TJX Options History — December 2009

In December 2009, TJX traded between $9.11 and $9.63. ATM implied volatility averaged 28.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.2% (HV 20d: 19.8%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2009-12-03: Highest Volume — 30,044 contracts
  • 2009-12-09: Largest IV drop — 23.5% change
  • 2009-12-17: Highest IV Rank — 20.8%
  • 2009-12-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.30$9.11$9.63$9.63$9.14
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV28.0%23.5%30.8%26.8%28.0%
Expected Move8.2%7.2%9.0%7.7%8.0%
HV 20d19.8%13.8%21.6%13.8%21.2%
HV 60d22.5%20.9%23.4%21.2%20.9%
IV Rank14.9%4.5%20.8%9.7%16.6%
IV Percentile9.5%0.4%19.4%2.0%9.1%
Term Structure0.4%-1.8%3.0%-0.4%-1.8%
VWIV27.2%23.5%30.0%26.7%28.3%
Skew 25d3.0%-1.4%5.1%3.9%-1.4%
Skew 10d9.3%-2.0%17.8%8.9%-2.0%
Call IV 25d26.5%24.0%29.8%26.1%28.8%
Put IV 25d29.5%26.6%33.8%29.9%27.4%
Bid-Ask Spread %8.293.0721.0521.053.07
Gamma HHI0.580.480.800.800.48
Net GEX1.1M461.6K3.0M2.9M476.5K
Net DEX-14.4M-29.8M-8.4M-29.8M-8.9M
Net VEX-183.4K-198.0K-166.8K-166.8K-177.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.022.400.390.71
Total Volume7,4961,32830,04421,3201,860
Total OI168,091.636132,176189,596150,732154,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$9.63$8.7526.8%7.7%13.8%9.7%26.7%3.9%-0.4%2.9M-29.8M-166.8K0.3921.05N/AN/A15,3525,968104,29246,440
2009-12-02$9.60$8.7526.9%7.7%13.8%10.0%26.9%5.0%0.2%3.0M-28.6M-190.9K0.0512.89N/AN/A4,536236112,71251,828
2009-12-03$9.33$8.7530.6%8.8%17.1%16.3%30.0%1.7%1.7%1.9M-17.2M-180.5K0.6720.32N/AN/A18,02812,016115,19651,980
2009-12-04$9.11$8.7528.4%9.0%18.9%12.6%30.0%4.1%0.5%566.8K-8.4M-172.7K0.288.51N/AN/A8,3762,380117,02460,044
2009-12-07$9.24$8.7528.2%8.8%19.8%12.2%28.3%4.4%1.1%1.1M-13.1M-172.3K0.928.65N/AN/A10,6249,820120,46457,148
2009-12-08$9.20$8.7530.8%8.7%17.7%16.7%28.2%5.1%0.8%1.0M-11.7M-196.0K0.107.71N/AN/A3,164324125,60063,032
2009-12-09$9.28$8.7523.5%8.7%18.1%4.5%27.1%4.3%0.9%1.1M-13.8M-196.5K0.4510.53N/AN/A3,5881,620125,06063,256
2009-12-10$9.47$8.7526.1%7.5%19.9%10.2%26.8%4.2%1.7%1.4M-18.8M-197.7K0.086.68N/AN/A12,9641,016125,48864,108
2009-12-11$9.35$8.7530.1%8.6%20.0%19.2%28.7%3.7%0.4%1.5M-16.3M-198.0K0.915.58N/AN/A1,068976123,97664,308
2009-12-14$9.54$8.7525.1%7.2%21.3%8.7%25.3%4.3%2.7%1.9M-20.1M-192.0K0.197.50N/AN/A5,080980123,94064,268
2009-12-15$9.48$8.7525.1%7.2%20.6%9.2%25.1%5.0%3.0%1.5M-18.7M-191.6K1.285.34N/AN/A604776122,89264,360
2009-12-16$9.30$8.7529.4%8.4%20.9%19.8%27.1%2.8%0.8%582.2K-12.8M-180.9K0.395.69N/AN/A956372122,47664,304
2009-12-17$9.18$8.7529.8%8.5%21.0%20.8%28.7%4.3%0.1%493.2K-10.4M-177.4K1.135.46N/AN/A1,0121,148123,10463,248
2009-12-18$9.20$8.7529.2%8.4%21.0%19.6%28.9%3.4%-0.1%461.6K-10.6M-177.7K2.406.03N/AN/A1,3123,152122,97263,392
2009-12-21$9.29$8.7527.8%8.0%21.5%16.2%25.3%1.7%1.3%576.1K-12.0M-174.9K0.296.79N/AN/A5,1881,50476,16456,012
2009-12-22$9.24$8.7527.9%8.0%21.5%16.4%25.9%1.4%-1.4%585.1K-10.7M-178.3K0.178.06N/AN/A7,3321,21280,16856,848
2009-12-23$9.27$8.7529.2%8.4%21.6%19.5%26.3%3.2%-0.8%783.7K-12.5M-184.9K1.107.03N/AN/A4,5444,98886,26457,208
2009-12-24$9.20$8.7528.1%8.0%21.4%16.8%23.5%3.6%-0.1%656.3K-10.5M-188.4K0.024.46N/AN/A3,7008488,83660,012
2009-12-28$9.23$8.7529.0%8.3%21.2%19.1%28.3%1.4%-0.4%688.0K-11.3M-181.7K0.2710.75N/AN/A1,86450490,35660,076
2009-12-29$9.20$8.7528.8%8.3%21.2%18.6%27.4%1.6%-1.6%698.7K-10.9M-179.8K1.074.27N/AN/A88895291,84060,148
2009-12-30$9.21$8.7527.2%7.8%21.1%14.8%25.3%-0.4%-0.6%584.4K-10.2M-177.1K1.886.01N/AN/A9881,85692,27660,872
2009-12-31$9.14$8.7528.0%8.0%21.2%16.6%28.3%-1.4%-1.8%476.5K-8.9M-177.9K0.713.07N/AN/A1,08877292,80861,216