TJX Options History — February 2009

In February 2009, TJX traded between $4.87 and $5.78. ATM implied volatility averaged 49.0%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 1.9% (HV 20d: 50.9%). Max pain ranged from $5.00 to $5.63. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.73.

Notable Days

  • 2009-02-25: Highest Volume — 14,836 contracts
  • 2009-02-25: Largest IV drop — 15.5% change
  • 2009-02-23: Highest IV Rank — 61.1%
  • 2009-02-23: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.39$4.87$5.78$4.87$5.57
Max Pain$5.46$5.00$5.63$5.00$5.63
ATM IV49.0%41.8%62.6%47.2%46.0%
Expected Move14.2%12.0%17.9%13.5%13.2%
HV 20d50.9%39.5%56.4%39.5%53.8%
HV 60d58.8%49.5%63.8%61.6%49.5%
IV Rank41.5%31.1%61.1%38.8%37.1%
IV Percentile66.8%47.6%82.1%67.5%60.3%
Term Structure-1.0%-7.1%5.5%4.5%-3.4%
VWIV50.9%42.2%56.7%48.4%50.5%
Skew 25d11.7%8.6%16.4%12.6%11.2%
Skew 10d27.2%8.6%36.3%26.1%8.6%
Call IV 25d45.5%37.3%55.2%44.0%41.7%
Put IV 25d57.1%48.2%67.5%56.6%52.9%
Bid-Ask Spread %28.8217.3051.0322.9551.03
Gamma HHI0.540.470.650.640.56
Net GEX279.0K190.8K395.0K190.8K368.5K
Net DEX-10.9M-19.4M1.5M1.5M-9.5M
Net VEX-86.6K-95.6K-76.5K-79.2K-87.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.055.350.101.85
Total Volume4,8966014,8366,780696
Total OI120,000.63288,136134,020115,736100,264

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$4.87$5.0047.2%13.5%39.5%38.8%48.4%12.6%4.5%190.8K1.5M-79.2K0.1022.95N/AN/A6,18459671,75643,980
2009-02-03$4.95$5.0045.4%13.0%40.3%36.3%0.0%11.6%4.7%269.0K-1.5M-83.0K2.0027.29N/AN/A204076,71643,540
2009-02-04$4.98$5.0044.7%12.8%39.9%35.3%44.7%11.3%5.5%270.2K-2.3M-85.0K5.1426.08N/AN/A14072076,73643,540
2009-02-05$5.51$5.0041.8%12.0%54.9%31.1%42.2%13.8%3.1%395.0K-16.7M-89.9K2.3238.37N/AN/A4,1089,52476,70443,268
2009-02-06$5.71$5.0043.6%13.9%56.0%33.8%48.5%16.4%2.2%279.4K-19.4M-94.6K3.6124.87N/AN/A1,0283,71677,98850,320
2009-02-09$5.63$5.6349.1%14.0%54.8%41.6%53.0%10.0%-1.5%253.5K-16.8M-95.4K0.8517.30N/AN/A1,7161,46078,31652,708
2009-02-10$5.43$5.6346.6%14.8%56.4%38.0%53.5%9.2%-2.1%226.7K-12.8M-95.6K1.1026.77N/AN/A29232078,77652,904
2009-02-11$5.46$5.6346.6%14.5%56.0%38.0%50.4%11.3%-1.6%249.2K-13.6M-92.7K0.1618.12N/AN/A1,14418079,02852,628
2009-02-12$5.49$5.6348.9%14.0%53.8%41.3%55.1%12.0%0.7%240.8K-13.7M-91.4K4.1528.37N/AN/A4561,89278,86452,704
2009-02-13$5.41$5.6349.8%14.3%53.4%42.6%0.0%10.4%-3.2%228.3K-13.8M-89.1K1.1628.76N/AN/A58868478,87653,296
2009-02-17$5.36$5.6352.5%15.1%53.1%46.6%52.9%14.2%-3.9%223.4K-12.6M-85.3K1.8928.46N/AN/A50495279,18053,248
2009-02-18$5.34$5.6354.2%15.5%48.6%49.0%54.8%13.1%-6.1%246.3K-13.1M-82.4K0.1825.57N/AN/A88015679,37253,580
2009-02-19$5.34$5.6353.0%15.2%48.2%47.3%56.7%8.6%-5.7%284.4K-15.1M-79.0K1.6231.00N/AN/A1,0121,64479,86453,680
2009-02-20$5.33$5.6354.6%15.7%48.1%49.6%55.4%12.6%-2.9%275.0K-14.9M-77.9K5.3529.31N/AN/A2,12811,38879,83254,188
2009-02-23$5.20$5.6362.6%17.9%48.7%61.1%56.0%12.3%-3.8%191.5K-2.1M-76.5K0.0630.36N/AN/A13,53675655,28832,848
2009-02-24$5.38$5.6355.0%15.8%49.9%50.1%55.1%9.4%-7.1%366.9K-6.3M-84.7K0.5028.03N/AN/A4,4122,22065,48832,548
2009-02-25$5.78$5.6346.4%13.3%55.4%37.8%46.4%12.6%1.3%375.3K-13.2M-88.5K0.0534.15N/AN/A14,11272464,54034,352
2009-02-26$5.62$5.6342.6%12.2%56.0%32.3%42.6%8.9%0.8%366.2K-10.4M-87.5K0.7430.75N/AN/A1,7841,31264,54434,548
2009-02-27$5.57$5.6346.0%13.2%53.8%37.1%50.5%11.2%-3.4%368.5K-9.5M-87.5K1.8551.03N/AN/A24445265,17635,088