TJX Options History — December 2007

In December 2007, TJX traded between $7.13 and $7.72. ATM implied volatility averaged 33.2%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 7.4% (HV 20d: 40.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2007-12-11: Highest Volume — 12,032 contracts
  • 2007-12-13: Largest IV spike — 8.7% change
  • 2007-12-18: Highest IV Rank — 45.9%
  • 2007-12-18: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.34$7.13$7.72$7.16$7.18
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV33.2%30.0%36.2%33.4%33.1%
Expected Move9.7%8.8%10.4%9.6%9.5%
HV 20d40.7%31.1%45.1%44.0%31.1%
HV 60d34.7%34.1%35.5%34.5%34.5%
IV Rank39.7%33.1%45.9%40.0%39.5%
IV Percentile74.9%64.6%83.9%75.8%72.8%
Term Structure0.7%-1.2%2.7%2.2%-0.7%
VWIV34.3%30.7%45.1%33.4%33.2%
Skew 25d5.8%2.7%8.5%6.3%7.1%
Skew 10d8.1%-0.2%16.4%10.9%2.1%
Call IV 25d34.9%29.9%37.9%34.7%36.9%
Put IV 25d40.7%37.6%43.9%40.9%43.9%
Bid-Ask Spread %22.208.2034.7333.6212.56
Gamma HHI0.630.420.780.620.45
Net GEX1.2M339.7K2.2M998.0K402.5K
Net DEX-10.8M-27.2M-607.7K-8.3M-3.3M
Net VEX-104.7K-122.6K-86.0K-113.5K-86.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.005.980.170.04
Total Volume2,6914812,03228010,240
Total OI156,961.4134,828170,812157,200136,588

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$7.16$7.5033.4%9.6%44.0%40.0%33.4%6.3%2.2%998.0K-8.3M-113.5K0.1733.62N/AN/A2404073,20084,000
2007-12-04$7.25$7.5033.1%9.5%43.8%39.5%33.1%8.5%2.7%1.1M-10.3M-114.6K0.0034.73N/AN/A2,328473,40884,192
2007-12-05$7.25$7.5033.0%9.4%43.8%39.1%33.0%7.9%2.3%1.3M-10.7M-113.5K0.0434.36N/AN/A180875,29684,188
2007-12-06$7.50$7.5030.6%8.8%45.1%34.4%30.7%7.8%2.0%1.6M-19.9M-111.3K0.1812.58N/AN/A5,7881,02873,37684,196
2007-12-07$7.71$7.5031.2%9.4%43.5%35.5%31.4%6.5%1.7%1.5M-26.1M-109.2K0.1317.14N/AN/A3,62048872,93284,952
2007-12-10$7.72$7.5031.6%9.4%43.4%36.4%33.2%6.6%1.8%1.6M-27.2M-106.0K0.0825.21N/AN/A7686074,08485,320
2007-12-11$7.46$7.5030.0%9.5%44.3%33.1%33.1%5.9%1.1%1.8M-16.8M-106.2K0.1628.14N/AN/A10,4001,63274,05685,380
2007-12-12$7.55$7.5031.1%9.8%42.5%35.4%34.2%6.8%1.3%2.0M-22.1M-122.6K1.9024.86N/AN/A29255681,90486,844
2007-12-13$7.43$7.5033.9%9.7%40.5%41.0%33.9%7.1%0.0%2.0M-15.9M-119.4K0.0222.03N/AN/A1,5082881,17687,224
2007-12-14$7.22$7.5035.0%10.0%41.7%43.4%36.3%5.6%0.1%1.5M-8.0M-111.9K2.0730.11N/AN/A6001,24081,17687,244
2007-12-17$7.23$7.5036.0%10.3%41.7%45.3%45.1%5.7%-0.8%1.6M-7.6M-107.4K5.9828.83N/AN/A2121,26881,31287,224
2007-12-18$7.36$7.5036.2%10.4%39.4%45.9%36.3%4.5%-0.9%2.2M-12.0M-111.7K0.2223.95N/AN/A4,16492881,52087,652
2007-12-19$7.13$7.5035.5%10.2%40.8%44.3%35.5%2.7%-1.2%571.2K-607.7K-98.4K0.0022.32N/AN/A1,656082,30888,504
2007-12-20$7.22$7.5035.1%10.1%40.8%43.6%35.1%4.5%0.4%468.1K-2.0M-98.5K5.0021.79N/AN/A84081,46888,236
2007-12-21$7.34$7.5034.4%9.9%41.1%42.2%35.3%3.1%1.0%1.9M-5.4M-100.0K0.6221.54N/AN/A66041281,47687,556
2007-12-24$7.41$7.5032.4%9.3%37.5%37.9%32.5%3.5%1.8%439.0K-8.4M-97.2K1.6016.31N/AN/A30048052,09682,740
2007-12-26$7.26$7.5033.2%9.5%38.4%39.7%33.2%6.0%0.1%393.9K-5.4M-91.8K0.518.20N/AN/A30815652,38482,444
2007-12-27$7.18$7.5033.6%9.6%35.5%40.5%33.8%4.2%-0.7%360.0K-3.7M-87.7K0.4612.02N/AN/A1,18454852,64082,600
2007-12-28$7.13$7.5032.3%9.2%34.9%37.7%32.9%5.6%0.0%339.7K-2.5M-86.2K0.9613.69N/AN/A22822053,27683,056
2007-12-31$7.18$7.5033.1%9.5%31.1%39.5%33.2%7.1%-0.7%402.5K-3.3M-86.0K0.0412.56N/AN/A9,86837253,43683,152