TJX Options History — July 2009 In July 2009, TJX traded between $7.45 and $9.15. ATM implied volatility averaged 36.5%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.4% (HV 20d: 36.1%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2009-07-07 : Highest Volume — 32,236 contracts2009-07-13 : Largest IV spike — 30.8% change2009-07-13 : Highest IV Rank — 27.2%2009-07-09 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $8.50 $7.45 $9.15 $7.82 $9.06 Max Pain $7.39 $6.25 $7.50 $6.25 $7.50 ATM IV 36.5% 27.2% 44.5% 34.6% 37.8% Expected Move 10.6% 9.5% 11.7% 9.9% 10.8% HV 20d 36.1% 26.5% 39.8% 29.5% 26.5% HV 60d 34.8% 32.5% 36.5% 34.2% 32.5% IV Rank 14.7% 0.0% 27.2% 11.3% 17.0% IV Percentile 23.8% 0.0% 48.8% 13.5% 30.6% Term Structure -1.1% -3.9% 3.5% 2.8% -3.2% VWIV 36.4% 26.5% 39.5% 26.5% 38.0% Skew 25d 7.9% 3.4% 18.1% 10.1% 6.2% Skew 10d 16.1% 5.1% 20.4% 12.6% 17.3% Call IV 25d 30.3% 21.4% 34.2% 24.4% 31.3% Put IV 25d 38.3% 31.6% 42.4% 34.5% 37.5% Bid-Ask Spread % 22.66 10.88 37.73 12.46 35.99 Gamma HHI 0.64 0.44 0.90 0.54 0.59 Net GEX 1.0M 726.9K 2.4M 726.9K 922.4K Net DEX -33.9M -57.8M -13.8M -19.2M -35.8M Net VEX -110.2K -131.1K -74.2K -76.6K -127.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.03 5.80 4.17 0.24 Total Volume 7,516.545 620 32,236 620 3,200 Total OI 113,699.636 87,688 151,276 87,688 110,044
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 2009-07-01 $7.82 $6.25 34.6% 9.9% 29.5% 11.3% 26.5% 10.1% 2.8% 726.9K -19.2M -76.6K 4.17 12.46 N/A N/A 120 500 52,164 35,524 2009-07-02 $7.45 $6.25 33.3% 9.5% 34.1% 9.1% 33.2% 3.4% 3.5% 762.5K -13.8M -74.7K 1.80 10.88 N/A N/A 1,412 2,536 52,148 35,784 2009-07-06 $7.72 $7.50 38.6% 11.1% 36.6% 17.6% 38.6% 9.5% -1.3% 771.4K -17.4M -74.2K 0.52 26.33 N/A N/A 2,120 1,104 53,044 35,548 2009-07-07 $7.57 $7.50 40.4% 11.3% 37.2% 20.6% 38.2% 6.8% -1.0% 806.9K -15.0M -75.6K 0.64 28.20 N/A N/A 19,636 12,600 54,656 36,160 2009-07-08 $7.78 $7.50 42.4% 11.6% 38.4% 23.8% 39.5% 11.7% -2.0% 779.7K -22.9M -96.7K 0.72 18.07 N/A N/A 1,292 924 72,900 46,620 2009-07-09 $8.03 $7.50 31.6% 11.7% 39.4% 6.4% 36.6% 18.1% -1.7% 799.4K -31.0M -94.8K 0.20 14.08 N/A N/A 16,248 3,280 73,768 47,240 2009-07-10 $7.97 $7.50 34.0% 11.7% 38.8% 10.3% 36.1% 12.3% -0.9% 949.1K -34.4M -98.2K 0.03 23.44 N/A N/A 21,376 728 82,664 48,048 2009-07-13 $8.25 $7.50 44.5% 10.1% 39.6% 27.2% 38.7% 7.0% -0.2% 824.4K -41.8M -96.0K 0.67 30.92 N/A N/A 4,400 2,956 85,896 48,044 2009-07-14 $8.45 $7.50 34.6% 10.1% 39.8% 11.2% 35.8% 6.9% 0.4% 992.3K -46.0M -103.8K 1.41 16.56 N/A N/A 3,408 4,812 88,240 50,476 2009-07-15 $8.59 $7.50 27.2% 10.1% 38.7% 0.0% 36.1% 6.8% 0.2% 1.3M -48.8M -112.7K 0.38 15.12 N/A N/A 6,528 2,500 90,496 55,000 2009-07-16 $8.85 $7.50 35.1% 10.1% 38.2% 12.7% 35.4% 6.2% -0.4% 1.7M -57.8M -122.3K 0.33 16.46 N/A N/A 5,264 1,712 94,320 56,956 2009-07-17 $8.80 $7.50 35.2% 10.1% 38.2% 12.8% 35.0% 7.6% -0.1% 2.4M -56.5M -121.9K 0.04 19.46 N/A N/A 11,484 452 94,048 56,728 2009-07-20 $8.90 $7.50 36.3% 10.4% 38.2% 14.5% 36.4% 7.5% -1.2% 985.0K -32.5M -126.1K 2.22 23.22 N/A N/A 1,672 3,708 66,304 31,644 2009-07-21 $8.84 $7.50 36.6% 10.5% 38.4% 15.0% 36.6% 7.7% -1.7% 967.3K -30.7M -128.3K 0.27 24.65 N/A N/A 3,752 1,008 67,120 33,592 2009-07-22 $8.82 $7.50 37.0% 10.6% 37.6% 15.6% 36.5% 7.2% -2.2% 977.2K -30.6M -131.1K 0.04 21.67 N/A N/A 1,696 76 68,864 34,128 2009-07-23 $8.97 $7.50 37.5% 10.8% 37.6% 16.5% 37.5% 7.2% -2.8% 984.6K -34.1M -127.6K 0.15 25.37 N/A N/A 7,228 1,088 69,568 33,948 2009-07-24 $8.97 $7.50 37.0% 10.6% 34.2% 15.7% 37.0% 7.1% -1.8% 998.6K -34.3M -127.5K 1.43 29.98 N/A N/A 600 856 71,156 34,848 2009-07-27 $8.97 $7.50 37.5% 10.8% 33.3% 16.6% 37.6% 6.6% -2.4% 990.0K -33.6M -124.2K 1.17 37.73 N/A N/A 3,884 4,560 70,616 35,396 2009-07-28 $9.06 $7.50 37.2% 10.7% 33.3% 16.0% 37.2% 6.4% -2.4% 930.3K -36.3M -128.4K 3.10 34.83 N/A N/A 664 2,056 71,040 37,224 2009-07-29 $9.09 $7.50 37.3% 10.7% 33.3% 16.1% 37.2% 6.6% -2.4% 909.9K -36.6M -128.9K 5.80 16.45 N/A N/A 176 1,020 71,048 38,312 2009-07-30 $9.15 $7.50 38.0% 10.9% 32.9% 17.2% 37.3% 5.6% -3.9% 914.0K -37.7M -128.2K 2.50 16.67 N/A N/A 208 520 71,116 38,952 2009-07-31 $9.06 $7.50 37.8% 10.8% 26.5% 17.0% 38.0% 6.2% -3.2% 922.4K -35.8M -127.1K 0.24 35.99 N/A N/A 2,576 624 71,156 38,888
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