.7K 0.07 27.62 N/A N/A 112 8 84,092 88,340 2007-08-03 $6.83 $7.50 20.4% 5.9% 34.1% 16.0% 30.9% 2.6% 8.0% 536.5K 198.5K -143.1K 1.98 37.22 N/A N/A 656 1,300 84,188 88,332 2007-08-06 $7.07 $7.50 37.7% 8.7% 34.0% 58.7% 32.5% 3.7% -0.8% 1.0M -5.5M -151.6K 0.60 16.02 N/A N/A 3,044 1,840 84,772 87,816 2007-08-07 $7.14 $7.50 35.4% 8.8% 30.9% 53.1% 30.8% 3.4% -1.4% 1.3M -8.6M -158.1K 3.46 21.87 N/A N/A 276 956 86,036 89,016 2007-08-08 $7.13 $7.50 34.2% 8.4% 30.9% 50.1% 29.2% 3.4% -0.2% 1.4M -9.6M -148.7K 0.01 23.11 N/A N/A 8,124 116 85,984 88,440 2007-08-09 $6.75 $7.50 31.7% 10.2% 35.7% 43.8% 36.3% 1.9% -2.1% 257.5K 1.8M -141.0K 0.07 17.79 N/A N/A 944 68 84,768 88,520 2007-08-10 $6.88 $7.50 25.7% 9.6% 34.1% 29.0% 36.1% 4.0% -1.2% 287.2K 738.5K -147.4K 0.97 17.77 N/A N/A 992 964 84,940 88,560 2007-08-13 $6.92 $7.50 48.0% 9.5% 34.2% 84.0% 33.3% 3.3% -2.1% 718.7K -2.7M -145.3K 0.13 18.46 N/A N/A 4,476 568 84,836 87,964 2007-08-14 $6.89 $7.50 29.2% 8.8% 33.9% 37.7% 35.2% 3.6% -0.8% 664.9K -2.0M -142.8K 0.73 27.58 N/A N/A 1,640 1,200 85,088 87,884 2007-08-15 $7.12 $7.50 25.5% 9.1% 36.2% 28.6% 31.8% 4.6% -1.3% 496.0K -3.2M -141.2K 0.43 23.94 N/A N/A 548 236 84,924 88,320 2007-08-16 $7.32 $7.50 33.8% 9.7% 37.7% 49.1% 34.0% 5.3% 0.4% 2.9M -11.1M -148.0K 0.82 24.56 N/A N/A 2,296 1,876 84,984 88,372 2007-08-17 $7.50 $7.50 31.5% 9.0% 38.7% 43.4% 31.5% 5.4% -0.2% 7.7M -23.2M -140.6K 0.35 33.00 N/A N/A 28,980 10,108 84,304 88,604 2007-08-20 $7.41 $7.50 28.1% 8.0% 38.9% 34.9% 28.1% 3.7% 1.6% 511.1K -12.9M -147.7K 0.16 9.89 N/A N/A 20,612 3,380 60,196 93,676 2007-08-21 $7.41 $7.50 25.6% 7.3% 38.2% 28.8% 25.6% 5.6% 3.0% 619.5K -12.4M -169.9K 0.62 12.98 N/A N/A 3,396 2,100 69,200 104,136 2007-08-22 $7.46 $7.50 25.8% 7.4% 37.9% 29.2% 25.8% 4.2% 2.0% 621.2K -13.7M -164.6K 6.42 11.28 N/A N/A 468 3,004 69,404 105,492 2007-08-23 $7.47 $7.50 25.8% 7.4% 35.9% 29.4% 25.8% 3.3% 1.6% 626.1K -13.8M -160.0K 0.17 10.04 N/A N/A 4,056 704 68,556 105,204 2007-08-24 $7.69 $7.50 25.6% 7.3% 36.5% 28.9% 26.0% 3.8% 2.6% 916.9K -24.2M -149.6K 0.17 13.04 N/A N/A 9,980 1,704 70,820 97,428 2007-08-27 $7.68 $7.50 25.6% 7.3% 34.9% 28.8% 25.6% 3.4% 2.9% 972.4K -25.9M -152.3K 0.24 11.33 N/A N/A 3,088 740 74,100 98,520 2007-08-28 $7.36 $7.50 29.5% 8.5% 38.0% 38.5% 29.5% 2.8% 0.3% 798.1K -14.0M -163.0K 1.22 10.10 N/A N/A 556 680 75,020 98,668 2007-08-29 $7.56 $7.50 28.8% 8.2% 38.9% 36.6% 28.8% 5.7% 0.6% 886.8K -19.7M -163.8K 4.06 11.64 N/A N/A 68 276 74,952 99,004 2007-08-30 $7.47 $7.50 28.2% 8.1% 39.3% 35.3% 27.9% 4.3% 2.3% 850.8K -15.7M -163.3K 0.45 11.29 N/A N/A 384 172 75,012 98,836 2007-08-31 $7.62 $7.50 28.0% 8.0% 37.7% 34.7% 28.0% 4.2% 1.8% 931.6K -22.0M -159.4K 2.63 14.30 N/A N/A 384 1,008 74,768 98,664
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