TJX Options History — November 2007

In November 2007, TJX traded between $6.82 and $7.61. ATM implied volatility averaged 41.2%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.1% (HV 20d: 34.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 5.01.

Notable Days

2007-11-12: Highest Volume — 30,000 contracts
2007-11-13: Largest IV drop — 35.1% change
2007-11-05: Highest IV Rank — 100.0%
2007-11-06: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.10	$6.82	$7.61	$6.96	$7.33
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	41.2%	32.4%	62.6%	44.0%	32.4%
Expected Move	10.9%	9.3%	12.7%	12.6%	9.3%
HV 20d	34.2%	27.5%	42.9%	29.2%	42.9%
HV 60d	32.6%	31.0%	34.7%	33.2%	34.7%
IV Rank	60.5%	37.9%	100.0%	74.1%	37.9%
IV Percentile	87.5%	73.9%	100.0%	97.1%	73.9%
Term Structure	-0.1%	-7.6%	3.3%	-7.6%	2.6%
VWIV	37.3%	32.4%	43.8%	43.8%	32.4%
Skew 25d	6.4%	4.3%	9.7%	4.9%	9.7%
Skew 10d	11.8%	4.0%	17.2%	5.9%	15.5%
Call IV 25d	35.3%	32.4%	38.4%	34.8%	32.4%
Put IV 25d	41.7%	38.3%	44.6%	39.6%	42.1%
Bid-Ask Spread %	25.52	14.04	51.75	29.29	32.91
Gamma HHI	0.44	0.32	0.64	0.32	0.61
Net GEX	459.0K	23.3K	1.2M	28.9K	963.4K
Net DEX	-2.6M	-21.0M	6.8M	3.5M	-11.1M
Net VEX	-118.6K	-126.5K	-104.0K	-111.5K	-117.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.01	0.00	61.79	0.70	0.05
Total Volume	7,056.762	116	30,000	25,708	7,104
Total OI	155,060	141,032	171,376	141,032	152,012

Daily Data (21 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
2007-11-01	$6.96	$7.50	44.0%	12.6%	29.2%	74.1%	43.8%	4.9%	-7.6%	28.9K	3.5M	-111.5K	0.70	29.29	N/A	N/A	15,120	10,588	51,608	89,424
2007-11-02	$6.94	$7.50	42.1%	12.1%	28.6%	69.5%	41.9%	4.3%	-4.4%	127.0K	3.8M	-124.5K	14.89	17.82	N/A	N/A	428	6,372	63,468	94,900
2007-11-05	$6.86	$7.50	55.2%	12.6%	27.5%	100.0%	37.7%	6.8%	-0.7%	79.0K	5.7M	-118.8K	61.79	17.23	N/A	N/A	156	9,640	64,784	93,444
2007-11-06	$6.87	$7.50	52.6%	12.7%	27.6%	93.7%	41.4%	6.1%	-3.4%	23.3K	6.7M	-123.1K	16.71	14.04	N/A	N/A	364	6,084	64,812	100,044
2007-11-07	$6.82	$7.50	53.5%	12.5%	27.5%	95.8%	38.3%	4.3%	-2.1%	40.3K	6.8M	-122.7K	0.28	15.46	N/A	N/A	4,368	1,208	64,840	98,424
2007-11-08	$7.13	$7.50	46.1%	11.4%	28.8%	77.9%	41.6%	6.7%	-2.9%	376.6K	-1.4M	-126.5K	2.67	45.32	N/A	N/A	1,048	2,796	68,116	93,428
2007-11-09	$7.12	$7.50	48.7%	11.7%	28.7%	84.3%	41.2%	5.7%	-1.2%	395.0K	-2.5M	-124.4K	0.12	31.73	N/A	N/A	2,720	332	68,704	93,508
2007-11-12	$7.33	$7.50	62.6%	11.9%	30.3%	100.0%	41.5%	6.3%	-3.5%	612.8K	-10.6M	-124.1K	0.65	32.93	N/A	N/A	18,192	11,808	71,068	93,676
2007-11-13	$7.61	$7.50	40.6%	10.4%	33.1%	54.9%	36.2%	4.6%	-0.8%	1.2M	-21.0M	-125.5K	0.06	33.55	N/A	N/A	18,620	1,156	77,608	93,768
2007-11-14	$7.31	$7.50	33.4%	10.3%	35.8%	40.0%	35.1%	4.4%	-0.1%	898.7K	-6.9M	-126.0K	0.32	51.75	N/A	N/A	776	248	74,124	93,956
2007-11-15	$7.32	$7.50	36.6%	10.5%	35.1%	46.6%	36.6%	4.5%	-1.1%	819.5K	-4.4M	-123.4K	1.60	20.48	N/A	N/A	376	600	73,736	93,752
2007-11-16	$7.33	$7.50	34.4%	9.9%	34.3%	42.0%	34.6%	8.5%	1.6%	696.1K	-2.7M	-124.9K	0.44	17.92	N/A	N/A	5,648	2,504	73,528	94,200
2007-11-19	$7.04	$7.50	33.7%	9.6%	36.1%	40.6%	33.7%	6.7%	2.3%	446.5K	-3.5M	-117.4K	1.06	20.97	N/A	N/A	2,136	2,264	61,492	84,548
2007-11-20	$7.14	$7.50	33.8%	9.7%	36.4%	40.8%	35.4%	8.7%	2.2%	455.8K	-4.2M	-121.4K	0.26	19.14	N/A	N/A	912	236	61,116	84,788
2007-11-21	$7.07	$7.50	33.0%	9.4%	36.4%	39.1%	32.9%	8.1%	2.8%	416.0K	-3.4M	-116.5K	1.66	19.32	N/A	N/A	232	384	58,928	82,688
2007-11-23	$7.13	$7.50	34.1%	9.8%	36.0%	41.4%	34.1%	8.0%	2.3%	472.4K	-4.5M	-111.4K	0.00	23.34	N/A	N/A	116	0	59,160	83,028
2007-11-26	$6.82	$7.50	41.3%	11.8%	39.2%	56.2%	39.7%	6.2%	3.1%	228.6K	1.5M	-105.3K	1.13	18.65	N/A	N/A	420	476	59,172	83,028
2007-11-27	$6.84	$7.50	42.4%	12.1%	39.1%	58.4%	39.8%	6.0%	3.3%	224.7K	2.3M	-104.0K	0.17	18.15	N/A	N/A	904	152	59,308	83,228
2007-11-28	$7.15	$7.50	32.6%	9.3%	42.3%	38.4%	32.6%	7.8%	3.2%	574.1K	-4.7M	-104.7K	0.06	28.89	N/A	N/A	10,704	672	59,680	83,316
2007-11-29	$7.02	$7.50	33.3%	9.5%	42.4%	39.8%	33.3%	6.9%	2.5%	583.5K	-3.1M	-117.2K	0.58	27.09	N/A	N/A	208	120	68,008	83,840
2007-11-30	$7.33	$7.50	32.4%	9.3%	42.9%	37.9%	32.4%	9.7%	2.6%	963.4K	-11.1M	-117.0K	0.05	32.91	N/A	N/A	6,744	360	68,172	83,840