TJX Options History — February 2008 In February 2008, TJX traded between $7.43 and $8.33. ATM implied volatility averaged 36.2%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 2.5% (HV 20d: 38.7%). 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 8 of 20 days. Put/call ratio averaged 1.38.
Notable Days 2008-02-25 : Highest Volume — 20,884 contracts2008-02-14 : Largest IV spike — 93.0% change2008-02-05 : Highest IV Rank — 66.1%2008-02-05 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $7.85 $7.43 $8.33 $8.03 $8.00 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 36.2% 22.5% 46.1% 43.6% 33.6% Expected Move 10.9% 7.5% 13.0% 12.5% 9.6% HV 20d 38.7% 33.4% 44.2% 43.9% 34.0% HV 60d 38.4% 36.5% 40.0% 39.7% 36.5% IV Rank 45.8% 17.6% 66.1% 61.1% 40.4% IV Percentile 68.9% 24.2% 95.2% 91.7% 61.9% Term Structure -0.3% -2.6% 2.7% -0.2% 0.7% VWIV 37.8% 27.1% 44.1% 43.7% 31.4% Skew 25d 7.0% 4.4% 9.6% 8.9% 5.2% Skew 10d 15.6% 7.4% 21.8% 16.0% 18.0% Call IV 25d 33.9% 24.5% 38.6% 34.6% 30.1% Put IV 25d 40.9% 33.6% 46.3% 43.5% 35.2% Bid-Ask Spread % 19.99 12.48 35.00 19.39 28.21 Gamma HHI 0.56 0.38 0.94 0.39 0.74 Net GEX 1.1M 27.5K 10.5M 462.2K 783.5K Net DEX -17.4M -30.5M -1.3M -24.0M -23.6M Net VEX -135.1K -189.2K -105.8K -127.5K -185.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.01 8.84 0.26 0.66 Total Volume 6,358.8 660 20,884 6,348 836 Total OI 122,308.8 89,136 141,796 118,820 141,796
Daily Data (20 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 2008-02-01 $8.03 $7.50 43.6% 12.5% 43.9% 61.1% 43.7% 8.9% -0.2% 462.2K -24.0M -127.5K 0.26 19.39 N/A N/A 5,044 1,304 67,424 51,396 2008-02-04 $7.86 $7.50 45.5% 12.4% 43.7% 64.8% 43.2% 7.7% -1.5% 501.4K -20.0M -130.2K 0.15 13.24 N/A N/A 2,612 396 71,368 52,428 2008-02-05 $7.78 $7.50 46.1% 13.0% 44.2% 66.1% 42.3% 7.6% -2.3% 461.6K -18.5M -129.7K 0.28 15.06 N/A N/A 648 180 70,736 52,680 2008-02-06 $7.72 $7.50 45.9% 12.4% 42.0% 65.6% 43.3% 8.2% -0.7% 468.1K -16.1M -128.6K 5.50 12.48 N/A N/A 2,096 11,536 71,064 52,720 2008-02-07 $7.82 $7.50 42.0% 12.4% 42.0% 57.7% 42.9% 6.1% -1.6% 310.9K -17.0M -138.0K 8.84 15.84 N/A N/A 1,060 9,372 72,100 63,964 2008-02-08 $7.58 $7.50 38.2% 12.1% 38.0% 49.8% 42.1% 7.2% -0.7% 455.4K -10.1M -134.7K 1.50 14.51 N/A N/A 996 1,496 72,504 61,396 2008-02-11 $7.72 $7.50 38.2% 12.2% 38.1% 49.9% 43.1% 6.3% -2.5% 467.4K -17.1M -129.8K 1.92 15.68 N/A N/A 3,304 6,348 72,852 62,332 2008-02-12 $7.67 $7.50 35.1% 12.4% 38.2% 43.6% 42.1% 7.2% -2.5% 946.5K -16.6M -126.6K 0.36 14.17 N/A N/A 1,072 388 74,124 57,488 2008-02-13 $7.75 $7.50 22.5% 12.4% 37.9% 17.6% 44.1% 8.0% -2.6% 549.3K -24.3M -120.4K 2.60 16.73 N/A N/A 200 520 73,684 57,684 2008-02-14 $7.48 $7.50 43.4% 12.4% 40.5% 60.5% 43.3% 6.6% -2.6% 1.6M -6.2M -121.8K 0.49 18.47 N/A N/A 444 216 73,652 57,828 2008-02-15 $7.51 $7.50 42.3% 12.1% 40.2% 58.3% 42.3% 7.9% -1.8% 10.5M -11.6M -118.7K 0.92 19.96 N/A N/A 4,032 3,720 73,604 57,732 2008-02-19 $7.43 $7.50 41.4% 11.9% 40.4% 56.4% 41.7% 6.4% -2.4% 27.5K -1.3M -106.7K 0.91 26.72 N/A N/A 1,952 1,772 47,148 41,988 2008-02-20 $7.79 $7.50 33.1% 9.5% 42.6% 39.4% 33.0% 4.4% 0.3% 129.4K -8.9M -105.8K 2.07 18.82 N/A N/A 1,880 3,896 48,320 42,264 2008-02-21 $7.79 $7.50 33.9% 9.7% 35.2% 41.1% 33.3% 6.3% 1.7% 77.6K -7.5M -109.4K 0.15 22.36 N/A N/A 3,016 440 48,964 43,676 2008-02-22 $8.12 $7.50 32.2% 9.2% 37.2% 37.5% 31.6% 6.1% 2.5% 258.2K -15.0M -112.5K 0.08 22.25 N/A N/A 15,596 1,244 51,192 43,948 2008-02-25 $8.21 $7.50 26.6% 7.6% 35.7% 26.1% 29.6% 6.2% 2.7% 521.1K -21.5M -134.0K 0.19 20.79 N/A N/A 17,528 3,356 64,988 44,532 2008-02-26 $8.33 $7.50 27.1% 7.8% 33.7% 27.0% 27.1% 9.6% 2.1% 808.1K -29.8M -165.1K 0.01 19.97 N/A N/A 15,528 136 78,992 46,940 2008-02-27 $8.22 $7.50 26.1% 7.5% 33.9% 25.1% 28.6% 7.4% 2.4% 965.1K -30.5M -188.2K 0.55 30.19 N/A N/A 1,488 820 92,188 47,052 2008-02-28 $8.15 $7.50 27.4% 7.8% 33.4% 27.6% 27.8% 5.9% 2.2% 953.0K -29.1M -189.2K 0.15 35.00 N/A N/A 612 92 93,616 47,812 2008-02-29 $8.00 $7.50 33.6% 9.6% 34.0% 40.4% 31.4% 5.2% 0.7% 783.5K -23.6M -185.3K 0.66 28.21 N/A N/A 504 332 93,960 47,836
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