TJX Options History — September 2007

In September 2007, TJX traded between $7.27 and $7.97. ATM implied volatility averaged 29.9%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 5.8% (HV 20d: 35.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.43.

Notable Days

  • 2007-09-10: Highest Volume — 27,404 contracts
  • 2007-09-05: Largest IV spike — 10.5% change
  • 2007-09-17: Highest IV Rank — 48.5%
  • 2007-09-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.54$7.27$7.97$7.58$7.27
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV29.9%25.9%33.6%27.5%25.9%
Expected Move8.7%7.4%9.6%7.9%7.4%
HV 20d35.8%32.9%39.0%36.2%34.9%
HV 60d33.3%31.1%35.3%31.1%35.2%
IV Rank39.5%29.5%48.5%33.6%29.5%
IV Percentile80.5%64.5%88.7%76.2%64.5%
Term Structure-0.4%-3.7%4.5%1.2%4.5%
VWIV29.7%24.2%33.5%27.5%25.9%
Skew 25d4.5%3.3%5.9%3.9%4.4%
Skew 10d11.4%5.2%16.9%14.6%12.1%
Call IV 25d26.3%24.3%28.2%25.4%25.9%
Put IV 25d30.8%29.3%33.2%29.3%30.4%
Bid-Ask Spread %21.339.1337.6413.5613.96
Gamma HHI0.510.420.680.520.52
Net GEX902.2K677.6K1.8M1.0M768.8K
Net DEX-17.2M-36.2M-3.4M-20.7M-3.4M
Net VEX-143.6K-163.5K-120.8K-150.8K-129.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.016.600.921.00
Total Volume4,151.57918827,4044,612400
Total OI176,989.895163,400183,796174,288167,652

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$7.58$7.5027.5%7.9%36.2%33.6%27.5%3.9%1.2%1.0M-20.7M-150.8K0.9213.56N/AN/A2,4042,20874,72099,568
2007-09-05$7.37$7.5030.4%8.7%37.7%40.7%30.4%4.1%0.5%833.6K-13.3M-161.7K1.399.13N/AN/A2,9884,14876,292101,616
2007-09-06$7.59$7.5030.6%8.8%39.0%41.0%30.6%4.6%-1.0%875.7K-21.4M-159.1K1.1016.88N/AN/A1,1281,23677,372105,260
2007-09-07$7.37$7.5030.2%8.9%34.7%40.2%31.0%3.7%-1.9%738.2K-12.0M-163.5K0.3937.61N/AN/A76830077,012105,588
2007-09-10$7.31$7.5032.2%9.6%34.5%45.1%33.5%3.4%-3.3%677.6K-8.4M-162.6K0.4837.64N/AN/A18,4808,92477,376105,600
2007-09-11$7.51$7.5030.0%9.3%35.6%39.7%32.4%5.9%-2.4%872.8K-16.3M-161.1K0.5537.05N/AN/A1608876,444104,820
2007-09-12$7.50$7.5030.1%9.3%35.6%40.0%32.3%5.3%-2.8%920.0K-17.0M-153.5K0.0526.61N/AN/A6,34431676,504104,820
2007-09-13$7.67$7.5032.7%9.4%34.8%46.2%32.3%5.3%-2.3%892.8K-23.3M-146.6K3.0625.64N/AN/A27283274,500104,900
2007-09-14$7.71$7.5031.7%9.1%33.6%43.8%31.7%5.4%-1.6%900.5K-24.4M-146.6K0.0226.58N/AN/A184474,552105,504
2007-09-17$7.63$7.5033.6%9.6%32.9%48.5%31.9%4.9%-3.7%939.5K-21.2M-146.5K6.6021.48N/AN/A8052874,492105,508
2007-09-18$7.80$7.5030.5%8.7%33.5%40.9%29.2%4.7%-1.5%831.0K-30.6M-130.7K0.2225.89N/AN/A53612074,460105,628
2007-09-19$7.97$7.5030.2%8.7%34.1%40.1%27.6%4.2%-1.1%697.3K-36.2M-120.8K0.6025.34N/AN/A3,2761,96474,488105,748
2007-09-20$7.61$7.5030.4%8.7%38.4%40.5%24.2%4.0%-1.0%1.3M-20.9M-140.9K3.2822.33N/AN/A4921,61675,536107,604
2007-09-21$7.52$7.5031.0%8.9%38.6%42.1%31.0%3.3%-2.2%1.8M-14.8M-138.0K2.399.17N/AN/A9722,32475,376108,420
2007-09-24$7.57$7.5028.3%8.1%37.3%35.4%28.3%5.3%1.8%766.7K-14.6M-124.6K0.059.77N/AN/A7,89636862,636100,764
2007-09-25$7.64$7.5028.2%8.1%37.4%35.3%28.2%4.8%3.1%844.3K-16.2M-130.4K0.7524.45N/AN/A2,4681,84865,068101,064
2007-09-26$7.38$7.5028.1%8.1%36.1%35.0%28.1%4.5%2.2%759.3K-6.6M-134.5K4.269.81N/AN/A4842,06066,184102,432
2007-09-27$7.28$7.5027.3%7.8%35.1%33.0%27.3%3.4%3.2%757.4K-4.8M-126.5K0.0112.30N/AN/A656866,128101,172
2007-09-28$7.27$7.5025.9%7.4%34.9%29.5%25.9%4.4%4.5%768.8K-3.4M-129.6K1.0013.96N/AN/A20020065,768101,884