TJX Options History — July 2008 In July 2008, TJX traded between $7.78 and $8.82. ATM implied volatility averaged 40.7%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 5.4% (HV 20d: 35.4%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.51.
Notable Days 2008-07-21 : Highest Volume — 79,828 contracts2008-07-09 : Largest IV spike — 31.5% change2008-07-25 : Highest IV Rank — 71.5%2008-07-25 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $8.23 $7.78 $8.82 $7.98 $8.43 Max Pain $8.41 $7.50 $8.75 $7.50 $8.75 ATM IV 40.7% 28.8% 50.5% 32.6% 42.2% Expected Move 11.9% 9.4% 14.5% 9.4% 12.1% HV 20d 35.4% 30.4% 40.4% 34.9% 39.6% HV 60d 33.3% 31.3% 35.2% 32.0% 34.7% IV Rank 48.4% 20.1% 71.5% 29.2% 51.9% IV Percentile 74.0% 15.1% 97.6% 37.7% 80.2% Term Structure -3.1% -6.6% 5.8% 5.8% -6.4% VWIV 41.8% 25.7% 50.3% 33.1% 42.2% Skew 25d 8.5% -3.9% 16.3% 0.2% 12.1% Skew 10d 14.7% -4.5% 40.5% -1.1% 21.1% Call IV 25d 34.5% 23.6% 41.5% 33.3% 37.1% Put IV 25d 43.0% 33.2% 52.4% 33.5% 49.2% Bid-Ask Spread % 18.79 7.47 35.94 14.12 16.73 Gamma HHI 0.68 0.49 0.89 0.77 0.60 Net GEX 2.6M 1.1M 7.7M 2.0M 2.7M Net DEX -51.3M -129.4M -28.0M -45.5M -50.8M Net VEX -358.5K -471.7K -260.9K -308.0K -471.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.51 0.06 11.98 0.30 1.64 Total Volume 13,907.818 476 79,828 3,800 476 Total OI 310,730.909 220,892 382,800 308,876 309,684
Daily Data (22 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 2008-07-01 $7.98 $7.50 32.6% 9.4% 34.9% 29.2% 33.1% 0.2% 5.8% 2.0M -45.5M -308.0K 0.30 14.12 N/A N/A 2,932 868 210,604 98,272 2008-07-02 $7.81 $7.50 35.3% 10.1% 35.7% 35.5% 25.7% -2.3% 1.8% 1.5M -31.4M -304.3K 1.58 7.47 N/A N/A 1,840 2,908 212,152 98,496 2008-07-03 $7.81 $7.50 33.5% 9.6% 34.6% 31.4% 33.3% 9.9% 4.1% 1.4M -29.0M -289.0K 0.22 10.03 N/A N/A 3,660 792 209,608 99,068 2008-07-07 $7.78 $7.50 36.0% 11.5% 31.4% 37.1% 38.2% 11.0% -2.4% 1.2M -28.0M -277.4K 0.31 25.94 N/A N/A 6,480 2,008 211,076 99,244 2008-07-08 $8.12 $7.50 28.8% 11.6% 34.7% 20.1% 37.4% 4.6% -2.6% 2.3M -54.6M -287.7K 0.25 23.68 N/A N/A 8,548 2,104 212,508 99,404 2008-07-09 $7.91 $7.50 37.8% 11.9% 34.7% 41.5% 40.4% -3.9% -2.8% 1.5M -39.6M -281.8K 11.98 10.90 N/A N/A 212 2,540 214,772 101,336 2008-07-10 $7.91 $8.75 44.1% 12.6% 32.7% 56.3% 43.2% 9.5% -4.5% 1.4M -40.4M -274.1K 0.86 23.30 N/A N/A 4,688 4,044 214,900 102,340 2008-07-11 $7.84 $8.75 46.4% 13.3% 30.4% 61.8% 46.3% 12.7% -4.3% 1.3M -36.1M -285.9K 1.78 23.08 N/A N/A 5,300 9,428 218,048 104,288 2008-07-14 $8.07 $8.75 46.7% 13.4% 31.3% 62.5% 46.7% 5.0% -4.8% 1.8M -53.7M -271.3K 0.95 21.53 N/A N/A 8,172 7,744 218,760 103,100 2008-07-15 $8.15 $8.75 44.0% 12.6% 31.3% 56.0% 47.1% 6.9% -6.6% 1.1M -59.6M -260.9K 0.17 27.94 N/A N/A 17,372 2,932 221,164 107,220 2008-07-16 $8.54 $8.75 45.2% 13.0% 34.0% 58.9% 50.3% 6.4% -5.4% 5.4M -91.7M -318.0K 0.69 27.77 N/A N/A 7,024 4,812 238,060 107,948 2008-07-17 $8.82 $8.75 45.9% 13.1% 35.2% 60.5% 47.5% 8.9% -3.5% 7.7M -129.4M -325.4K 5.38 14.40 N/A N/A 7,656 41,152 238,004 109,728 2008-07-18 $8.63 $8.75 44.8% 12.8% 35.4% 58.0% 44.8% 8.6% -2.9% 7.7M -78.9M -374.3K 0.06 21.42 N/A N/A 25,144 1,444 240,928 141,872 2008-07-21 $8.53 $8.75 39.3% 11.3% 34.9% 45.1% 41.2% 14.8% -3.2% 1.4M -38.4M -378.0K 0.34 35.40 N/A N/A 59,728 20,100 146,080 74,812 2008-07-22 $8.75 $8.75 38.9% 11.2% 35.2% 44.1% 45.8% 8.1% -2.5% 2.6M -66.5M -467.7K 0.48 35.94 N/A N/A 2,812 1,344 199,720 86,512 2008-07-23 $8.50 $8.75 39.7% 11.4% 36.9% 45.9% 35.0% 14.9% -3.8% 2.4M -55.3M -457.6K 0.81 12.09 N/A N/A 5,732 4,628 200,756 87,488 2008-07-24 $8.21 $8.75 41.9% 12.0% 38.4% 51.3% 48.4% 9.6% -5.3% 2.1M -35.0M -447.5K 1.76 10.42 N/A N/A 1,184 2,084 205,364 88,692 2008-07-25 $8.12 $8.75 50.5% 14.5% 37.9% 71.5% 45.0% 9.4% -6.0% 2.0M -29.5M -432.3K 1.65 12.61 N/A N/A 5,288 8,716 205,688 89,208 2008-07-28 $8.14 $8.75 40.1% 11.5% 37.9% 47.0% 41.6% 11.6% -4.9% 2.0M -29.0M -440.1K 0.95 11.69 N/A N/A 1,456 1,384 209,320 93,952 2008-07-29 $8.51 $8.75 40.5% 11.6% 40.4% 47.9% 42.5% 13.6% -3.6% 2.6M -53.3M -468.0K 0.87 14.06 N/A N/A 576 500 210,300 92,376 2008-07-30 $8.54 $8.75 41.6% 11.9% 40.2% 50.6% 44.9% 16.3% -4.7% 2.6M -52.6M -465.5K 0.27 12.93 N/A N/A 6,404 1,756 210,764 92,464 2008-07-31 $8.43 $8.75 42.2% 12.1% 39.6% 51.9% 42.2% 12.1% -6.4% 2.7M -50.8M -471.7K 1.64 16.73 N/A N/A 180 296 215,664 94,020
« Jun 2008 | All History | Aug 2008 » Home TJX History July 2008