TJX Options History — May 2009

In May 2009, TJX traded between $6.71 and $7.38. ATM implied volatility averaged 37.2%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.1% (HV 20d: 37.2%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-05-27: Highest Volume — 11,728 contracts
  • 2009-05-13: Largest IV spike — 30.7% change
  • 2009-05-13: Highest IV Rank — 40.9%
  • 2009-05-14: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.09$6.71$7.38$6.97$7.38
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV37.2%31.5%50.9%33.1%35.4%
Expected Move10.8%9.0%13.1%9.5%10.1%
HV 20d37.2%35.3%39.8%38.0%36.1%
HV 60d39.4%37.7%44.1%44.1%38.0%
IV Rank20.0%11.2%40.9%13.7%17.1%
IV Percentile28.1%10.7%71.8%18.7%23.4%
Term Structure-0.3%-3.4%4.1%1.5%0.5%
VWIV38.4%31.8%49.0%32.4%35.4%
Skew 25d9.6%5.6%15.4%7.3%12.8%
Skew 10d18.6%9.1%26.5%16.7%20.4%
Call IV 25d34.9%28.1%39.8%39.2%30.8%
Put IV 25d44.5%39.3%47.8%46.5%43.5%
Bid-Ask Spread %23.9615.7735.9133.0219.08
Gamma HHI0.590.390.730.600.73
Net GEX304.1K48.6K616.0K378.9K538.2K
Net DEX-8.4M-14.4M-2.6M-8.4M-14.4M
Net VEX-78.2K-86.9K-74.7K-80.4K-86.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.064.060.350.23
Total Volume4,395.418411,7281842,796
Total OI80,092.465,88888,94887,19683,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$6.97$6.2533.1%9.5%38.0%13.7%32.4%7.3%1.5%378.9K-8.4M-80.4K0.3533.02N/AN/A1364849,53237,664
2009-05-04$7.25$6.2538.7%11.9%39.8%22.2%49.0%8.1%-3.4%616.0K-13.4M-77.9K0.2735.41N/AN/A8,5402,32049,60836,752
2009-05-05$7.26$6.2538.6%11.6%38.0%22.1%40.6%7.3%-1.8%541.5K-12.5M-76.8K0.6335.91N/AN/A2,6121,63646,72435,304
2009-05-06$7.13$6.2538.4%11.6%38.7%21.8%43.1%5.6%-3.3%364.3K-9.7M-75.0K0.0732.08N/AN/A2,93222045,12836,940
2009-05-07$7.16$6.2538.2%11.7%36.9%21.4%41.1%6.4%-2.2%410.2K-10.1M-77.9K4.0625.60N/AN/A4281,73647,72037,100
2009-05-08$7.01$6.2531.8%10.5%36.2%11.6%38.9%12.5%0.4%289.6K-8.0M-74.7K1.5621.61N/AN/A1,5882,47247,81236,940
2009-05-11$6.96$6.2536.4%11.4%36.1%18.8%43.6%11.0%0.1%215.4K-6.3M-77.5K1.2525.42N/AN/A3,3484,18047,97639,156
2009-05-12$7.06$6.2538.9%11.3%35.9%22.5%39.3%12.6%-1.0%349.1K-6.0M-79.3K0.0816.42N/AN/A2,13217645,46838,492
2009-05-13$6.90$6.2550.9%11.8%37.0%40.9%44.5%8.6%-2.8%114.3K-3.9M-76.1K1.1732.07N/AN/A2,4922,91646,88438,616
2009-05-14$6.71$6.2545.8%13.1%37.4%33.1%39.8%7.5%-1.4%57.1K-2.6M-78.0K2.0615.94N/AN/A1,7363,57248,46040,488
2009-05-15$6.71$6.2545.8%13.1%36.1%33.0%42.8%7.1%-1.6%48.6K-3.1M-76.5K0.6625.91N/AN/A85656448,56039,060
2009-05-18$6.99$6.2538.9%11.1%36.8%22.4%41.8%10.4%-1.1%136.5K-5.4M-76.9K0.3016.56N/AN/A5,0641,51234,79231,096
2009-05-19$7.26$6.2533.1%9.5%37.8%13.6%33.0%11.9%0.4%270.7K-9.8M-77.6K0.3615.77N/AN/A5,5202,00038,33231,900
2009-05-20$7.08$6.2532.6%9.3%38.7%12.8%33.1%8.1%1.2%220.4K-7.1M-78.5K0.4516.16N/AN/A2,05292038,87232,948
2009-05-21$7.05$6.2532.0%9.2%38.6%12.0%32.4%8.9%1.8%205.0K-6.8M-77.2K1.8027.72N/AN/A37667638,12432,416
2009-05-22$7.07$6.2531.5%9.0%37.8%11.2%31.8%9.6%1.4%209.9K-7.3M-76.0K0.3917.05N/AN/A2,31290438,22032,460
2009-05-26$7.35$6.2532.2%9.2%36.9%12.3%32.3%15.4%4.1%334.0K-11.0M-76.6K0.2218.94N/AN/A3,56476840,38032,360
2009-05-27$7.30$6.2536.8%10.5%35.3%19.2%36.8%11.9%-0.2%324.5K-10.7M-78.7K0.0623.66N/AN/A11,04068840,95632,700
2009-05-28$7.21$6.2535.9%10.3%35.4%17.9%36.0%9.0%1.3%457.4K-11.4M-85.5K0.5924.97N/AN/A67640049,38833,248
2009-05-29$7.38$6.2535.4%10.1%36.1%17.1%35.4%12.8%0.5%538.2K-14.4M-86.9K0.2319.08N/AN/A2,26852849,97633,296