TJX Options History — April 2009

In April 2009, TJX traded between $6.41 and $7.08. ATM implied volatility averaged 38.8%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 0.7% (HV 20d: 38.1%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.11.

Notable Days

  • 2009-04-27: Highest Volume — 17,036 contracts
  • 2009-04-27: Largest IV spike — 62.5% change
  • 2009-04-27: Highest IV Rank — 33.4%
  • 2009-04-27: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.80$6.41$7.08$6.41$6.99
Max Pain$6.19$5.63$6.25$5.63$6.25
ATM IV38.8%28.3%46.0%41.4%35.3%
Expected Move11.3%8.1%13.2%11.9%10.1%
HV 20d38.1%35.2%42.7%40.7%38.4%
HV 60d44.7%43.2%45.9%45.3%44.1%
IV Rank22.3%6.3%33.4%26.3%17.1%
IV Percentile31.9%2.4%57.9%34.5%24.2%
Term Structure1.5%-4.0%6.9%6.9%-4.0%
VWIV41.6%29.8%50.4%41.4%50.4%
Skew 25d11.0%4.2%22.0%15.9%12.2%
Skew 10d24.1%4.0%77.1%25.4%28.0%
Call IV 25d33.9%24.0%40.8%29.3%33.0%
Put IV 25d45.0%38.8%49.4%45.2%45.2%
Bid-Ask Spread %29.6712.1448.0214.1223.45
Gamma HHI0.400.300.610.350.60
Net GEX78.1K-41.7K385.0K227.9K373.2K
Net DEX-19.4M-34.7M-4.3M-23.1M-8.9M
Net VEX-77.2K-84.7K-70.0K-80.4K-80.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0333.300.112.70
Total Volume3,329.71432017,0365961,332
Total OI114,551.8163,736152,292133,40486,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$6.41$5.6341.4%11.9%40.7%26.3%41.4%15.9%6.9%227.9K-23.1M-80.4K0.1114.12N/AN/A5366068,56864,836
2009-04-02$6.54$5.6340.3%11.6%40.4%24.6%39.9%15.3%3.3%214.2K-26.2M-76.1K2.7312.14N/AN/A3,5409,68068,91264,872
2009-04-03$6.67$6.2539.1%12.1%40.4%22.9%42.2%14.3%3.0%2.7K-27.9M-80.7K1.0637.93N/AN/A2,1562,28871,81272,556
2009-04-06$6.49$6.2541.1%12.4%42.7%25.9%49.1%8.6%-1.6%125.9K-25.4M-83.4K0.8624.88N/AN/A17214873,86074,512
2009-04-07$6.44$6.2542.5%12.2%37.4%28.1%42.8%7.6%1.9%99.7K-23.9M-84.7K33.3040.20N/AN/A802,66473,54074,320
2009-04-08$6.67$6.2533.9%12.6%38.4%14.8%42.6%15.6%0.5%-564-28.1M-81.1K3.2726.05N/AN/A6122,00073,56475,288
2009-04-09$6.89$6.2534.7%9.9%38.2%16.1%34.2%22.0%4.0%28.6K-31.8M-79.4K0.3033.75N/AN/A2,94088073,80875,520
2009-04-13$6.82$6.2544.9%12.9%38.6%31.7%43.7%7.9%0.3%16.9K-31.6M-77.8K1.4322.98N/AN/A9681,38075,48876,280
2009-04-14$6.73$6.2544.0%12.6%36.3%30.4%41.4%9.4%-1.4%-27.6K-30.2M-77.4K1.1321.93N/AN/A62871275,29276,724
2009-04-15$6.76$6.2543.3%12.4%35.4%29.2%43.3%10.7%-1.0%-30.9K-30.5M-77.3K1.9631.58N/AN/A38876075,67676,616
2009-04-16$6.91$6.2534.9%10.0%35.2%16.3%45.8%9.1%3.3%-9.2K-32.5M-74.6K9.5429.17N/AN/A3403,24473,96874,508
2009-04-17$7.08$6.2536.2%10.4%35.7%18.4%36.7%9.0%1.8%13.9K-34.7M-73.6K0.4936.06N/AN/A62030473,95274,528
2009-04-20$6.83$6.2544.0%12.6%38.0%30.3%42.4%9.2%1.0%-25.6K-5.1M-71.9K1.5129.98N/AN/A31247230,70833,028
2009-04-21$7.03$6.2536.8%10.5%37.7%19.2%37.7%9.2%3.2%6.3K-6.7M-72.9K1.3138.20N/AN/A1,1601,51630,88433,260
2009-04-22$6.95$6.2536.1%10.3%37.9%18.2%36.0%10.3%4.0%1.3K-6.3M-74.5K0.4523.03N/AN/A1,34861231,67634,456
2009-04-23$6.88$6.2532.4%9.3%38.0%12.5%47.7%8.8%2.4%-23.2K-5.2M-73.1K0.8248.02N/AN/A42434831,54434,476
2009-04-24$7.03$6.2528.3%8.1%35.5%6.3%29.8%11.1%4.1%286-7.1M-72.6K0.4931.14N/AN/A43621231,61234,824
2009-04-27$6.75$6.2546.0%13.2%38.2%33.4%44.7%8.7%2.1%-41.7K-4.3M-70.0K0.0330.17N/AN/A16,57646031,91234,908
2009-04-28$6.99$6.2544.2%12.7%38.1%30.6%44.7%12.8%-2.8%302.9K-8.8M-80.8K0.1527.26N/AN/A3,88456446,40035,288
2009-04-29$6.92$6.2535.2%10.1%38.3%16.8%37.7%4.2%1.4%385.0K-8.8M-77.7K1.6441.07N/AN/A1,2001,96849,06035,636
2009-04-30$6.99$6.2535.3%10.1%38.4%17.1%50.4%12.2%-4.0%373.2K-8.9M-80.8K2.7023.45N/AN/A36097249,44037,476