TJX Options History — August 2008

In August 2008, TJX traded between $8.37 and $9.25. ATM implied volatility averaged 35.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 4.4% (HV 20d: 40.0%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2008-08-25: Highest Volume — 37,984 contracts
  • 2008-08-11: Largest IV spike — 42.2% change
  • 2008-08-11: Highest IV Rank — 86.1%
  • 2008-08-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.89$8.37$9.25$8.52$9.06
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV35.6%27.6%56.7%40.1%28.1%
Expected Move9.4%7.9%11.5%11.5%8.1%
HV 20d40.0%34.9%45.5%39.7%35.0%
HV 60d35.9%34.5%36.5%34.6%36.2%
IV Rank36.3%17.5%86.1%46.8%18.6%
IV Percentile44.1%5.2%99.2%71.8%8.7%
Term Structure2.3%-4.6%4.8%-4.6%4.7%
VWIV32.9%28.1%40.1%40.1%28.1%
Skew 25d7.0%1.2%17.5%17.5%4.9%
Skew 10d15.1%4.3%28.4%28.4%16.0%
Call IV 25d32.4%27.4%39.9%34.7%30.5%
Put IV 25d39.4%34.9%52.2%52.2%35.4%
Bid-Ask Spread %24.2211.8140.5014.8531.65
Gamma HHI0.700.610.750.610.69
Net GEX4.8M2.8M6.4M2.8M6.2M
Net DEX-101.8M-135.4M-49.7M-56.7M-125.0M
Net VEX-511.1K-554.5K-468.8K-473.8K-538.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.038.160.428.16
Total Volume12,836.1971237,98411,56010,292
Total OI360,243.238310,008396,524310,008396,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$8.52$8.7540.1%11.5%39.7%46.8%40.1%17.5%-4.6%2.8M-56.7M-473.8K0.4214.85N/AN/A8,1683,392215,77694,232
2008-08-04$8.37$8.7541.6%10.4%40.3%50.5%36.5%11.5%0.1%3.0M-49.7M-468.8K2.7923.03N/AN/A188524229,92093,608
2008-08-05$8.85$8.7541.6%10.0%42.2%50.5%34.5%7.1%0.2%4.1M-90.2M-487.7K0.3328.58N/AN/A9,6883,240236,56893,996
2008-08-06$8.62$8.7542.6%9.9%42.2%52.9%34.5%1.2%0.6%3.6M-70.1M-476.5K0.0421.35N/AN/A25,5201,008231,56495,380
2008-08-07$8.76$8.7539.8%10.2%42.4%46.3%35.5%6.9%0.5%4.4M-92.9M-509.9K0.9323.17N/AN/A10,6809,956256,16495,604
2008-08-08$9.22$8.7539.9%10.1%45.1%46.4%33.5%11.5%0.8%4.2M-132.4M-483.2K0.5723.27N/AN/A12,5687,168252,68496,852
2008-08-11$9.25$8.7556.7%10.7%44.3%86.1%35.7%6.6%-0.7%4.1M-135.4M-482.1K0.2924.94N/AN/A23,0606,772254,916101,580
2008-08-12$9.04$8.7540.0%10.1%45.5%46.6%34.8%6.7%1.4%4.5M-123.3M-510.2K0.6620.39N/AN/A7,9405,236265,988105,016
2008-08-13$8.95$8.7542.8%10.2%43.2%53.2%35.7%7.3%1.2%4.5M-110.3M-524.8K0.8014.82N/AN/A16,56413,204266,668108,032
2008-08-14$9.01$8.7533.6%9.6%41.8%31.7%33.5%7.1%3.9%4.6M-120.9M-537.5K0.5027.65N/AN/A5,5242,760269,584118,112
2008-08-15$8.99$8.7533.1%9.5%41.0%30.4%33.7%6.6%3.7%4.5M-122.1M-530.7K0.6029.45N/AN/A824492269,732119,584
2008-08-18$8.90$8.7532.1%9.2%40.9%28.0%32.1%5.8%4.0%4.6M-97.7M-515.3K0.5129.35N/AN/A3,3441,704247,90897,180
2008-08-19$8.69$8.7533.3%9.5%40.9%30.8%33.6%6.8%3.1%4.5M-79.3M-516.5K2.1727.81N/AN/A2,7045,880250,41298,612
2008-08-20$8.72$8.7529.8%8.6%39.5%22.7%29.8%5.8%4.5%5.0M-78.6M-511.8K0.0640.50N/AN/A8,484504250,45698,952
2008-08-21$8.80$8.7529.8%8.5%37.2%22.5%30.4%6.6%4.1%5.4M-91.0M-512.0K0.0329.92N/AN/A3,44492256,30498,796
2008-08-22$9.00$8.7528.7%8.2%37.3%20.1%28.7%6.6%4.8%5.6M-111.6M-508.1K0.1227.75N/AN/A6,156764258,57698,852
2008-08-25$8.89$8.7529.5%8.5%37.8%21.9%29.5%4.5%4.5%6.0M-104.4M-501.0K1.0728.57N/AN/A18,33619,648262,16098,816
2008-08-26$8.91$8.7528.5%8.2%34.9%19.6%28.5%4.6%3.8%6.2M-104.7M-554.5K1.8915.08N/AN/A1,3842,620277,880114,928
2008-08-27$8.96$8.7527.6%7.9%34.9%17.5%0.0%5.1%4.5%6.4M-110.8M-551.6K0.4911.81N/AN/A1,792880278,108115,188
2008-08-28$9.13$8.7528.7%8.2%34.9%19.9%28.6%6.6%4.0%6.1M-130.7M-539.0K0.2814.73N/AN/A5,5161,540278,576115,320
2008-08-29$9.06$8.7528.1%8.1%35.0%18.6%28.1%4.9%4.7%6.2M-125.0M-538.9K8.1631.65N/AN/A1,1249,168279,988116,536