TJX Options History — June 2008

In June 2008, TJX traded between $7.82 and $8.35. ATM implied volatility averaged 31.0%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.9% (HV 20d: 32.0%). 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 18 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-06-03: Highest Volume — 49,664 contracts
  • 2008-06-05: Largest IV drop — 22.1% change
  • 2008-06-20: Highest IV Rank — 39.4%
  • 2008-06-20: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.05$7.82$8.35$7.89$7.87
Max Pain$7.74$7.50$8.75$8.75$7.50
ATM IV31.0%24.2%34.8%31.2%33.0%
Expected Move9.0%6.9%10.0%8.9%9.5%
HV 20d32.0%28.8%35.1%30.3%34.9%
HV 60d33.0%31.8%34.0%32.9%32.4%
IV Rank31.2%16.4%39.4%33.1%31.8%
IV Percentile31.3%5.2%53.6%31.3%40.9%
Term Structure2.2%-1.2%4.8%-0.1%3.9%
VWIV31.1%23.2%33.6%31.1%33.4%
Skew 25d2.1%-0.2%5.2%1.1%-0.2%
Skew 10d4.3%-3.2%17.8%-0.7%9.8%
Call IV 25d29.9%25.1%33.4%28.3%33.4%
Put IV 25d32.0%28.3%34.5%29.3%33.2%
Bid-Ask Spread %14.007.4340.7414.2717.21
Gamma HHI0.780.710.840.730.72
Net GEX2.1M1.6M2.6M1.7M1.6M
Net DEX-45.7M-68.0M-25.8M-25.8M-34.1M
Net VEX-332.7K-369.0K-294.0K-319.8K-294.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.027.120.230.17
Total Volume5,937.71461649,66410,24010,044
Total OI292,428.381247,040302,976247,040300,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$7.89$8.7531.2%8.9%30.3%33.1%31.1%1.1%-0.1%1.7M-25.8M-319.8K0.2314.27N/AN/A8,3321,908173,65273,388
2008-06-03$8.01$8.7531.7%9.1%29.8%33.3%29.2%3.3%-1.2%2.0M-35.1M-341.5K1.0034.67N/AN/A24,86424,800179,89673,936
2008-06-04$8.06$8.7531.1%8.9%29.1%31.8%31.6%3.1%1.0%2.0M-44.5M-369.0K7.1240.74N/AN/A9646,860196,80897,680
2008-06-05$8.24$8.7524.2%6.9%29.9%16.4%23.2%3.2%0.4%2.3M-58.0M-366.2K2.0319.90N/AN/A2,3884,852197,184100,556
2008-06-06$7.90$7.5027.9%8.6%32.4%24.5%29.7%0.9%2.7%1.7M-33.9M-349.9K1.8314.95N/AN/A456836198,01697,332
2008-06-09$7.86$7.5029.6%9.0%32.5%28.2%31.3%1.4%1.8%1.6M-29.8M-341.8K1.9111.06N/AN/A212404198,02097,268
2008-06-10$8.07$7.5027.8%9.3%31.6%24.2%30.3%3.5%1.6%2.1M-47.5M-348.2K1.879.57N/AN/A8961,672198,22496,840
2008-06-11$7.82$7.5032.9%9.2%28.8%35.4%32.2%2.8%2.7%1.6M-28.9M-340.1K1.559.64N/AN/A484748198,31297,896
2008-06-12$8.09$7.5033.1%9.5%30.0%35.7%32.3%2.2%1.9%2.0M-47.2M-345.7K1.3511.06N/AN/A452608198,44898,056
2008-06-13$8.27$7.5028.5%8.2%30.1%25.8%30.4%5.2%3.8%2.4M-60.1M-345.7K0.419.49N/AN/A1,068440198,36898,148
2008-06-16$8.35$7.5030.0%8.6%30.1%29.0%30.0%5.2%2.2%2.6M-68.0M-340.8K0.028.38N/AN/A2,25244198,54498,144
2008-06-17$8.13$7.5031.0%8.9%31.8%31.1%31.1%1.5%1.4%2.3M-53.7M-337.4K0.427.43N/AN/A1,752740200,52098,172
2008-06-18$8.06$7.5033.6%9.6%31.7%37.0%33.6%1.4%2.0%2.1M-47.1M-335.7K0.098.28N/AN/A3,876364201,67698,748
2008-06-19$8.28$7.5030.9%8.9%32.5%30.9%31.0%1.7%2.8%2.6M-63.9M-335.0K0.0210.78N/AN/A3,20052202,50898,124
2008-06-20$8.12$7.5034.8%10.0%33.4%39.4%31.8%2.9%-0.3%2.3M-54.0M-332.7K0.0610.56N/AN/A68040205,12897,848
2008-06-23$8.00$7.5033.5%9.6%33.8%36.5%32.7%1.3%3.9%2.1M-46.3M-319.0K0.669.59N/AN/A744492201,55692,136
2008-06-24$7.94$7.5032.6%9.3%33.6%34.6%31.9%0.9%4.0%1.9M-41.4M-307.4K0.717.97N/AN/A652460201,88092,328
2008-06-25$8.13$7.5029.5%8.4%34.7%27.9%31.8%1.5%2.7%2.5M-55.8M-311.7K0.6613.89N/AN/A1,9641,300201,93692,588
2008-06-26$7.98$7.5031.8%9.1%35.1%33.0%31.9%-0.0%4.8%2.0M-43.8M-307.7K4.3611.04N/AN/A1,0324,504202,17693,088
2008-06-27$7.96$7.5032.7%9.4%35.1%34.9%32.8%0.8%4.4%1.9M-41.5M-298.2K1.0313.63N/AN/A3,5803,676202,17693,088
2008-06-30$7.87$7.5033.0%9.5%34.9%31.8%33.4%-0.2%3.9%1.6M-34.1M-294.0K0.1717.21N/AN/A8,6121,432204,55696,048