TJX Options History — March 2009

In March 2009, TJX traded between $5.36 and $6.74. ATM implied volatility averaged 45.9%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 0.7% (HV 20d: 45.2%). Max pain ranged from $5.00 to $5.63. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.09.

Notable Days

  • 2009-03-03: Highest Volume — 29,308 contracts
  • 2009-03-12: Largest IV drop — 14.6% change
  • 2009-03-09: Highest IV Rank — 48.4%
  • 2009-03-02: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.04$5.36$6.74$5.50$6.41
Max Pain$5.43$5.00$5.63$5.63$5.63
ATM IV45.9%40.8%53.8%50.3%43.9%
Expected Move13.0%11.7%14.4%14.4%12.6%
HV 20d45.2%37.4%53.8%52.5%40.6%
HV 60d45.7%43.4%49.6%49.6%45.3%
IV Rank34.4%25.4%48.4%43.4%30.1%
IV Percentile54.3%36.9%75.8%70.2%44.8%
Term Structure2.2%-2.4%6.0%-0.9%4.3%
VWIV45.8%28.8%54.0%50.4%43.2%
Skew 25d12.9%3.4%19.2%8.6%15.8%
Skew 10d22.8%-14.0%35.0%0.8%25.1%
Call IV 25d37.4%28.9%50.4%48.2%31.5%
Put IV 25d50.3%44.4%58.5%56.8%47.3%
Bid-Ask Spread %19.8612.4836.8236.8215.45
Gamma HHI0.400.280.540.530.35
Net GEX170.0K-76.1K326.8K313.9K151.3K
Net DEX-16.4M-27.1M-1.1M-8.3M-21.9M
Net VEX-88.3K-100.3K-78.4K-86.2K-81.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.1515.660.200.36
Total Volume5,483.27354829,3088804,396
Total OI127,912.909100,456157,088100,456130,840

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$5.50$5.6350.3%14.4%52.5%43.4%50.4%8.6%-0.9%313.9K-8.3M-86.2K0.2036.82N/AN/A73614465,20035,256
2009-03-03$5.36$5.6348.7%14.0%53.7%41.1%48.8%3.4%-2.4%326.8K-4.8M-82.5K4.9919.49N/AN/A4,89624,41265,59635,336
2009-03-04$5.42$5.6345.2%13.0%53.6%36.1%45.8%13.6%-0.1%238.5K-3.5M-96.5K5.9819.14N/AN/A2201,31668,46454,260
2009-03-05$5.38$5.6348.6%13.9%53.8%40.9%49.6%15.0%0.8%117.7K-1.1M-98.9K0.1527.20N/AN/A1,85628066,45260,036
2009-03-06$5.37$5.0048.5%13.7%39.3%40.7%50.3%13.7%1.0%196.7K-1.7M-93.8K6.6621.50N/AN/A4603,06466,80853,488
2009-03-09$5.43$5.0053.8%14.2%37.4%48.4%54.0%12.6%0.3%219.3K-3.9M-92.3K2.6316.18N/AN/A4481,18066,94853,380
2009-03-10$5.79$5.0047.7%13.9%44.1%39.6%48.1%10.5%0.0%321.7K-12.4M-93.0K0.9817.95N/AN/A1,9361,88867,27654,540
2009-03-11$5.94$5.0053.2%14.2%42.7%47.5%53.7%14.8%-0.4%282.5K-15.8M-95.8K15.6619.45N/AN/A5408,45667,82056,248
2009-03-12$6.15$5.0045.4%13.0%44.0%32.5%47.6%14.2%0.8%141.9K-19.3M-91.8K0.7519.98N/AN/A2,5641,91268,05261,068
2009-03-13$6.21$5.0044.8%12.8%44.0%31.5%45.0%19.2%0.3%162.5K-21.8M-90.1K3.0818.19N/AN/A6642,04470,05261,800
2009-03-16$6.00$5.0042.0%12.1%45.9%27.3%45.1%10.9%4.5%208.7K-16.3M-92.3K4.1319.57N/AN/A5,04420,83670,07663,152
2009-03-17$6.16$5.6340.8%11.7%46.2%25.4%40.9%14.8%4.2%-76.1K-20.4M-100.3K10.1518.62N/AN/A4084,14074,72082,368
2009-03-18$6.32$5.6343.0%12.3%46.5%28.9%44.2%16.0%2.5%50.6K-25.2M-86.3K0.4635.79N/AN/A78035671,53677,512
2009-03-19$6.28$5.6343.1%12.4%46.6%29.0%45.4%15.7%3.0%27.5K-24.6M-86.0K0.3315.32N/AN/A60020071,40476,876
2009-03-20$6.17$5.6345.0%12.9%47.4%31.8%45.1%15.7%2.5%-38.4K-22.0M-87.8K1.0812.48N/AN/A3,3523,61671,42076,848
2009-03-23$6.37$5.6342.7%12.2%46.7%28.3%45.5%16.3%5.6%188.7K-19.8M-83.3K2.1916.92N/AN/A8241,80460,71658,080
2009-03-24$6.49$5.6345.5%13.0%45.8%32.5%46.1%18.6%4.3%180.2K-22.1M-82.1K1.3012.92N/AN/A1,6682,16461,49658,840
2009-03-25$6.45$5.6341.8%12.0%39.8%26.9%41.8%15.0%3.6%242.4K-22.4M-78.9K0.3315.01N/AN/A1,46048462,82060,680
2009-03-26$6.74$5.6344.7%12.8%40.0%31.4%43.6%7.5%3.6%229.7K-27.1M-78.4K3.1023.01N/AN/A1,8125,61664,26460,872
2009-03-27$6.63$5.6344.5%12.7%40.5%31.0%28.8%7.4%5.3%118.6K-24.9M-81.9K0.5618.50N/AN/A35219665,34865,296
2009-03-30$6.43$5.6345.5%13.0%42.3%32.6%45.5%3.7%6.0%135.2K-21.7M-83.6K2.9317.43N/AN/A3841,12465,45665,384
2009-03-31$6.41$5.6343.9%12.6%40.6%30.1%43.2%15.8%4.3%151.3K-21.9M-81.1K0.3615.45N/AN/A3,2441,15265,70065,140