TJX Options History — December 2008

In December 2008, TJX traded between $4.82 and $5.29. ATM implied volatility averaged 63.3%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 15.1% (HV 20d: 78.4%). Max pain ranged from $5.63 to $8.75. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 5.50.

Notable Days

  • 2008-12-04: Highest Volume — 54,496 contracts
  • 2008-12-08: Largest IV spike — 12.7% change
  • 2008-12-01: Highest IV Rank — 85.5%
  • 2008-12-01: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.05$4.82$5.29$5.07$5.14
Max Pain$7.73$5.63$8.75$5.63$7.50
ATM IV63.3%48.9%79.5%79.5%48.9%
Expected Move18.0%14.0%22.8%22.8%14.0%
HV 20d78.4%52.8%90.2%82.6%53.7%
HV 60d70.0%67.2%71.2%67.4%70.3%
IV Rank62.1%41.4%85.5%85.5%41.4%
IV Percentile84.8%73.4%96.8%96.8%73.4%
Term Structure-0.4%-7.1%3.8%-5.7%2.9%
VWIV63.3%47.9%94.5%74.5%47.9%
Skew 25d14.0%6.6%26.5%18.5%6.6%
Skew 10d33.7%13.2%64.0%36.2%20.6%
Call IV 25d57.2%46.4%67.6%67.6%46.8%
Put IV 25d71.1%53.4%88.4%86.1%53.4%
Bid-Ask Spread %22.3815.1434.8834.8815.14
Gamma HHI0.400.220.750.220.30
Net GEX-269.9K-634.7K12.1K-164.2K12.1K
Net DEX32.8M23.0M39.6M34.0M23.0M
Net VEX-55.0K-70.6K-45.7K-55.9K-47.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.500.0543.232.410.82
Total Volume7,405.63612854,4969962,084
Total OI248,111.273206,100288,084238,344206,100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$5.07$5.6379.5%22.8%82.6%85.5%74.5%18.5%-5.7%-164.2K34.0M-55.9K2.4134.88N/AN/A292704137,616100,728
2008-12-02$5.08$5.6377.6%22.2%82.6%82.7%69.0%22.5%-4.9%-177.5K35.0M-52.0K3.2623.79N/AN/A8802,868137,768100,920
2008-12-03$5.24$5.6375.7%21.7%83.5%80.0%76.3%26.5%-2.1%-168.3K34.9M-51.2K2.0625.48N/AN/A8721,800137,34099,592
2008-12-04$4.82$5.6370.7%20.3%87.1%72.8%81.6%20.2%1.6%-202.1K34.8M-46.3K8.3229.32N/AN/A5,84848,648137,812101,012
2008-12-05$5.02$8.7570.1%20.1%85.7%72.0%94.5%20.8%-4.7%-468.0K39.6M-65.8K43.2316.65N/AN/A58425,248142,652136,828
2008-12-08$5.29$8.7579.1%20.9%88.2%84.9%71.4%18.8%-7.1%-393.0K36.5M-70.6K27.8017.29N/AN/A38410,676143,040145,044
2008-12-09$5.02$8.7574.7%19.8%89.6%78.6%62.0%17.4%-3.5%-431.2K39.1M-62.7K1.8720.76N/AN/A372696143,056126,520
2008-12-10$5.12$8.7570.1%19.9%90.2%71.9%67.8%15.3%-3.9%-464.7K37.7M-66.4K0.4223.08N/AN/A10,6164,436143,308125,876
2008-12-11$4.94$8.7567.8%19.4%87.2%68.6%65.9%9.7%-2.2%-448.5K37.0M-65.1K0.0720.08N/AN/A20,3281,344150,508122,876
2008-12-12$4.95$8.7566.6%19.1%85.7%66.9%66.5%16.1%-2.3%-447.6K38.1M-58.2K0.0719.95N/AN/A1208148,216123,728
2008-12-15$4.93$8.7564.4%18.5%83.5%63.8%69.8%10.8%0.8%-494.6K38.0M-54.9K5.2620.46N/AN/A1,0445,496148,296123,728
2008-12-16$5.10$8.7562.6%17.9%83.8%61.1%55.7%13.2%2.0%-634.7K37.2M-55.7K0.0534.10N/AN/A5,924284149,012127,704
2008-12-17$5.24$8.7562.9%18.0%83.6%61.6%56.6%11.8%-1.7%-472.1K34.0M-59.8K0.9820.96N/AN/A1,0521,028153,108127,816
2008-12-18$5.16$8.7559.3%17.0%77.4%56.3%58.7%6.6%1.9%-589.1K33.3M-59.1K1.4718.44N/AN/A436640153,152128,500
2008-12-19$5.16$7.5057.6%16.5%77.4%53.8%56.2%9.2%2.8%-247.2K32.0M-55.8K1.5523.41N/AN/A116180153,476126,316
2008-12-22$4.96$7.5052.8%15.2%74.3%47.1%54.7%11.0%2.0%-17.0K31.5M-47.5K1.4620.02N/AN/A9241,348129,86088,968
2008-12-23$4.88$7.5050.6%14.5%71.1%43.8%56.0%10.2%3.3%-30.4K27.6M-46.7K3.8716.58N/AN/A248960130,15281,256
2008-12-24$4.95$7.5048.9%14.0%71.4%41.4%53.0%10.2%3.6%-25.6K24.7M-47.3K1.3530.58N/AN/A432584130,39275,940
2008-12-26$5.01$7.5049.1%14.1%66.8%41.6%48.5%9.7%3.8%-19.5K24.5M-48.2K0.1820.55N/AN/A15228130,53276,396
2008-12-29$4.93$7.5053.5%15.3%66.7%48.0%57.4%7.3%1.7%-32.0K24.7M-45.7K13.8621.68N/AN/A881,220130,59676,420
2008-12-30$5.01$7.5050.0%14.3%52.8%43.0%49.2%14.7%3.0%-23.3K24.1M-46.1K0.6719.07N/AN/A1,156776130,58475,704
2008-12-31$5.14$7.5048.9%14.0%53.7%41.4%47.9%6.6%2.9%12.1K23.0M-47.8K0.8215.14N/AN/A1,144940131,18474,916