TJX Options History — October 2008 In October 2008, TJX traded between $5.77 and $7.66. ATM implied volatility averaged 67.6%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 10.3% (HV 20d: 57.3%). Max pain ranged from $6.25 to $8.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 3.42.
Notable Days 2008-10-01 : Highest Volume — 19,092 contracts2008-10-20 : Largest IV drop — 31.4% change2008-10-08 : Highest IV Rank — 100.0%2008-10-24 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.70 $5.77 $7.66 $7.66 $6.69 Max Pain $7.39 $6.25 $8.75 $8.75 $6.25 ATM IV 67.6% 48.5% 89.3% 49.1% 68.5% Expected Move 18.1% 13.9% 22.3% 14.1% 19.6% HV 20d 57.3% 41.4% 74.5% 47.6% 73.3% HV 60d 47.0% 40.7% 53.7% 40.7% 53.0% IV Rank 77.3% 41.0% 100.0% 68.1% 70.0% IV Percentile 97.5% 90.9% 100.0% 96.4% 95.2% Term Structure -5.2% -12.1% 0.6% -4.2% -3.9% VWIV 58.0% 29.5% 76.9% 48.1% 56.6% Skew 25d 17.5% -4.4% 29.4% 25.8% 22.6% Skew 10d 34.1% -8.3% 56.6% 39.5% 48.5% Call IV 25d 53.2% 30.1% 89.5% 30.1% 52.5% Put IV 25d 70.7% 40.4% 85.5% 56.0% 75.1% Bid-Ask Spread % 34.41 19.33 65.86 21.40 22.07 Gamma HHI 0.32 0.25 0.41 0.38 0.25 Net GEX 248.6K 20.6K 530.1K 463.9K 518.5K Net DEX 30.6M 16.8M 41.8M 20.9M 20.3M Net VEX -205.1K -298.4K -121.9K -298.4K -191.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.42 0.01 55.71 4.53 0.03 Total Volume 7,542.609 1,296 19,092 19,092 8,784 Total OI 282,003.13 232,912 322,328 294,972 255,952
Daily Data (23 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 2008-10-01 $7.66 $8.75 49.1% 14.1% 47.6% 68.1% 48.1% 25.8% -4.2% 463.9K 20.9M -298.4K 4.53 21.40 N/A N/A 3,452 15,640 182,996 111,976 2008-10-02 $7.36 $8.75 52.7% 15.1% 42.1% 76.6% 40.2% 0.1% -4.4% 50.5K 30.8M -290.0K 0.33 38.68 N/A N/A 5,672 1,844 185,828 122,728 2008-10-03 $7.47 $8.75 49.3% 14.1% 42.4% 68.6% 29.5% 3.3% -3.6% 210.3K 25.8M -285.0K 0.01 39.09 N/A N/A 8,448 120 189,160 116,188 2008-10-06 $7.35 $7.50 55.4% 14.7% 41.4% 82.9% 56.9% 26.1% -5.0% 192.5K 27.1M -280.6K 1.00 42.59 N/A N/A 6,932 6,948 192,560 116,188 2008-10-07 $6.96 $7.50 61.5% 14.9% 44.2% 97.3% 51.5% 3.4% -4.3% 107.9K 33.8M -244.3K 0.38 42.58 N/A N/A 4,784 1,808 191,968 113,688 2008-10-08 $6.90 $7.50 72.1% 16.7% 43.6% 100.0% 61.1% 4.4% -6.0% 199.6K 30.5M -243.7K 0.69 40.12 N/A N/A 3,396 2,352 195,540 112,860 2008-10-09 $6.29 $7.50 81.0% 20.1% 51.3% 100.0% 60.1% 20.9% -4.8% 71.8K 41.8M -183.3K 0.56 64.77 N/A N/A 8,280 4,648 195,384 113,680 2008-10-10 $6.41 $7.50 82.2% 21.8% 52.6% 100.0% 71.5% -4.4% -9.1% 125.4K 37.8M -207.9K 0.52 65.86 N/A N/A 6,836 3,532 199,104 113,432 2008-10-13 $6.75 $7.50 89.3% 20.0% 57.3% 100.0% 76.9% 14.4% -12.1% 236.9K 36.0M -209.8K 0.39 32.63 N/A N/A 932 364 202,468 113,832 2008-10-14 $6.78 $7.50 80.5% 17.8% 55.7% 87.3% 48.5% 20.5% -5.9% 259.3K 31.6M -237.5K 0.07 21.87 N/A N/A 11,396 804 202,104 114,004 2008-10-15 $6.46 $7.50 82.5% 18.1% 54.7% 90.3% 52.8% 17.7% -3.3% 286.5K 40.1M -178.9K 7.95 39.35 N/A N/A 1,368 10,872 208,044 114,284 2008-10-16 $6.90 $7.50 57.0% 16.3% 60.2% 53.2% 66.0% 26.4% -1.4% 378.3K 32.9M -204.4K 0.83 34.80 N/A N/A 752 624 208,108 108,748 2008-10-17 $6.75 $7.50 70.7% 20.3% 60.4% 73.1% 57.8% 22.9% -10.4% 329.8K 34.9M -199.3K 0.37 38.72 N/A N/A 5,828 2,148 207,740 114,428 2008-10-20 $6.89 $7.50 48.5% 13.9% 60.5% 41.0% 59.2% 23.2% 0.6% 408.0K 23.0M -207.2K 2.87 44.08 N/A N/A 1,228 3,520 142,276 90,636 2008-10-21 $6.70 $7.50 62.1% 17.8% 60.4% 60.7% 55.5% 16.6% -6.6% 305.8K 26.7M -192.2K 0.56 24.17 N/A N/A 868 484 142,220 92,832 2008-10-22 $6.28 $7.50 61.9% 17.7% 63.4% 60.4% 60.6% 22.2% -0.4% 88.2K 36.0M -140.0K 55.71 31.28 N/A N/A 68 3,788 142,716 93,096 2008-10-23 $6.14 $7.50 66.7% 19.1% 62.6% 67.3% 47.1% 21.8% -3.8% 54.9K 36.5M -135.7K 0.78 28.09 N/A N/A 2,800 2,184 142,724 94,784 2008-10-24 $5.91 $7.50 77.8% 22.3% 62.8% 83.5% 67.2% 21.3% -10.0% 20.6K 36.3M -125.2K 0.24 25.38 N/A N/A 9,212 2,184 141,684 94,512 2008-10-27 $5.77 $6.25 76.2% 21.9% 61.1% 81.2% 70.6% 29.4% -4.5% 95.3K 34.7M -121.9K 0.11 29.91 N/A N/A 4,844 556 150,372 94,056 2008-10-28 $6.34 $6.25 69.0% 19.8% 71.9% 70.6% 69.4% 24.9% -6.3% 254.5K 31.3M -146.2K 0.09 20.54 N/A N/A 7,356 664 154,932 94,148 2008-10-29 $6.65 $6.25 71.8% 20.6% 74.5% 74.7% 69.4% 19.1% -6.5% 530.1K 16.8M -200.5K 0.38 24.04 N/A N/A 2,004 752 160,912 94,632 2008-10-30 $6.67 $6.25 70.1% 20.1% 73.6% 72.3% 56.6% 19.2% -3.4% 529.8K 19.0M -194.2K 0.21 19.33 N/A N/A 1,980 424 161,508 95,040 2008-10-31 $6.69 $6.25 68.5% 19.6% 73.3% 70.0% 0.0% 22.6% -3.9% 518.5K 20.3M -191.0K 0.03 22.07 N/A N/A 8,524 260 160,940 95,012
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