TJX Options History — November 2008

In November 2008, TJX traded between $4.61 and $6.59. ATM implied volatility averaged 71.4%, placing in the 74.1% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 0.9% (HV 20d: 70.5%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 19.80.

Notable Days

  • 2008-11-19: Highest Volume — 33,060 contracts
  • 2008-11-10: Largest IV spike — 19.1% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.59$4.61$6.59$6.50$5.71
Max Pain$6.05$5.63$6.25$6.25$5.63
ATM IV71.4%62.1%89.6%66.4%64.6%
Expected Move20.1%16.1%25.7%19.0%18.5%
HV 20d70.5%66.0%79.6%73.7%73.1%
HV 60d57.6%51.9%65.1%51.9%63.5%
IV Rank74.1%60.4%100.0%66.8%64.0%
IV Percentile94.7%87.3%100.0%94.4%88.1%
Term Structure-1.3%-7.2%6.3%-4.0%1.0%
VWIV68.6%47.8%86.9%70.2%65.3%
Skew 25d20.2%13.3%29.1%19.0%17.4%
Skew 10d44.2%22.8%59.9%37.8%49.1%
Call IV 25d59.1%42.4%77.8%52.7%56.2%
Put IV 25d79.3%69.1%97.5%71.7%73.6%
Bid-Ask Spread %27.5117.5441.6727.2631.35
Gamma HHI0.270.180.450.260.21
Net GEX6.8K-531.3K528.4K514.7K-81.8K
Net DEX36.8M23.9M46.0M23.9M31.4M
Net VEX-94.7K-172.1K-57.6K-172.1K-72.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.800.13195.791.44125.50
Total Volume8,176.84289633,0604,6482,024
Total OI279,321.263235,668316,004263,500236,336

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$6.50$6.2566.4%19.0%73.7%66.8%70.2%19.0%-4.0%514.7K23.9M-172.1K1.4427.26N/AN/A1,9082,740168,24095,260
2008-11-04$6.59$6.2564.4%18.5%71.7%64.0%47.8%19.1%-3.8%528.4K24.3M-167.6K1.0031.35N/AN/A448448168,63697,464
2008-11-05$6.50$6.2566.5%19.1%71.8%67.1%67.7%29.1%-6.7%312.3K29.5M-138.2K6.4041.67N/AN/A3682,356168,70496,924
2008-11-06$6.00$6.2567.4%19.3%69.6%68.4%64.8%20.3%-7.2%247.1K34.6M-112.2K0.2537.01N/AN/A15,9123,956168,85696,620
2008-11-07$6.05$5.6364.7%16.1%69.2%64.5%64.9%19.7%1.0%307.8K34.8M-113.1K11.4829.41N/AN/A1,23614,188178,90098,516
2008-11-10$5.92$5.6377.1%19.3%66.4%82.4%64.0%23.9%-5.4%138.5K37.8M-120.2K2.3624.71N/AN/A8081,904179,080112,576
2008-11-11$5.86$5.6372.1%18.8%66.3%75.1%63.1%19.9%-0.1%79.7K41.0M-98.7K1.3629.33N/AN/A2,2323,036179,508112,652
2008-11-12$5.44$6.2570.6%19.3%69.1%73.0%63.8%20.5%-3.9%-86.0K43.8M-78.6K0.2517.54N/AN/A6,5721,620180,432110,700
2008-11-13$5.65$6.2566.4%19.0%66.0%66.9%70.4%25.7%-4.8%-19.4K43.6M-86.6K17.6622.64N/AN/A1,74830,876185,668111,584
2008-11-14$5.33$6.2565.8%18.9%68.1%66.0%59.0%16.0%-0.1%-252.4K46.0M-94.9K0.8621.57N/AN/A1,060908186,384129,620
2008-11-17$5.16$6.2572.9%20.9%67.4%76.3%75.7%13.3%4.1%-207.8K44.8M-69.9K0.2019.02N/AN/A1,308256186,504117,900
2008-11-18$5.01$6.2574.7%21.4%67.4%78.9%83.4%20.8%-1.6%-186.8K44.9M-67.6K0.5119.06N/AN/A5,0562,556187,812118,140
2008-11-19$4.61$6.2585.4%24.5%69.8%94.4%80.6%14.2%0.6%-157.4K41.4M-57.6K195.7931.50N/AN/A16832,892189,536114,760
2008-11-20$4.62$6.2589.6%25.7%70.0%100.0%84.4%19.7%-1.3%-171.4K42.7M-62.1K8.0526.01N/AN/A7325,892189,696123,436
2008-11-21$4.99$6.2581.4%23.3%76.3%88.2%86.9%20.6%-3.1%-531.3K38.5M-65.4K0.5223.17N/AN/A2,6481,384190,164113,468
2008-11-24$5.28$6.2571.3%20.4%79.6%73.7%75.4%17.7%6.3%-115.3K32.3M-73.7K1.1328.31N/AN/A820928138,200100,564
2008-11-25$5.31$5.6373.8%21.2%70.7%77.2%56.3%23.1%1.7%-113.8K32.2M-72.9K0.1326.88N/AN/A2,880364138,82499,772
2008-11-26$5.67$5.6362.1%17.8%73.0%60.4%59.8%23.8%3.2%-76.7K31.5M-74.6K1.3134.94N/AN/A488640137,45298,216
2008-11-28$5.71$5.6364.6%18.5%73.1%64.0%65.3%17.4%1.0%-81.8K31.4M-72.6K125.5031.35N/AN/A162,008137,60498,732