TJX Options History — May 2008

In May 2008, TJX traded between $7.66 and $8.25. ATM implied volatility averaged 37.7%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.7% (HV 20d: 33.9%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-05-28: Highest Volume — 55,428 contracts
  • 2008-05-12: Largest IV spike — 27.8% change
  • 2008-05-12: Highest IV Rank — 88.0%
  • 2008-05-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.91$7.66$8.25$8.25$8.02
Max Pain$8.63$7.50$8.75$7.50$8.75
ATM IV37.7%29.7%56.8%33.4%29.7%
Expected Move9.6%8.5%11.1%9.6%8.5%
HV 20d33.9%29.9%36.9%33.6%31.3%
HV 60d35.2%34.3%36.9%35.0%34.3%
IV Rank48.8%32.4%88.0%40.0%32.4%
IV Percentile58.3%23.4%99.6%47.6%23.4%
Term Structure-0.4%-5.1%2.8%-2.2%-0.2%
VWIV32.6%24.7%38.5%38.5%24.7%
Skew 25d3.0%-1.2%6.2%3.5%2.8%
Skew 10d8.8%-8.7%19.2%9.1%2.3%
Call IV 25d30.7%27.4%33.2%30.4%27.4%
Put IV 25d33.7%29.1%36.9%33.9%30.2%
Bid-Ask Spread %25.7615.0436.1615.0422.71
Gamma HHI0.630.460.780.640.76
Net GEX1.3M119.2K2.1M1.7M2.0M
Net DEX-18.7M-36.1M-5.2M-30.5M-33.3M
Net VEX-283.7K-341.3K-161.1K-302.3K-337.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.006.380.890.00
Total Volume8,668.76242055,4288,312420
Total OI207,747.429159,996251,156199,364247,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$8.25$7.5033.4%9.6%33.6%40.0%38.5%3.5%-2.2%1.7M-30.5M-302.3K0.8915.04N/AN/A4,4043,908137,26462,100
2008-05-02$8.03$7.5038.7%11.1%33.6%50.9%37.5%-1.2%-5.1%1.2M-21.3M-292.9K1.5523.44N/AN/A1,4762,292139,11664,704
2008-05-05$7.86$8.7545.4%10.4%32.6%64.8%35.6%2.4%-1.5%854.9K-12.5M-275.8K0.7929.82N/AN/A7,2525,732139,81665,604
2008-05-06$8.01$8.7545.9%10.6%33.3%65.7%36.2%5.0%-2.9%1.3M-21.5M-296.0K0.4027.52N/AN/A11,1524,480143,52864,588
2008-05-07$7.94$8.7547.0%10.5%33.3%68.0%36.3%2.7%-2.8%1.2M-18.9M-301.3K0.9628.45N/AN/A1,5721,504146,07268,460
2008-05-08$7.75$8.7544.9%10.5%31.6%63.7%36.1%2.2%-2.0%600.9K-9.6M-280.2K1.5232.53N/AN/A1,6042,432147,23269,344
2008-05-09$7.76$8.7544.4%10.5%29.9%62.7%34.9%4.2%-2.5%628.0K-10.2M-284.9K1.9631.56N/AN/A452888148,12068,952
2008-05-12$8.04$8.7556.8%11.1%31.1%88.0%35.2%4.0%-2.1%957.3K-12.1M-161.1K0.6217.43N/AN/A4,2842,664106,84453,152
2008-05-13$7.66$8.7542.8%9.4%35.7%59.3%30.6%4.7%0.5%119.2K-5.2M-259.5K6.3822.82N/AN/A2,50415,976150,59670,896
2008-05-14$7.85$8.7544.8%9.0%36.2%63.5%31.9%2.5%0.6%858.3K-15.1M-276.6K0.3820.38N/AN/A5,8722,260149,75266,356
2008-05-15$8.01$8.7532.8%9.4%36.9%38.8%29.3%6.2%2.0%1.4M-20.0M-283.5K0.1532.97N/AN/A1,604240150,16466,856
2008-05-16$7.96$8.7533.0%9.5%35.7%39.3%31.3%3.5%-0.2%1.4M-18.6M-278.8K0.2620.63N/AN/A1,676444149,55266,828
2008-05-19$7.93$8.7532.3%9.2%35.7%37.7%30.1%3.9%0.7%1.4M-17.0M-265.5K0.0620.12N/AN/A11,480744129,33250,104
2008-05-20$7.84$8.7531.1%8.9%35.6%35.4%31.1%4.2%2.1%1.5M-16.3M-276.0K0.0432.17N/AN/A12,320532139,90450,620
2008-05-21$7.76$8.7531.9%9.1%35.8%36.9%31.0%1.7%1.4%1.5M-16.0M-286.3K0.0730.33N/AN/A5,252380148,02851,032
2008-05-22$7.83$8.7532.0%9.2%35.8%37.2%30.9%2.9%1.4%1.6M-19.3M-293.3K0.3922.11N/AN/A488192152,66851,200
2008-05-23$7.80$8.7530.1%8.6%33.8%33.2%30.1%-0.3%2.8%1.5M-17.4M-287.2K0.2136.16N/AN/A5,2441,080144,48051,308
2008-05-27$7.92$8.7532.8%9.4%34.4%38.9%0.0%4.5%1.2%1.6M-21.1M-291.0K0.1119.33N/AN/A80892148,74050,932
2008-05-28$7.94$8.7530.4%8.7%34.1%33.9%28.5%1.1%0.5%1.8M-21.2M-286.5K0.7833.52N/AN/A31,06024,368149,11650,852
2008-05-29$8.04$8.7530.7%8.8%32.5%34.4%24.7%2.8%-0.6%2.1M-36.1M-341.3K0.2221.99N/AN/A748164177,48873,668
2008-05-30$8.02$8.7529.7%8.5%31.3%32.4%0.0%2.8%-0.2%2.0M-33.3M-337.9K0.0022.71N/AN/A4200173,94073,388