TJX Options History — October 2007

In October 2007, TJX traded between $7.09 and $7.71. ATM implied volatility averaged 36.0%, placing in the 54.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.6% (HV 20d: 29.3%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.11.

Notable Days

2007-10-08: Highest Volume — 61,176 contracts
2007-10-08: Largest IV spike — 68.3% change
2007-10-08: Highest IV Rank — 73.1%
2007-10-09: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.31	$7.09	$7.71	$7.30	$7.23
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	36.0%	25.9%	43.6%	27.8%	40.4%
Expected Move	10.3%	7.6%	12.0%	8.0%	11.6%
HV 20d	29.3%	25.7%	34.0%	34.0%	26.9%
HV 60d	33.6%	32.1%	35.2%	35.2%	32.2%
IV Rank	54.4%	29.5%	73.1%	34.1%	65.2%
IV Percentile	87.6%	62.8%	96.9%	70.1%	95.2%
Term Structure	-3.3%	-8.2%	4.1%	3.4%	-4.6%
VWIV	36.2%	26.5%	41.5%	27.8%	40.4%
Skew 25d	4.3%	2.4%	6.2%	4.5%	4.4%
Skew 10d	11.6%	6.4%	14.4%	11.6%	12.1%
Call IV 25d	30.1%	25.7%	33.5%	25.7%	33.1%
Put IV 25d	34.4%	29.9%	39.2%	30.2%	37.5%
Bid-Ask Spread %	25.63	13.66	46.43	14.02	32.30
Gamma HHI	0.49	0.29	0.74	0.54	0.38
Net GEX	883.6K	-86.9K	2.5M	793.4K	286.3K
Net DEX	-5.7M	-31.1M	8.8M	-3.7M	-3.4M
Net VEX	-118.1K	-141.7K	-103.6K	-124.6K	-107.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.01	20.00	0.20	1.02
Total Volume	8,222.435	48	61,176	948	6,908
Total OI	165,597.217	126,736	197,576	168,032	137,412

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
2007-10-01	$7.30	$7.50	27.8%	8.0%	34.0%	34.1%	27.8%	4.5%	3.4%	793.4K	-3.7M	-124.6K	0.20	14.02	N/A	N/A	788	160	65,968	102,064
2007-10-02	$7.28	$7.50	27.0%	7.7%	34.0%	32.2%	0.0%	4.1%	3.8%	834.1K	-3.5M	-119.5K	20.00	14.21	N/A	N/A	60	1,200	66,008	102,160
2007-10-03	$7.32	$7.50	26.5%	7.6%	32.7%	31.0%	26.5%	4.2%	4.1%	947.1K	-5.3M	-119.6K	0.36	13.66	N/A	N/A	44	16	66,008	103,360
2007-10-04	$7.17	$7.50	27.8%	8.0%	31.5%	34.2%	27.8%	3.9%	2.2%	593.5K	2.6M	-121.3K	2.82	17.97	N/A	N/A	44	124	66,052	103,376
2007-10-05	$7.26	$7.50	25.9%	8.8%	30.4%	29.5%	30.8%	4.4%	-2.9%	865.6K	-679.8K	-117.3K	5.00	19.98	N/A	N/A	8	40	66,096	103,468
2007-10-08	$7.41	$7.50	43.6%	11.0%	31.1%	73.1%	38.3%	3.0%	-5.3%	657.8K	-7.6M	-128.3K	0.01	30.64	N/A	N/A	60,372	804	66,064	103,468
2007-10-09	$7.42	$7.50	42.5%	12.0%	29.4%	70.4%	41.5%	3.0%	-7.8%	1.6M	-15.5M	-141.7K	0.16	25.44	N/A	N/A	23,860	3,844	91,416	103,896
2007-10-10	$7.42	$7.50	39.5%	11.8%	29.4%	62.9%	40.9%	4.1%	-8.2%	1.5M	-14.1M	-141.6K	0.13	29.45	N/A	N/A	7,716	1,020	90,996	105,952
2007-10-11	$7.71	$7.50	36.2%	10.4%	31.5%	54.9%	36.2%	3.7%	-5.6%	2.0M	-31.1M	-130.3K	0.13	21.20	N/A	N/A	26,744	3,504	91,408	106,168
2007-10-12	$7.64	$7.50	36.0%	10.3%	31.6%	54.5%	36.2%	3.9%	-5.1%	1.9M	-23.2M	-125.8K	0.03	15.42	N/A	N/A	3,236	100	83,156	105,432
2007-10-15	$7.49	$7.50	37.4%	10.7%	32.2%	58.0%	37.5%	3.9%	-5.6%	2.2M	-14.4M	-121.8K	0.15	25.40	N/A	N/A	3,024	460	82,944	105,456
2007-10-16	$7.45	$7.50	37.7%	10.8%	30.9%	58.6%	36.1%	3.9%	-6.0%	2.4M	-12.1M	-118.9K	0.08	46.00	N/A	N/A	10,904	828	81,760	105,188
2007-10-17	$7.37	$7.50	37.4%	10.7%	29.8%	57.9%	39.6%	4.6%	-5.3%	2.5M	-2.2M	-115.5K	0.04	46.43	N/A	N/A	2,716	120	83,904	104,484
2007-10-18	$7.22	$7.50	37.9%	10.9%	26.0%	59.1%	37.9%	4.1%	-5.6%	254.8K	6.6M	-106.7K	0.13	20.52	N/A	N/A	1,112	144	83,428	104,444
2007-10-19	$7.09	$7.50	38.9%	11.1%	26.5%	61.5%	39.1%	2.4%	-5.4%	-86.9K	8.8M	-109.8K	0.74	25.21	N/A	N/A	596	440	83,476	104,004
2007-10-22	$7.27	$7.50	34.9%	10.0%	28.3%	51.7%	34.9%	3.8%	-1.4%	14.5K	-1.6M	-103.6K	0.12	27.62	N/A	N/A	11,024	1,280	39,512	87,224
2007-10-23	$7.33	$7.50	36.8%	10.5%	28.2%	56.3%	36.8%	5.1%	-3.8%	300.6K	-5.2M	-110.0K	0.21	28.80	N/A	N/A	1,920	400	48,728	87,688
2007-10-24	$7.27	$7.50	36.7%	10.5%	25.7%	56.2%	36.8%	5.4%	-2.6%	224.3K	-3.5M	-110.4K	3.17	30.10	N/A	N/A	208	660	47,508	87,488
2007-10-25	$7.14	$7.50	37.1%	10.6%	26.0%	57.1%	37.2%	4.5%	-2.1%	165.9K	-811.2K	-109.2K	5.87	22.80	N/A	N/A	312	1,832	47,508	87,700
2007-10-26	$7.18	$7.50	37.4%	10.7%	26.1%	57.7%	37.4%	6.2%	-1.9%	159.9K	-441.3K	-115.6K	6.57	28.30	N/A	N/A	636	4,176	47,632	89,072
2007-10-29	$7.10	$7.50	41.0%	11.7%	26.3%	66.7%	41.0%	5.3%	-5.1%	130.4K	109.8K	-108.6K	1.48	30.35	N/A	N/A	868	1,284	47,836	86,300
2007-10-30	$7.12	$7.50	41.4%	11.9%	26.3%	67.8%	36.0%	5.8%	-6.1%	136.2K	-57.2K	-109.5K	0.02	23.69	N/A	N/A	3,500	80	48,300	87,224
2007-10-31	$7.23	$7.50	40.4%	11.6%	26.9%	65.2%	40.4%	4.4%	-4.6%	286.3K	-3.4M	-107.5K	1.02	32.30	N/A	N/A	3,420	3,488	50,264	87,148