TJX Options History — November 2009

In November 2009, TJX traded between $9.56 and $9.88. ATM implied volatility averaged 29.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.9% (HV 20d: 25.2%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2009-11-17: Highest Volume — 44,816 contracts
  • 2009-11-05: Largest IV drop — 16.1% change
  • 2009-11-04: Highest IV Rank — 19.7%
  • 2009-11-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.70$9.56$9.88$9.58$9.60
Max Pain$9.50$8.75$10.00$10.00$8.75
ATM IV29.1%24.6%34.6%31.9%27.2%
Expected Move8.3%7.0%9.9%9.1%7.8%
HV 20d25.2%16.5%29.0%29.0%16.5%
HV 60d23.8%21.3%25.5%25.5%21.3%
IV Rank11.9%5.9%19.7%15.7%10.5%
IV Percentile8.6%0.8%29.8%14.7%2.8%
Term Structure-0.2%-2.7%0.8%-1.0%-0.2%
VWIV29.3%24.6%34.8%31.9%27.7%
Skew 25d7.3%3.6%10.1%8.2%5.0%
Skew 10d12.4%2.0%21.1%18.1%11.0%
Call IV 25d26.5%21.6%33.3%30.9%26.7%
Put IV 25d33.8%29.2%39.8%39.2%31.7%
Bid-Ask Spread %17.429.6034.0515.3017.97
Gamma HHI0.740.610.850.660.79
Net GEX2.3M1.2M4.1M1.3M2.7M
Net DEX-27.7M-36.6M-20.2M-21.4M-28.6M
Net VEX-157.2K-186.6K-138.3K-138.3K-165.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.021.170.400.24
Total Volume10,993.62,54044,8162,8808,784
Total OI136,798.8113,556186,312113,692148,884

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$9.58$10.0031.9%9.1%29.0%15.7%31.9%8.2%-1.0%1.3M-21.4M-138.3K0.4015.30N/AN/A2,05682478,88834,804
2009-11-03$9.62$10.0031.6%9.1%26.6%15.4%31.4%9.8%-0.0%1.2M-21.7M-142.9K1.0114.97N/AN/A2,5322,55278,14835,408
2009-11-04$9.57$10.0034.6%9.9%26.4%19.7%34.8%4.9%-2.7%1.2M-21.6M-143.4K0.0529.28N/AN/A3,36817678,92436,840
2009-11-05$9.56$10.0029.0%8.3%26.0%11.6%29.2%7.5%0.8%1.2M-20.6M-140.5K0.2621.00N/AN/A2,01252879,49636,864
2009-11-06$9.58$10.0028.2%8.4%25.9%10.3%29.7%8.7%0.4%1.3M-20.2M-140.5K1.1724.69N/AN/A2,8443,32079,74837,152
2009-11-09$9.79$10.0030.3%8.3%27.0%13.4%29.5%6.2%0.4%1.7M-25.4M-148.3K0.8734.05N/AN/A1,4481,25680,79240,040
2009-11-10$9.79$10.0030.3%8.4%26.9%13.4%29.1%4.8%0.1%1.7M-25.8M-151.6K0.1023.75N/AN/A3,25232481,22040,976
2009-11-11$9.79$10.0031.4%8.6%26.8%15.0%29.7%5.5%-0.5%1.8M-26.6M-148.0K0.0212.68N/AN/A6,06413283,34040,996
2009-11-12$9.68$10.0029.6%8.5%27.1%12.4%30.2%10.1%0.3%1.8M-24.1M-146.7K0.2812.56N/AN/A5,0961,42486,08441,040
2009-11-13$9.74$10.0030.0%8.6%27.2%13.0%30.4%3.6%-0.4%2.1M-26.8M-147.7K0.0614.90N/AN/A12,05272487,37240,724
2009-11-16$9.88$10.0032.7%9.4%26.7%17.0%33.1%4.8%-2.1%2.3M-32.3M-149.0K0.2815.35N/AN/A28,1487,96890,72441,148
2009-11-17$9.73$10.0030.1%8.6%27.2%13.1%31.3%10.1%-0.7%3.2M-25.6M-151.0K0.2215.27N/AN/A36,7288,088101,09644,404
2009-11-18$9.79$8.7528.7%8.2%26.7%11.1%28.7%9.5%-0.4%4.1M-31.2M-159.1K0.049.60N/AN/A40,8281,752109,46846,796
2009-11-19$9.78$8.7527.4%7.8%25.4%9.1%26.9%9.3%0.5%3.7M-35.7M-178.6K0.7610.52N/AN/A6,9965,308134,58446,444
2009-11-20$9.70$8.7527.2%7.8%25.2%8.9%28.6%9.1%0.1%3.9M-34.3M-186.6K0.9613.69N/AN/A2,0962,008135,78050,532
2009-11-23$9.67$8.7527.0%7.7%24.9%9.8%27.2%6.7%-0.0%2.6M-32.5M-177.1K0.1815.64N/AN/A4,89690099,73244,524
2009-11-24$9.69$8.7525.1%7.2%22.7%6.8%25.8%6.5%0.7%2.8M-32.9M-176.7K0.2917.51N/AN/A4,7521,388101,64844,912
2009-11-25$9.77$8.7524.6%7.0%19.9%5.9%24.6%7.9%0.6%3.2M-36.6M-180.2K0.2411.18N/AN/A3,652864103,33645,028
2009-11-27$9.65$8.7524.9%7.1%19.7%6.5%25.4%7.6%0.5%2.8M-30.4M-172.4K0.2018.43N/AN/A2,284448102,45645,624
2009-11-30$9.60$8.7527.2%7.8%16.5%10.5%27.7%5.0%-0.2%2.7M-28.6M-165.7K0.2417.97N/AN/A7,0641,720103,06045,824