TJX Options History — January 2010

In January 2010, TJX traded between $9.01 and $9.77. ATM implied volatility averaged 24.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.4% (HV 20d: 24.8%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-01-07: Highest Volume — 16,596 contracts
  • 2010-01-12: Largest IV spike — 43.2% change
  • 2010-01-25: Highest IV Rank — 25.7%
  • 2010-01-05: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.43$9.01$9.77$9.01$9.50
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV24.4%15.8%30.8%30.8%23.1%
Expected Move7.1%6.1%8.3%7.5%6.6%
HV 20d24.8%19.4%27.4%19.4%27.4%
HV 60d23.1%21.0%24.1%21.0%21.3%
IV Rank16.0%0.0%25.7%23.3%15.6%
IV Percentile5.8%0.0%25.8%25.8%3.2%
Term Structure1.6%-0.0%3.3%1.7%2.2%
VWIV25.2%21.3%28.6%26.2%23.2%
Skew 25d3.9%0.2%7.7%4.8%0.2%
Skew 10d7.1%-1.2%15.3%9.5%3.3%
Call IV 25d22.9%19.3%25.6%23.7%24.2%
Put IV 25d26.8%24.4%29.6%28.5%24.4%
Bid-Ask Spread %19.5611.1733.2628.1833.26
Gamma HHI0.510.440.730.440.49
Net GEX755.8K242.4K2.5M242.4K597.8K
Net DEX-14.2M-33.2M-3.5M-5.3M-12.5M
Net VEX-183.7K-203.7K-166.6K-166.6K-183.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.082.800.741.31
Total Volume5,331.78999216,59612,3162,824
Total OI142,585.474112,144169,056153,680120,288

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$9.01$8.7530.8%7.5%19.4%23.3%26.2%4.8%1.7%242.4K-5.3M-166.6K0.7428.18N/AN/A7,0725,24492,79660,884
2010-01-05$9.25$8.7529.2%8.3%20.0%19.4%28.6%4.6%-0.0%631.3K-12.5M-181.3K0.9021.75N/AN/A6,3485,69296,78463,028
2010-01-06$9.29$8.7527.7%8.0%19.4%15.9%25.4%4.4%0.9%803.1K-13.9M-191.6K0.1622.92N/AN/A6,26098498,18064,844
2010-01-07$9.77$8.7523.4%6.7%26.1%5.4%23.7%7.7%1.8%2.5M-33.2M-203.7K0.1713.71N/AN/A14,1722,424100,71665,172
2010-01-08$9.64$8.7518.5%6.5%26.6%0.0%23.5%6.6%2.5%2.0M-26.6M-196.5K1.0413.93N/AN/A2,1122,196100,64466,080
2010-01-11$9.62$8.7515.8%7.1%25.8%0.0%24.8%5.6%1.4%1.1M-21.9M-190.4K0.4811.90N/AN/A1,80887299,46067,608
2010-01-12$9.54$8.7522.6%7.0%25.5%14.6%25.0%4.0%1.4%864.4K-19.9M-186.0K0.5812.84N/AN/A70840898,95267,536
2010-01-13$9.57$8.7527.8%6.8%24.6%25.6%26.3%4.1%2.2%1.2M-21.2M-186.2K2.8011.17N/AN/A7442,08499,09667,420
2010-01-14$9.45$8.7523.5%6.7%24.9%16.4%27.4%4.1%1.9%455.6K-17.4M-180.6K0.5914.03N/AN/A4,8162,82498,94867,460
2010-01-15$9.32$8.7527.1%7.8%24.4%24.3%25.7%3.4%1.7%305.3K-14.6M-182.9K0.7717.34N/AN/A2,5681,972100,82868,228
2010-01-19$9.47$8.7521.5%6.2%24.5%12.3%23.7%4.2%2.0%377.2K-9.0M-181.0K0.2520.26N/AN/A7,7841,95260,91651,228
2010-01-20$9.35$8.7525.0%7.2%25.0%19.8%25.1%3.3%2.4%394.4K-7.4M-182.4K1.4013.40N/AN/A60885265,02451,352
2010-01-21$9.21$8.7525.9%7.4%25.4%21.7%25.9%4.3%0.5%289.4K-4.7M-176.4K0.3128.95N/AN/A75623665,10051,952
2010-01-22$9.19$8.7526.7%7.7%25.3%23.4%26.7%1.0%0.5%250.4K-3.5M-174.8K0.3919.19N/AN/A2,15284465,50852,160
2010-01-25$9.25$8.7527.8%8.0%25.4%25.7%27.7%3.1%0.8%353.8K-5.3M-173.0K0.2615.85N/AN/A2,57268067,39652,668
2010-01-26$9.52$8.7523.0%6.6%27.2%15.4%23.7%2.4%1.6%639.0K-13.0M-185.9K0.0822.04N/AN/A3,72430467,99252,996
2010-01-27$9.60$8.7521.2%6.1%27.2%11.6%21.3%5.4%3.3%661.1K-13.8M-183.0K0.1424.24N/AN/A1,16016066,50453,156
2010-01-28$9.56$8.7522.5%6.5%27.3%14.4%24.5%1.3%1.7%628.0K-13.4M-183.7K0.4326.61N/AN/A2,3641,02466,98453,236
2010-01-29$9.50$8.7523.1%6.6%27.4%15.6%23.2%0.2%2.2%597.8K-12.5M-183.3K1.3133.26N/AN/A1,2241,60067,42052,868