TJX Options History — September 2008

In September 2008, TJX traded between $7.56 and $9.20. ATM implied volatility averaged 39.5%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 0.6% (HV 20d: 40.1%). 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 6 of 21 days. Put/call ratio averaged 3.28.

Notable Days

  • 2008-09-17: Highest Volume — 31,588 contracts
  • 2008-09-17: Largest IV spike — 16.3% change
  • 2008-09-29: Highest IV Rank — 71.6%
  • 2008-09-29: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.32$7.56$9.20$9.08$7.63
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV39.5%29.4%50.5%29.4%47.8%
Expected Move11.4%8.4%14.5%8.4%13.7%
HV 20d40.1%28.7%48.0%34.2%48.0%
HV 60d38.6%35.1%41.6%35.1%41.6%
IV Rank45.5%21.6%71.6%21.6%65.0%
IV Percentile64.0%11.9%97.2%11.9%96.0%
Term Structure-0.8%-5.0%4.7%4.7%-3.5%
VWIV38.7%29.4%48.3%29.4%32.8%
Skew 25d3.0%-5.8%7.3%4.4%-3.4%
Skew 10d4.3%-7.5%17.8%14.6%-7.5%
Call IV 25d37.5%30.4%50.6%31.0%44.7%
Put IV 25d40.4%35.3%44.9%35.3%41.3%
Bid-Ask Spread %23.3311.5455.0911.5427.25
Gamma HHI0.590.380.770.690.38
Net GEX3.8M376.1K7.2M6.2M376.1K
Net DEX-31.0M-139.4M22.3M-126.5M22.3M
Net VEX-422.4K-535.6K-294.9K-535.6K-294.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.0120.030.340.20
Total Volume7,291.61941631,5881,8969,704
Total OI359,624.952278,144405,828403,192288,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$9.08$8.7529.4%8.4%34.2%21.6%29.4%4.4%4.7%6.2M-126.5M-535.6K0.3411.54N/AN/A1,412484279,664123,528
2008-09-03$9.20$8.7531.3%9.0%28.7%26.0%31.0%5.6%3.4%5.8M-139.4M-519.2K3.6735.18N/AN/A9443,460280,552123,824
2008-09-04$8.52$8.7532.4%9.3%39.1%28.8%32.4%2.3%3.0%5.8M-51.2M-518.6K0.8311.81N/AN/A15,10412,540280,064125,764
2008-09-05$8.59$8.7531.6%10.1%38.8%26.8%35.2%4.1%-0.7%6.0M-53.9M-512.2K0.2513.07N/AN/A1,768440274,584125,184
2008-09-08$8.76$8.7535.9%10.4%34.4%37.1%36.1%4.9%-1.2%6.3M-78.0M-505.8K0.1121.55N/AN/A12,7641,376274,148123,852
2008-09-09$8.55$8.7537.6%10.6%35.2%41.0%37.2%1.3%-1.5%5.6M-53.2M-490.6K0.6925.73N/AN/A1,5561,072270,452123,488
2008-09-10$8.63$8.7535.0%10.4%34.8%34.9%37.9%3.6%-0.5%6.4M-60.0M-490.9K1.0025.09N/AN/A208208269,860123,612
2008-09-11$8.76$8.7536.0%10.3%35.1%37.3%36.3%5.8%-0.4%7.1M-72.9M-487.1K0.1222.09N/AN/A6,496776269,788123,596
2008-09-12$8.50$8.7534.5%9.9%36.4%33.8%34.5%3.0%0.4%6.5M-39.6M-464.5K0.0127.48N/AN/A4,32048270,240124,220
2008-09-15$8.31$8.7538.1%10.9%37.1%42.3%39.0%6.6%-2.9%4.8M-18.0M-424.9K0.6236.76N/AN/A2,0441,276270,372124,108
2008-09-16$8.55$8.7538.7%11.1%38.8%43.6%41.8%3.4%-1.2%7.2M-39.4M-446.8K6.5827.72N/AN/A6444,236270,348124,432
2008-09-17$8.07$8.7545.0%12.9%43.0%58.5%42.9%5.1%-3.4%2.9M-2.3M-399.8K5.7613.63N/AN/A4,67226,916270,400126,576
2008-09-18$8.23$8.7544.4%12.7%43.8%57.0%44.3%6.6%-5.0%3.4M-2.9M-404.7K20.0340.19N/AN/A2364,728271,376127,408
2008-09-19$8.14$8.7538.7%11.1%43.6%43.6%39.4%7.3%-2.7%1.1M9.0M-374.5K4.0914.50N/AN/A1,4045,748271,356128,376
2008-09-22$7.85$8.7544.9%12.9%43.9%58.2%42.9%0.4%1.0%752.4K9.2M-335.5K0.4519.79N/AN/A3,4841,556172,052108,968
2008-09-23$7.96$8.7544.9%12.9%44.4%58.2%44.3%-0.1%-0.5%881.8K3.4M-346.1K9.4716.05N/AN/A5725,416170,700107,444
2008-09-24$7.79$8.7543.7%12.5%44.7%55.3%42.7%-4.9%0.7%537.5K14.7M-325.1K4.7814.07N/AN/A2681,280170,616111,184
2008-09-25$7.93$8.7544.3%12.7%45.3%56.8%40.0%5.8%-1.3%739.1K7.6M-339.9K7.6812.79N/AN/A5804,456170,796111,264
2008-09-26$7.99$8.7545.1%12.9%44.6%58.8%43.4%6.1%-2.9%790.3K6.9M-337.9K0.0918.60N/AN/A4,532408171,316111,640
2008-09-29$7.56$8.7550.5%14.5%47.8%71.6%48.3%-5.8%-1.7%515.2K13.1M-315.5K2.0455.09N/AN/A1,3122,676175,256111,636
2008-09-30$7.63$8.7547.8%13.7%48.0%65.0%32.8%-3.4%-3.5%376.1K22.3M-294.9K0.2027.25N/AN/A8,1081,596176,280111,800