TJX Options History — February 2010

In February 2010, TJX traded between $9.38 and $10.44. ATM implied volatility averaged 23.1%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.4% (HV 20d: 21.7%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2010-02-24: Highest Volume — 23,848 contracts
  • 2010-02-11: Largest IV spike — 34.4% change
  • 2010-02-09: Highest IV Rank — 23.3%
  • 2010-02-10: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.73$9.38$10.44$9.63$10.41
Max Pain$9.74$8.75$10.00$8.75$10.00
ATM IV23.1%18.7%26.7%24.4%21.1%
Expected Move6.9%5.4%7.7%7.0%6.0%
HV 20d21.7%18.7%27.4%27.4%21.9%
HV 60d22.1%21.4%23.6%21.4%23.6%
IV Rank16.1%6.2%23.3%18.5%13.9%
IV Percentile5.9%0.8%13.5%5.2%2.8%
Term Structure0.6%-1.8%2.9%0.4%1.6%
VWIV24.7%20.0%30.4%24.5%21.1%
Skew 25d5.7%-1.4%9.1%5.3%6.3%
Skew 10d11.0%4.0%19.0%8.3%15.2%
Call IV 25d22.5%14.4%26.0%24.5%14.4%
Put IV 25d28.3%19.5%32.3%29.7%20.7%
Bid-Ask Spread %18.168.5335.6216.6210.16
Gamma HHI0.550.500.670.500.55
Net GEX1.2M641.7K2.4M720.1K1.8M
Net DEX-18.8M-45.4M-6.0M-15.3M-44.2M
Net VEX-185.5K-215.3K-169.4K-182.9K-169.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.052.550.050.44
Total Volume9,009.05360823,84811,2443,560
Total OI134,194.737120,656156,592120,656132,868

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$9.63$8.7524.4%7.0%27.4%18.5%24.5%5.3%0.4%720.1K-15.3M-182.9K0.0516.62N/AN/A10,72452067,63653,020
2010-02-02$9.81$8.7522.6%6.5%27.2%14.7%22.6%7.0%2.9%1.0M-21.1M-187.4K0.158.53N/AN/A4,77672470,28053,404
2010-02-03$9.69$8.7524.4%7.0%26.5%18.4%24.5%5.9%2.2%950.7K-18.5M-190.5K0.1623.82N/AN/A15,3962,44872,35254,032
2010-02-04$9.54$8.7518.7%5.4%27.2%6.2%23.3%2.9%2.7%1.2M-15.4M-189.0K0.2235.62N/AN/A5,3401,18479,91254,860
2010-02-05$9.58$10.0021.5%7.4%20.4%12.2%25.9%9.1%2.0%1.1M-15.1M-192.9K0.1416.30N/AN/A78810880,11255,420
2010-02-08$9.45$10.0021.0%7.2%20.5%11.2%26.7%7.1%0.4%906.0K-11.9M-188.0K0.0926.59N/AN/A9,65691680,57255,468
2010-02-09$9.48$10.0026.7%7.6%20.5%23.3%26.7%5.6%-0.8%824.5K-9.6M-183.1K0.1710.48N/AN/A4,89280875,42855,788
2010-02-10$9.40$10.0019.2%7.7%20.4%7.2%26.8%5.6%-0.6%727.8K-8.1M-184.1K0.3214.02N/AN/A2,87692077,39656,364
2010-02-11$9.38$10.0025.8%7.4%20.4%21.4%26.8%4.6%-0.5%672.0K-6.9M-180.2K2.5523.28N/AN/A1,3723,50077,82056,336
2010-02-12$9.40$10.0025.1%7.2%20.0%20.0%30.4%5.1%0.6%641.7K-6.0M-184.7K0.1613.14N/AN/A3,36455278,08459,576
2010-02-16$9.62$10.0025.3%7.3%20.9%20.4%26.2%7.3%-0.3%1.0M-12.2M-182.6K0.6414.46N/AN/A2,8201,80077,22059,856
2010-02-17$9.70$10.0025.1%7.2%20.4%20.0%25.4%6.6%-0.6%1.2M-14.4M-180.9K0.3816.64N/AN/A2,24084077,87259,632
2010-02-18$9.77$10.0023.9%6.8%19.9%17.3%23.8%8.2%-0.1%1.3M-16.4M-183.1K0.3618.85N/AN/A44816077,62059,800
2010-02-19$9.79$10.0023.1%6.6%18.8%15.6%23.1%7.5%0.5%1.6M-16.9M-179.9K0.3818.54N/AN/A3,0561,14877,54459,840
2010-02-22$9.84$10.0024.3%7.0%18.7%18.2%24.3%6.7%-0.2%1.1M-19.0M-181.8K0.1520.99N/AN/A19,6642,86869,85255,920
2010-02-23$9.79$10.0026.1%7.5%18.9%22.0%26.3%5.9%-1.8%1.5M-21.3M-197.6K0.6422.88N/AN/A12,9608,23683,67657,048
2010-02-24$10.13$10.0020.0%5.7%19.8%10.8%20.0%3.0%1.7%2.4M-39.1M-215.3K0.3711.43N/AN/A17,4326,41692,90463,688
2010-02-25$10.44$10.0021.0%6.0%21.9%13.8%21.1%-1.4%1.5%1.8M-45.4M-171.8K0.2422.72N/AN/A13,4803,18077,89652,604
2010-02-26$10.41$10.0021.1%6.0%21.9%13.9%21.1%6.3%1.6%1.8M-44.2M-169.4K0.4410.16N/AN/A2,4801,08078,66854,200