TJX Options History — March 2008

In March 2008, TJX traded between $7.78 and $8.61. ATM implied volatility averaged 35.3%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 2.4% (HV 20d: 37.6%). 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 2.17.

Notable Days

  • 2008-03-31: Highest Volume — 13,260 contracts
  • 2008-03-12: Largest IV spike — 80.6% change
  • 2008-03-17: Highest IV Rank — 63.1%
  • 2008-03-17: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.19$7.78$8.61$8.17$8.27
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV35.3%20.2%44.6%28.0%36.7%
Expected Move10.3%8.0%12.8%8.0%10.5%
HV 20d37.6%33.6%39.9%34.4%38.4%
HV 60d37.6%36.2%38.9%36.6%38.5%
IV Rank43.9%13.0%63.1%29.0%46.7%
IV Percentile66.2%11.5%91.7%40.9%71.4%
Term Structure1.2%-3.5%5.0%3.0%3.7%
VWIV35.9%24.4%42.9%24.4%37.0%
Skew 25d8.1%4.4%14.1%8.3%6.5%
Skew 10d18.1%7.9%23.1%22.5%12.6%
Call IV 25d32.3%26.7%38.5%27.9%36.1%
Put IV 25d40.4%36.2%45.7%36.2%42.6%
Bid-Ask Spread %20.3311.0539.9729.0015.27
Gamma HHI0.760.620.900.840.76
Net GEX1.0M599.1K1.4M974.1K1.3M
Net DEX-33.7M-45.7M-18.6M-29.3M-37.8M
Net VEX-207.2K-222.6K-181.4K-184.4K-215.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.0333.500.520.81
Total Volume4,892.81,59613,2601,59613,260
Total OI152,181.8137,084167,396142,132149,772

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$8.17$7.5028.0%8.0%34.4%29.0%24.4%8.3%3.0%974.1K-29.3M-184.4K0.5229.00N/AN/A1,05254494,27647,856
2008-03-04$8.31$7.5030.9%8.9%33.8%34.9%27.5%9.5%0.5%1.1M-34.0M-187.8K0.1131.67N/AN/A2,96032494,79248,356
2008-03-05$8.27$7.5032.1%9.2%33.6%37.3%33.2%9.4%0.6%1.1M-32.5M-188.8K0.2633.58N/AN/A4,1841,08895,52048,592
2008-03-06$7.87$7.5034.4%9.9%38.3%42.1%32.8%4.4%3.0%680.6K-20.7M-182.6K0.2339.97N/AN/A1,38832097,34049,208
2008-03-07$7.81$7.5034.6%10.9%38.2%42.5%35.4%6.4%-0.4%599.1K-18.6M-181.4K0.0319.49N/AN/A9,57624497,74049,240
2008-03-10$7.78$7.5038.0%11.2%36.5%49.5%36.7%6.0%-1.3%685.1K-20.8M-197.2K0.0615.87N/AN/A6,092372107,00849,348
2008-03-11$8.16$7.5020.2%9.4%39.7%13.0%33.0%8.3%1.7%1.1M-34.1M-216.7K0.4019.34N/AN/A1,376548110,32849,496
2008-03-12$8.13$7.5036.5%10.2%39.6%46.5%35.8%6.3%0.5%1.1M-33.0M-209.7K0.1522.33N/AN/A3,528512107,46849,524
2008-03-13$8.10$7.5039.8%11.4%39.6%53.1%40.0%5.5%0.6%985.4K-31.9M-222.5K0.7611.05N/AN/A1,080816111,34849,912
2008-03-14$8.06$7.5041.8%12.0%37.0%57.2%40.7%6.9%-3.5%958.3K-31.9M-216.7K2.5822.35N/AN/A7201,856109,93250,388
2008-03-17$7.97$7.5044.6%12.8%37.4%63.1%42.9%7.2%-2.7%705.2K-28.5M-207.9K33.5023.16N/AN/A1444,824109,82051,628
2008-03-18$8.26$7.5034.6%9.9%38.7%42.4%38.9%8.6%0.3%1.1M-36.2M-213.9K2.2233.00N/AN/A6121,356109,86454,352
2008-03-19$8.08$7.5041.1%11.8%36.4%55.8%39.1%5.2%-2.8%994.5K-33.5M-205.3K0.2314.58N/AN/A2,572588110,18053,920
2008-03-20$8.48$7.5035.2%10.1%39.9%43.7%37.6%12.9%1.7%1.3M-45.4M-222.6K0.1912.14N/AN/A6,1401,196113,81253,584
2008-03-24$8.60$7.5035.6%10.2%37.7%44.6%36.5%14.1%3.2%1.2M-44.7M-219.3K0.3611.30N/AN/A6,3482,304101,17235,912
2008-03-25$8.61$7.5036.4%10.4%37.6%46.2%38.4%13.6%2.7%1.2M-45.7M-220.0K0.4614.31N/AN/A2,4441,112103,24037,712
2008-03-26$8.39$7.5034.3%9.8%38.6%41.9%34.3%9.6%5.0%1.2M-39.7M-213.7K0.0611.13N/AN/A11,204676103,79238,384
2008-03-27$8.32$7.5034.3%9.8%38.4%41.9%35.9%7.8%5.0%1.4M-40.9M-221.5K0.3013.73N/AN/A1,368408111,92038,084
2008-03-28$8.17$7.5036.5%10.5%38.9%46.4%37.6%5.7%3.7%1.2M-34.3M-215.5K0.1313.32N/AN/A2,400320110,33638,480
2008-03-31$8.27$7.5036.7%10.5%38.4%46.7%37.0%6.5%3.7%1.3M-37.8M-215.8K0.8115.27N/AN/A7,3405,920111,36838,404