TJX Options History — October 2009

In October 2009, TJX traded between $9.07 and $10.05. ATM implied volatility averaged 30.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.7% (HV 20d: 22.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-10-26: Highest Volume — 16,260 contracts
  • 2009-10-14: Largest IV spike — 36.2% change
  • 2009-10-30: Highest IV Rank — 22.6%
  • 2009-10-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.57$9.07$10.05$9.19$9.34
Max Pain$9.72$8.75$10.00$8.75$10.00
ATM IV30.3%21.1%38.0%32.8%36.6%
Expected Move9.2%8.1%10.5%9.4%10.5%
HV 20d22.5%17.4%29.0%18.7%29.0%
HV 60d24.8%23.9%25.9%25.4%25.2%
IV Rank10.9%0.0%22.6%9.1%22.6%
IV Percentile10.2%0.0%39.7%13.5%39.3%
Term Structure-1.4%-3.5%2.9%2.9%-0.5%
VWIV31.8%28.4%35.4%32.8%29.5%
Skew 25d4.1%-0.4%9.6%-0.4%8.1%
Skew 10d8.2%-2.4%15.6%14.0%8.0%
Call IV 25d30.9%22.4%34.9%32.6%29.6%
Put IV 25d35.1%32.0%39.0%32.3%37.7%
Bid-Ask Spread %22.7412.0133.1413.0223.78
Gamma HHI0.600.420.780.430.65
Net GEX1.3M855.5K1.7M1.1M1.1M
Net DEX-30.7M-41.0M-17.9M-26.3M-17.9M
Net VEX-126.6K-144.2K-112.5K-112.5K-131.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.013.310.070.61
Total Volume6,187.6361,60416,2605,1244,372
Total OI118,56894,012143,040120,648111,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$9.19$8.7532.8%9.4%18.7%9.1%32.8%-0.4%2.9%1.1M-26.3M-112.5K0.0713.02N/AN/A4,79233279,12841,520
2009-10-02$9.07$8.7533.6%9.6%17.4%10.4%33.6%-0.4%2.3%1.1M-24.3M-116.1K0.1414.06N/AN/A3,17245683,90441,612
2009-10-05$9.31$8.7538.0%10.5%19.1%17.5%33.9%5.3%-2.4%1.3M-29.8M-115.9K0.0424.99N/AN/A5,03217682,94041,464
2009-10-06$9.61$8.7533.6%10.2%22.0%10.4%35.4%4.2%-3.2%1.6M-41.0M-122.5K0.0318.48N/AN/A11,43628886,46041,484
2009-10-07$9.52$8.7532.2%9.9%22.3%8.2%34.8%3.0%-2.5%1.6M-38.6M-128.9K0.1716.47N/AN/A6,8521,17688,25641,700
2009-10-08$9.40$10.0029.9%10.0%22.8%4.6%35.2%2.9%-3.5%1.5M-36.6M-123.4K0.0922.31N/AN/A5,46850488,63642,560
2009-10-09$9.45$10.0027.4%9.5%22.6%0.6%33.4%2.3%-2.4%1.4M-34.1M-120.6K0.2425.13N/AN/A5,1481,23285,91642,964
2009-10-12$9.46$10.0021.1%9.7%22.5%0.0%33.6%2.2%-2.9%1.5M-35.7M-121.7K0.1625.69N/AN/A1,48423289,36043,632
2009-10-13$9.42$10.0023.6%9.5%22.4%3.7%34.6%3.0%-2.6%855.5K-35.1M-114.7K0.4433.14N/AN/A7,8043,45689,37643,712
2009-10-14$9.48$10.0032.2%9.5%21.7%16.2%33.8%3.3%-2.9%989.6K-36.4M-118.2K1.0030.85N/AN/A80080491,10845,872
2009-10-15$9.53$10.0032.0%9.2%21.7%15.9%32.4%4.0%-2.0%1.1M-36.5M-119.4K0.0130.38N/AN/A11,2009291,44846,368
2009-10-16$9.58$10.0030.5%8.7%21.6%13.7%30.4%4.2%-1.0%1.7M-40.5M-130.6K0.4930.77N/AN/A4,4442,18096,70446,336
2009-10-19$9.77$10.0030.1%8.6%22.6%13.1%30.8%4.7%-0.8%1.1M-25.6M-130.0K0.8231.95N/AN/A89673266,00028,012
2009-10-20$9.69$10.0028.9%8.3%22.7%11.3%28.9%7.9%-0.9%1.1M-24.6M-127.7K0.2012.01N/AN/A6,1001,22066,44428,472
2009-10-21$9.84$10.0028.4%8.1%21.7%10.6%28.5%9.6%-1.4%1.3M-28.6M-133.8K0.1120.78N/AN/A6,37670069,92829,096
2009-10-22$10.05$10.0028.3%8.1%22.8%10.5%28.4%4.2%-0.3%1.4M-31.7M-131.9K0.3024.33N/AN/A4,4521,34467,78429,396
2009-10-23$9.95$10.0029.0%8.3%22.0%11.6%29.1%3.1%-0.3%1.3M-29.4M-135.8K0.1332.05N/AN/A3,43243670,07230,596
2009-10-26$10.04$10.0028.7%8.2%21.8%11.1%28.7%1.7%-1.6%1.5M-32.7M-132.0K0.3220.98N/AN/A12,2763,98471,51630,920
2009-10-27$9.75$10.0029.6%8.5%24.4%12.4%30.0%7.1%-1.9%1.6M-27.8M-144.2K0.8917.86N/AN/A1,7401,54480,50033,368
2009-10-28$9.46$10.0030.5%8.7%27.0%13.7%31.1%5.2%-2.1%1.1M-19.4M-135.6K3.3114.54N/AN/A8642,86477,71633,664
2009-10-29$9.62$10.0029.2%8.4%27.2%11.8%31.7%6.1%-1.2%1.3M-22.6M-139.0K0.4516.75N/AN/A2,9121,32477,99632,696
2009-10-30$9.34$10.0036.6%10.5%29.0%22.6%29.5%8.1%-0.5%1.1M-17.9M-131.2K0.6123.78N/AN/A2,7121,66078,71633,144