TJX Options History — June 2009 In June 2009, TJX traded between $7.43 and $7.95. ATM implied volatility averaged 35.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.0% (HV 20d: 32.7%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2009-06-26 : Highest Volume — 5,420 contracts2009-06-15 : Largest IV spike — 13.0% change2009-06-02 : Highest IV Rank — 22.0%2009-06-02 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.68 $7.43 $7.95 $7.68 $7.87 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 35.7% 32.8% 39.8% 38.5% 33.1% Expected Move 10.2% 9.4% 11.1% 11.0% 9.5% HV 20d 32.7% 28.1% 38.3% 38.3% 29.3% HV 60d 35.6% 33.5% 38.5% 38.5% 34.8% IV Rank 14.1% 8.3% 22.0% 21.8% 8.9% IV Percentile 20.6% 10.3% 32.9% 29.0% 10.3% Term Structure 1.8% -0.9% 5.0% -0.9% 4.1% VWIV 34.3% 25.4% 40.6% 38.0% 33.1% Skew 25d 10.9% 4.7% 21.5% 9.3% 10.2% Skew 10d 16.1% 6.5% 39.5% 9.8% 13.1% Call IV 25d 26.8% 18.9% 34.1% 26.4% 22.9% Put IV 25d 37.7% 31.4% 48.7% 35.7% 33.1% Bid-Ask Spread % 15.00 8.17 23.62 20.56 8.54 Gamma HHI 0.69 0.52 0.81 0.72 0.52 Net GEX 689.5K 520.0K 1.1M 609.2K 698.3K Net DEX -18.9M -23.1M -14.1M -20.0M -19.5M Net VEX -79.3K -88.3K -71.6K -87.2K -75.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.05 8.15 0.31 1.18 Total Volume 2,138 208 5,420 3,720 2,300 Total OI 84,857.455 76,176 88,880 85,396 86,524
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-06-01 $7.68 $6.25 38.5% 11.0% 38.3% 21.8% 38.0% 9.3% -0.9% 609.2K -20.0M -87.2K 0.31 20.56 N/A N/A 2,840 880 51,644 33,752 2009-06-02 $7.67 $6.25 38.6% 11.1% 36.0% 22.0% 38.4% 8.5% -0.7% 588.6K -19.6M -87.8K 0.99 13.64 N/A N/A 716 712 51,528 33,972 2009-06-03 $7.68 $6.25 37.2% 10.7% 36.0% 19.9% 37.2% 21.5% 0.9% 595.0K -19.7M -88.3K 0.34 12.12 N/A N/A 1,180 396 51,752 34,448 2009-06-04 $7.61 $6.25 35.5% 10.2% 35.4% 17.3% 35.5% 5.6% 1.3% 620.3K -18.4M -87.3K 0.85 13.97 N/A N/A 1,084 920 52,020 34,740 2009-06-05 $7.63 $6.25 35.8% 10.2% 35.4% 17.8% 40.6% 7.3% 2.1% 642.3K -19.0M -86.9K 2.38 23.62 N/A N/A 540 1,284 52,484 35,096 2009-06-08 $7.70 $6.25 39.8% 10.6% 34.3% 19.6% 36.3% 7.5% 1.7% 615.5K -20.0M -84.6K 8.15 21.28 N/A N/A 136 1,108 51,700 35,300 2009-06-09 $7.75 $6.25 35.2% 10.2% 34.0% 12.2% 27.0% 8.8% 2.5% 676.6K -21.1M -82.8K 0.65 17.33 N/A N/A 344 224 51,708 34,284 2009-06-10 $7.63 $6.25 34.5% 9.8% 34.6% 11.1% 34.3% 6.3% 1.8% 731.9K -18.7M -81.0K 0.52 19.24 N/A N/A 1,612 832 51,500 34,464 2009-06-11 $7.49 $6.25 34.8% 10.0% 34.2% 11.5% 37.2% 6.9% 1.4% 719.6K -16.2M -80.7K 1.83 16.49 N/A N/A 508 932 51,036 34,784 2009-06-12 $7.68 $6.25 32.8% 9.4% 32.9% 8.3% 30.1% 8.6% 5.0% 757.6K -19.6M -78.5K 0.41 21.64 N/A N/A 148 60 51,052 34,432 2009-06-15 $7.59 $6.25 37.0% 10.6% 33.5% 15.1% 27.5% 18.0% 0.7% 784.7K -17.9M -78.8K 0.43 14.36 N/A N/A 300 128 50,840 34,388 2009-06-16 $7.43 $6.25 35.3% 10.1% 32.3% 12.4% 35.3% 14.6% 1.6% 833.7K -14.6M -76.2K 0.21 9.34 N/A N/A 4,192 860 50,932 34,428 2009-06-17 $7.71 $6.25 35.7% 10.2% 32.0% 13.1% 25.4% 19.1% 2.0% 925.0K -22.1M -76.8K 0.61 18.21 N/A N/A 1,996 1,212 53,740 35,020 2009-06-18 $7.67 $6.25 35.8% 10.3% 30.4% 13.3% 35.8% 17.8% 2.0% 1.1M -21.9M -75.9K 0.30 16.65 N/A N/A 412 124 53,764 35,116 2009-06-19 $7.71 $6.25 34.8% 10.0% 30.3% 11.6% 32.6% 7.8% 2.6% 690.4K -23.1M -73.5K 0.09 21.54 N/A N/A 2,300 204 52,668 35,136 2009-06-22 $7.70 $6.25 36.3% 10.4% 30.4% 14.0% 35.3% 10.2% 1.9% 520.0K -15.9M -73.1K 1.75 9.25 N/A N/A 80 140 43,516 32,660 2009-06-23 $7.57 $6.25 36.0% 10.3% 28.3% 13.5% 36.1% 4.7% 0.9% 525.9K -14.1M -71.6K 0.05 8.17 N/A N/A 4,648 228 43,564 32,716 2009-06-24 $7.56 $6.25 35.1% 10.1% 28.1% 12.0% 35.1% 6.2% 2.1% 594.7K -14.4M -73.2K 0.05 9.64 N/A N/A 1,000 48 47,104 32,932 2009-06-25 $7.95 $6.25 34.9% 10.0% 32.5% 11.8% 34.9% 16.0% 2.6% 608.6K -20.6M -73.4K 0.25 12.14 N/A N/A 3,048 748 47,656 32,976 2009-06-26 $7.83 $6.25 33.8% 9.7% 32.5% 10.0% 33.8% 13.0% 2.5% 668.2K -19.3M -74.9K 1.08 11.86 N/A N/A 2,604 2,816 49,568 33,448 2009-06-29 $7.84 $6.25 35.4% 10.1% 29.4% 12.5% 35.4% 11.8% 1.7% 679.3K -19.3M -76.4K 1.06 10.31 N/A N/A 580 612 51,552 34,920 2009-06-30 $7.87 $6.25 33.1% 9.5% 29.3% 8.9% 33.1% 10.2% 4.1% 698.3K -19.5M -75.9K 1.18 8.54 N/A N/A 1,056 1,244 51,376 35,148
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