TJX Options History — January 2009

In January 2009, TJX traded between $4.86 and $5.43. ATM implied volatility averaged 48.6%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 8.0% (HV 20d: 40.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2009-01-13: Highest Volume — 45,192 contracts
  • 2009-01-12: Largest IV spike — 34.3% change
  • 2009-01-12: Highest IV Rank — 50.6%
  • 2009-01-12: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.13$4.86$5.43$5.39$4.86
Max Pain$5.22$5.00$7.50$7.50$5.00
ATM IV48.6%40.4%55.3%44.0%44.8%
Expected Move13.9%12.6%15.1%12.6%12.9%
HV 20d40.6%34.5%55.1%55.1%43.5%
HV 60d65.3%60.9%70.4%70.4%61.7%
IV Rank40.9%29.0%50.6%34.3%35.5%
IV Percentile69.1%47.6%78.2%60.3%59.5%
Term Structure3.1%0.6%5.2%0.9%5.1%
VWIV50.1%44.4%61.0%46.9%50.4%
Skew 25d11.2%5.7%14.9%9.1%9.7%
Skew 10d32.2%23.2%45.1%35.3%24.7%
Call IV 25d45.5%39.9%49.6%39.9%44.5%
Put IV 25d56.6%49.1%62.9%49.1%54.1%
Bid-Ask Spread %23.7315.0636.8915.0631.35
Gamma HHI0.540.380.710.380.63
Net GEX150.5K61.4K265.3K64.0K183.6K
Net DEX10.0M-6.6M22.2M21.9M1.7M
Net VEX-73.4K-90.4K-49.0K-51.6K-81.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.0413.000.510.38
Total Volume5,090.84445,1921,05644
Total OI175,750.4105,468271,252207,048115,692

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$5.39$7.5044.0%12.6%55.1%34.3%46.9%9.1%0.9%64.0K21.9M-51.6K0.5115.06N/AN/A700356132,05274,996
2009-01-05$5.35$5.0048.6%12.9%45.7%40.9%58.3%5.7%4.4%61.4K22.2M-49.8K13.0020.32N/AN/A60780132,41675,176
2009-01-06$5.43$5.0047.0%12.9%44.0%38.6%45.0%11.3%4.9%70.5K21.8M-50.7K0.2619.59N/AN/A668172132,42075,636
2009-01-07$5.43$5.0051.5%13.6%40.3%45.0%52.1%11.2%2.2%71.3K21.5M-51.3K0.2017.83N/AN/A3,548704133,00475,328
2009-01-08$5.37$5.0040.4%13.0%35.4%29.0%46.9%8.5%3.5%153.8K22.0M-49.0K0.0720.93N/AN/A10,104728134,62875,664
2009-01-09$5.20$5.6341.2%14.7%37.0%30.2%52.8%8.9%0.6%137.7K20.4M-52.4K0.0522.98N/AN/A10,024476139,59674,500
2009-01-12$5.16$5.6355.3%15.1%34.5%50.6%61.0%12.8%0.9%114.8K19.9M-55.0K0.7818.06N/AN/A4,2283,316142,59674,492
2009-01-13$5.08$5.6351.6%14.1%35.1%45.2%49.1%10.7%3.6%171.0K18.1M-68.8K0.9818.28N/AN/A22,80022,392154,59676,568
2009-01-14$4.89$5.0054.5%14.7%37.7%49.4%52.8%12.3%4.1%97.2K20.0M-87.6K3.5719.48N/AN/A5361,912173,64096,384
2009-01-15$5.05$5.0049.9%14.3%37.4%42.7%50.3%11.4%5.2%156.0K18.1M-89.6K1.7326.08N/AN/A7881,360173,38096,956
2009-01-16$5.16$5.0051.3%14.7%37.0%44.8%44.4%13.2%3.3%158.9K15.8M-90.3K0.3719.63N/AN/A852316173,51297,740
2009-01-20$4.88$5.0052.6%15.1%41.7%46.7%52.4%11.1%2.0%129.3K-60.2K-82.2K0.2826.48N/AN/A1,86052063,87241,596
2009-01-21$4.99$5.0050.4%14.4%42.6%43.5%47.1%14.9%3.4%151.6K-1.6M-85.1K0.0428.59N/AN/A3,18413665,14441,288
2009-01-22$5.05$5.0049.4%14.2%40.3%42.1%47.8%13.5%3.7%189.5K-3.6M-88.9K0.5622.60N/AN/A74842068,23641,392
2009-01-23$4.98$5.0050.4%14.5%40.2%43.6%0.0%14.1%3.2%183.3K-2.1M-86.9K0.0624.77N/AN/A3362068,80841,512
2009-01-26$5.06$5.0049.5%14.2%40.2%42.2%49.9%11.2%2.5%201.7K-3.6M-86.2K0.2027.28N/AN/A1,73235269,10441,516
2009-01-27$5.07$5.0048.4%13.9%40.0%40.6%49.0%11.2%2.2%227.5K-4.4M-85.0K5.6030.83N/AN/A4802,68870,43241,576
2009-01-28$5.22$5.0045.1%12.9%40.9%35.9%45.9%11.8%2.6%265.3K-6.6M-90.4K0.4427.48N/AN/A89639670,77243,672
2009-01-29$5.01$5.0045.9%13.2%43.3%37.1%49.7%10.4%3.4%222.1K-2.4M-86.3K0.3836.89N/AN/A86032471,28043,836
2009-01-30$4.86$5.0044.8%12.9%43.5%35.5%50.4%9.7%5.1%183.6K1.7M-81.4K0.0031.35N/AN/A04471,75643,936