TJX Options History — September 2009

In September 2009, TJX traded between $8.71 and $9.60. ATM implied volatility averaged 30.9%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.8% (HV 20d: 25.1%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2009-09-22: Highest Volume — 14,184 contracts
  • 2009-09-08: Largest IV spike — 20.5% change
  • 2009-09-29: Highest IV Rank — 11.4%
  • 2009-09-29: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.23$8.71$9.60$8.84$9.29
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV30.9%27.1%34.2%32.1%32.8%
Expected Move8.9%7.8%9.8%9.2%9.4%
HV 20d25.1%19.1%31.1%31.1%19.1%
HV 60d29.7%25.8%32.0%31.6%25.8%
IV Rank6.1%0.0%11.4%7.8%9.2%
IV Percentile6.9%0.0%19.0%6.7%13.5%
Term Structure2.6%0.2%4.5%1.7%3.4%
VWIV31.4%27.6%33.8%32.1%30.5%
Skew 25d5.6%2.6%13.1%4.7%2.9%
Skew 10d12.7%3.6%21.0%5.7%4.4%
Call IV 25d27.9%22.9%30.8%24.1%30.1%
Put IV 25d33.5%28.8%40.2%28.8%33.0%
Bid-Ask Spread %12.897.4727.1014.2111.73
Gamma HHI0.440.380.540.390.43
Net GEX877.6K497.4K1.2M579.7K1.1M
Net DEX-26.8M-35.3M-14.5M-17.7M-27.5M
Net VEX-116.0K-128.8K-104.3K-126.6K-111.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.012.181.120.07
Total Volume4,659.04853214,1847,8727,308
Total OI112,061.90595,396119,704104,952119,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$8.84$8.7532.1%9.2%31.1%7.8%32.1%4.7%1.7%579.7K-17.7M-126.6K1.1214.21N/AN/A3,7084,16461,04843,904
2009-09-02$8.71$8.7533.2%9.5%31.0%9.5%33.2%13.1%1.0%497.4K-14.5M-128.8K1.7427.10N/AN/A1,0841,88462,76446,488
2009-09-03$8.94$8.7530.4%8.7%28.9%5.2%30.4%6.6%2.9%591.0K-20.1M-128.6K0.2715.32N/AN/A8,7042,36863,27246,888
2009-09-04$9.05$8.7527.9%9.2%28.5%1.1%31.9%6.2%3.0%750.7K-24.1M-128.4K0.9111.60N/AN/A1,6841,54067,52046,692
2009-09-08$9.03$8.7533.6%9.5%28.3%10.2%32.5%6.7%1.7%702.6K-22.8M-124.1K0.5013.32N/AN/A1,42071266,50847,388
2009-09-09$9.11$8.7531.0%9.4%28.4%6.1%32.6%6.2%1.3%744.3K-25.4M-121.9K1.0911.12N/AN/A1,8882,06466,87247,592
2009-09-10$9.06$8.7532.3%9.3%27.5%8.2%32.3%6.0%2.0%739.4K-24.1M-119.1K0.2710.68N/AN/A1,85249266,24047,316
2009-09-11$9.16$8.7532.0%9.2%27.1%7.6%32.0%6.7%2.5%810.7K-27.5M-118.2K0.3210.71N/AN/A73623667,49647,408
2009-09-14$9.24$8.7534.0%9.7%26.9%10.9%29.8%6.0%0.2%836.8K-29.6M-113.4K0.2114.98N/AN/A5,0481,04867,43247,216
2009-09-15$9.32$8.7532.4%9.3%26.9%8.3%30.9%3.9%0.7%832.2K-31.1M-109.3K2.1815.27N/AN/A8801,91667,40047,324
2009-09-16$9.47$8.7527.1%7.8%24.4%0.0%30.0%6.9%3.5%921.0K-34.2M-110.1K1.0413.61N/AN/A43244867,47247,968
2009-09-17$9.44$8.7528.0%8.0%24.0%1.5%27.6%5.1%3.7%891.6K-33.8M-110.7K0.4214.27N/AN/A98041267,70448,300
2009-09-18$9.51$8.7527.3%7.8%23.5%0.4%32.0%6.2%3.7%923.7K-35.3M-109.2K0.0312.91N/AN/A2,4528467,86848,252
2009-09-21$9.52$8.7528.7%8.2%23.5%2.7%31.8%7.1%3.6%936.7K-28.7M-104.9K0.1312.44N/AN/A8,2001,02856,73638,660
2009-09-22$9.60$8.7529.0%8.3%22.7%3.2%32.2%5.4%4.5%983.0K-30.4M-104.3K0.0113.38N/AN/A14,07610857,73639,160
2009-09-23$9.40$8.7528.5%8.2%21.2%2.2%28.7%5.2%4.5%1.1M-28.7M-109.8K0.149.16N/AN/A4,44060070,21239,232
2009-09-24$9.38$8.7529.1%8.3%21.2%3.2%29.5%3.6%3.4%1.1M-27.9M-114.8K0.237.47N/AN/A43210072,25639,564
2009-09-25$9.21$8.7532.9%9.4%21.5%9.4%32.5%4.3%3.7%1.0M-24.6M-113.4K0.2310.10N/AN/A8,0641,88072,34439,632
2009-09-28$9.34$8.7533.1%9.5%21.0%9.6%33.0%2.9%2.4%1.2M-28.5M-113.6K0.109.09N/AN/A7527277,06040,812
2009-09-29$9.25$8.7534.2%9.8%20.4%11.4%33.8%2.6%1.6%1.1M-27.0M-115.9K0.8112.27N/AN/A1,4081,13677,00040,860
2009-09-30$9.29$8.7532.8%9.4%19.1%9.2%30.5%2.9%3.4%1.1M-27.5M-111.9K0.0711.73N/AN/A6,82048878,28441,420