TJX Options History — August 2009

In August 2009, TJX traded between $8.58 and $9.30. ATM implied volatility averaged 34.1%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.1% (HV 20d: 27.0%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2009-08-17: Highest Volume — 24,936 contracts
  • 2009-08-18: Largest IV drop — 12.6% change
  • 2009-08-12: Highest IV Rank — 18.3%
  • 2009-08-04: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.93$8.58$9.30$9.13$8.99
Max Pain$8.51$7.50$8.75$7.50$8.75
ATM IV34.1%29.9%38.6%37.9%31.4%
Expected Move9.6%8.6%10.9%10.9%9.0%
HV 20d27.0%23.8%31.5%24.6%31.5%
HV 60d31.9%30.8%33.7%32.5%31.4%
IV Rank11.1%4.3%18.3%17.1%6.7%
IV Percentile16.3%2.0%36.5%31.0%4.0%
Term Structure0.3%-3.4%3.3%-3.2%1.6%
VWIV33.5%28.8%39.4%38.1%31.1%
Skew 25d7.2%1.3%15.9%5.7%7.5%
Skew 10d13.3%-0.8%25.3%18.4%8.2%
Call IV 25d29.0%22.0%35.0%31.9%22.3%
Put IV 25d36.2%29.6%43.2%37.6%29.9%
Bid-Ask Spread %22.9712.9338.3224.0712.97
Gamma HHI0.560.400.770.570.40
Net GEX1.1M598.0K2.5M943.3K637.3K
Net DEX-26.5M-36.9M-15.7M-36.9M-21.1M
Net VEX-127.1K-137.4K-121.2K-121.2K-125.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.154.800.330.94
Total Volume5,589.90581224,9366,6002,160
Total OI112,118.476100,560132,696108,756103,936

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$9.13$7.5037.9%10.9%24.6%17.1%38.1%5.7%-3.2%943.3K-36.9M-121.2K0.3324.07N/AN/A4,9681,63270,33638,420
2009-08-04$8.94$7.5038.2%10.9%24.8%17.6%38.2%5.9%-3.4%1.0M-33.1M-124.4K2.8138.32N/AN/A2,5007,02471,81637,948
2009-08-05$9.07$7.5037.2%10.7%24.0%16.1%37.2%7.0%-2.0%1.0M-35.6M-132.8K4.8025.32N/AN/A14067273,35243,240
2009-08-06$8.71$7.5036.7%10.5%27.8%15.2%39.4%5.9%-2.6%1.1M-27.6M-127.2K0.8832.75N/AN/A3,9883,51273,37639,688
2009-08-07$8.87$8.7536.4%9.7%27.9%14.7%32.7%6.6%1.0%1.1M-29.9M-127.4K0.1518.17N/AN/A2,60440071,64842,124
2009-08-10$8.79$8.7536.9%9.7%26.1%15.6%33.5%6.0%1.4%1.1M-27.8M-123.8K0.5726.83N/AN/A1,71698072,13242,192
2009-08-11$8.77$8.7537.0%9.6%25.1%15.7%34.2%6.9%1.4%1.1M-21.6M-123.3K2.4921.48N/AN/A5561,38464,61242,304
2009-08-12$8.97$8.7538.6%9.7%25.6%18.3%33.9%6.9%0.8%1.2M-27.4M-122.1K1.6921.85N/AN/A1,2562,12464,95642,132
2009-08-13$8.84$8.7534.0%9.7%23.9%10.9%36.3%7.4%0.1%1.2M-23.0M-123.2K1.3024.52N/AN/A1,7722,29664,90042,832
2009-08-14$8.77$8.7534.1%9.8%24.0%11.1%34.1%6.2%-0.2%1.2M-20.9M-128.0K0.4518.25N/AN/A1,28857666,50044,684
2009-08-17$8.85$8.7537.4%10.7%23.8%16.3%37.6%8.2%-1.3%1.2M-23.6M-126.6K0.2912.93N/AN/A19,3525,58466,77644,960
2009-08-18$8.58$8.7532.7%9.4%26.0%8.8%32.5%12.5%0.5%1.6M-15.7M-127.0K0.6214.80N/AN/A12,2367,63276,17647,288
2009-08-19$8.75$8.7532.6%9.3%27.0%8.6%35.4%15.9%0.2%2.5M-22.6M-137.4K0.3613.93N/AN/A3,0921,12081,24851,448
2009-08-20$8.91$8.7531.6%9.1%27.1%7.1%31.5%6.1%1.4%1.8M-34.2M-130.6K0.1821.97N/AN/A7,0441,28879,42451,352
2009-08-21$8.96$8.7530.7%8.8%27.2%5.5%28.9%6.4%1.2%994.0K-35.8M-131.1K0.1732.45N/AN/A2,22837278,70851,672
2009-08-24$8.85$8.7530.6%8.8%27.6%5.5%30.1%12.9%1.2%598.0K-18.2M-128.0K0.8726.06N/AN/A1,05291259,50841,052
2009-08-25$9.16$8.7531.5%9.0%30.2%6.9%30.1%7.0%1.0%715.4K-24.8M-127.1K1.5724.38N/AN/A1,3522,12859,82841,308
2009-08-26$9.15$8.7530.9%8.9%30.2%5.9%28.8%2.9%1.7%686.2K-24.3M-129.0K0.4614.93N/AN/A1,08049259,98042,864
2009-08-27$9.30$8.7530.0%8.6%30.6%4.5%29.1%5.7%3.3%755.1K-28.2M-125.8K1.0927.96N/AN/A1,3241,44460,55642,948
2009-08-28$9.13$8.7529.9%8.6%31.1%4.3%29.9%1.3%2.4%706.1K-24.6M-128.3K2.6028.52N/AN/A1,1402,96860,87243,392
2009-08-31$8.99$8.7531.4%9.0%31.5%6.7%31.1%7.5%1.6%637.3K-21.1M-125.4K0.9412.97N/AN/A1,1121,04860,59643,340