TJX Options History — January 2008

In January 2008, TJX traded between $6.65 and $7.95. ATM implied volatility averaged 41.7%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.2% (HV 20d: 36.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2008-01-10: Highest Volume — 22,900 contracts
  • 2008-01-10: Largest IV drop — 35.6% change
  • 2008-01-09: Highest IV Rank — 86.4%
  • 2008-01-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.30$6.65$7.95$7.01$7.90
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV41.7%36.0%56.0%36.0%45.3%
Expected Move11.5%10.3%13.0%10.3%13.0%
HV 20d36.5%27.9%45.2%31.1%44.0%
HV 60d37.1%34.4%40.4%34.7%39.7%
IV Rank57.1%45.4%86.4%45.4%64.4%
IV Percentile90.1%81.3%99.6%82.9%93.3%
Term Structure-0.4%-3.8%2.2%-2.3%-1.7%
VWIV39.5%34.7%44.9%36.0%44.7%
Skew 25d6.0%-6.5%12.6%4.3%8.9%
Skew 10d11.9%-11.6%25.0%8.0%14.6%
Call IV 25d38.0%33.3%57.1%36.3%34.9%
Put IV 25d44.0%33.5%55.1%40.5%43.8%
Bid-Ask Spread %20.0210.4956.0520.8126.88
Gamma HHI0.500.380.670.480.40
Net GEX541.0K-45.8K1.1M465.6K435.3K
Net DEX-6.7M-22.0M6.2M-1.0M-20.1M
Net VEX-104.1K-129.9K-75.7K-84.3K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.036.530.291.51
Total Volume6,819.23822822,9004,1563,040
Total OI139,772.76275,640181,284146,284116,832

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$7.01$7.5036.0%10.3%31.1%45.4%36.0%4.3%-2.3%465.6K-1.0M-84.3K0.2920.81N/AN/A3,21294462,76083,524
2008-01-03$6.97$7.5037.0%10.6%30.7%47.5%37.0%7.0%-3.8%433.4K-353.3K-83.0K0.0313.32N/AN/A1,5204061,67284,144
2008-01-04$6.82$7.5045.4%11.3%31.5%64.7%34.7%3.4%-1.2%210.6K2.5M-77.4K3.1611.19N/AN/A6121,93262,20084,136
2008-01-07$6.87$7.5046.7%11.1%28.7%67.3%37.5%0.6%0.8%272.8K2.3M-77.9K0.5517.03N/AN/A7,2884,04462,53285,380
2008-01-08$6.65$7.5045.6%11.1%27.9%65.2%39.2%-1.9%1.1%-45.8K6.2M-75.7K2.2914.64N/AN/A7201,65264,42087,776
2008-01-09$6.66$7.5056.0%12.9%27.9%86.4%41.0%-2.0%-1.2%-43.5K5.6M-78.1K2.1914.53N/AN/A5,63612,36864,73688,440
2008-01-10$7.11$7.5036.1%10.3%36.6%45.5%36.0%-6.5%2.2%653.7K-2.3M-104.9K0.0912.83N/AN/A21,0761,82468,67299,012
2008-01-11$7.07$7.5038.6%11.1%36.3%50.7%38.6%12.6%-0.3%783.3K-3.4M-108.3K6.5312.61N/AN/A6604,31279,72098,252
2008-01-14$7.16$7.5038.4%11.0%36.3%50.3%39.0%6.6%0.9%987.8K-4.2M-111.5K0.4217.41N/AN/A54422879,848101,436
2008-01-15$7.08$7.5038.8%11.1%35.2%51.2%39.0%6.2%-0.2%560.1K1.1M-100.9K1.4810.49N/AN/A9213678,360101,504
2008-01-16$7.16$7.5037.7%10.8%35.4%48.8%37.5%6.7%0.3%747.2K-6.0M-110.5K1.6615.23N/AN/A9161,52478,440101,612
2008-01-17$7.26$7.5037.4%10.7%35.2%48.1%37.3%7.2%0.6%1.1M-2.0M-105.2K0.3421.02N/AN/A1,16440078,676101,952
2008-01-18$7.22$7.5037.8%10.8%33.5%49.0%37.8%7.4%0.6%780.7K-657.9K-102.4K0.2614.67N/AN/A1,88448878,528101,256
2008-01-22$7.43$7.5037.8%10.8%34.7%49.1%37.8%12.5%0.4%447.6K-7.1M-102.2K0.0617.04N/AN/A12,04870845,14030,500
2008-01-23$7.94$7.5044.5%12.8%41.5%62.9%44.3%10.0%-3.4%606.5K-20.4M-113.3K0.3833.01N/AN/A9,0203,44854,67230,852
2008-01-24$7.76$7.5042.8%12.3%42.5%59.3%42.7%9.1%0.3%735.4K-18.9M-120.1K1.8316.88N/AN/A4,9769,10059,39633,788
2008-01-25$7.55$7.5041.4%11.9%43.1%56.5%39.9%8.4%1.3%508.3K-11.1M-124.3K0.1856.05N/AN/A5,7761,05259,46442,312
2008-01-28$7.85$7.5042.5%12.2%44.6%58.7%40.8%8.5%1.2%576.2K-19.8M-123.9K1.3422.66N/AN/A8161,09262,82842,832
2008-01-29$7.95$7.5044.4%12.7%44.5%62.7%43.7%8.4%-2.6%566.0K-22.0M-123.4K0.4221.08N/AN/A5,2322,17663,22843,640
2008-01-30$7.81$7.5045.4%13.0%45.2%64.7%44.9%8.6%-2.2%587.2K-18.9M-129.9K2.2230.94N/AN/A2,9566,54865,88844,868
2008-01-31$7.90$7.5045.3%13.0%44.0%64.4%44.7%8.9%-1.7%435.3K-20.1M-129.0K1.5126.88N/AN/A1,2121,82866,18850,644