TJX Options History — March 2010

In March 2010, TJX traded between $10.26 and $10.90. ATM implied volatility averaged 19.3%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.7% (HV 20d: 17.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.62.

Notable Days

2010-03-02: Highest Volume — 11,320 contracts
2010-03-11: Largest IV spike — 94.1% change
2010-03-12: Highest IV Rank — 28.2%
2010-03-10: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.62	$10.26	$10.90	$10.42	$10.63
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	19.3%	11.6%	22.7%	22.5%	17.3%
Expected Move	5.8%	5.0%	6.6%	6.4%	5.0%
HV 20d	17.6%	10.8%	22.4%	21.6%	12.6%
HV 60d	21.7%	21.0%	23.8%	23.6%	21.1%
IV Rank	16.5%	0.0%	28.2%	17.6%	14.6%
IV Percentile	3.4%	0.0%	9.5%	4.8%	1.2%
Term Structure	1.9%	-1.7%	3.3%	0.7%	-1.7%
VWIV	20.8%	17.3%	22.7%	22.4%	20.3%
Skew 25d	3.9%	-0.0%	6.7%	-0.0%	0.9%
Skew 10d	8.4%	0.5%	18.9%	0.5%	2.3%
Call IV 25d	18.9%	15.8%	22.8%	22.8%	21.1%
Put IV 25d	22.8%	21.4%	24.2%	22.8%	22.0%
Bid-Ask Spread %	14.01	7.46	22.91	19.08	12.71
Gamma HHI	0.47	0.42	0.53	0.53	0.44
Net GEX	1.4M	1.3M	1.7M	1.6M	1.3M
Net DEX	-45.3M	-56.8M	-35.0M	-42.6M	-39.0M
Net VEX	-161.6K	-182.7K	-148.3K	-162.2K	-153.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.02	2.56	0.05	0.50
Total Volume	3,598.261	328	11,320	10,492	664
Total OI	132,904.174	122,788	142,428	131,216	125,928

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-03-01	$10.42	$10.00	22.5%	6.4%	21.6%	17.6%	22.4%	-0.0%	0.7%	1.6M	-42.6M	-162.2K	0.05	19.08	N/A	N/A	9,972	520	76,120	55,096
2010-03-02	$10.27	$10.00	21.9%	6.3%	22.4%	16.1%	21.8%	5.2%	1.6%	1.6M	-36.9M	-175.2K	0.66	15.80	N/A	N/A	6,800	4,520	78,000	55,092
2010-03-03	$10.29	$10.00	22.5%	6.4%	21.6%	17.6%	22.5%	6.7%	0.3%	1.6M	-36.1M	-182.7K	0.41	12.68	N/A	N/A	3,712	1,512	78,496	56,216
2010-03-04	$10.26	$10.00	20.5%	5.9%	21.0%	12.4%	20.5%	6.0%	1.9%	1.7M	-35.0M	-178.9K	2.03	13.01	N/A	N/A	2,192	4,456	78,228	56,848
2010-03-05	$10.38	$10.00	21.5%	6.5%	20.0%	15.0%	22.4%	5.1%	1.3%	1.6M	-39.4M	-175.3K	0.45	19.66	N/A	N/A	1,748	780	78,036	57,220
2010-03-08	$10.38	$10.00	21.4%	6.4%	20.1%	14.7%	22.1%	4.3%	1.5%	1.7M	-40.7M	-169.4K	1.15	18.39	N/A	N/A	912	1,048	78,480	57,148
2010-03-09	$10.41	$10.00	16.2%	6.5%	19.0%	1.2%	22.6%	4.1%	1.2%	1.6M	-41.9M	-169.0K	0.61	22.91	N/A	N/A	1,048	640	78,612	57,020
2010-03-10	$10.47	$10.00	11.6%	6.6%	18.9%	0.0%	22.6%	3.8%	1.2%	1.3M	-45.0M	-162.0K	0.11	14.57	N/A	N/A	2,944	312	79,032	57,556
2010-03-11	$10.44	$10.00	22.5%	6.4%	18.5%	26.2%	22.4%	3.0%	1.8%	1.4M	-45.3M	-168.6K	0.39	12.29	N/A	N/A	2,852	1,100	80,604	57,384
2010-03-12	$10.53	$10.00	22.7%	6.5%	18.4%	28.2%	22.7%	2.4%	1.8%	1.3M	-47.9M	-169.1K	2.56	11.77	N/A	N/A	1,736	4,448	80,760	57,864
2010-03-15	$10.72	$10.00	19.1%	5.5%	18.7%	19.1%	21.1%	4.0%	2.4%	1.3M	-53.6M	-160.9K	0.02	7.46	N/A	N/A	2,824	68	81,072	59,292
2010-03-16	$10.81	$10.00	18.6%	5.3%	17.7%	17.9%	17.3%	4.5%	3.0%	1.4M	-56.8M	-157.4K	0.18	8.07	N/A	N/A	3,196	572	82,528	59,276
2010-03-17	$10.78	$10.00	18.7%	5.4%	18.0%	18.0%	20.1%	3.7%	2.8%	1.3M	-56.4M	-158.3K	0.26	13.07	N/A	N/A	1,980	508	83,252	59,176
2010-03-18	$10.79	$10.00	18.7%	5.4%	18.0%	18.1%	20.6%	4.1%	2.8%	1.3M	-56.0M	-157.2K	0.24	12.19	N/A	N/A	1,156	276	82,248	59,328
2010-03-19	$10.74	$10.00	18.4%	5.3%	18.2%	17.5%	17.9%	4.5%	2.9%	1.6M	-54.1M	-155.9K	0.28	14.28	N/A	N/A	924	260	82,252	59,400
2010-03-22	$10.90	$10.00	18.2%	5.2%	18.6%	16.9%	19.7%	5.2%	3.1%	1.3M	-46.8M	-148.3K	0.85	10.68	N/A	N/A	2,456	2,096	68,856	53,932
2010-03-23	$10.88	$10.00	17.9%	5.1%	18.4%	16.2%	18.7%	5.0%	3.0%	1.3M	-45.6M	-150.6K	0.57	11.46	N/A	N/A	1,540	880	69,144	53,932
2010-03-24	$10.81	$10.00	18.9%	5.4%	15.6%	18.6%	21.9%	2.3%	2.4%	1.3M	-43.6M	-155.8K	1.20	18.48	N/A	N/A	1,672	2,012	69,976	53,936
2010-03-25	$10.88	$10.00	18.7%	5.4%	12.1%	18.1%	20.6%	3.0%	2.9%	1.3M	-45.8M	-155.5K	1.19	8.69	N/A	N/A	560	668	70,660	54,572
2010-03-26	$10.83	$10.00	18.2%	5.2%	12.2%	16.8%	19.2%	4.3%	3.3%	1.3M	-44.3M	-150.4K	0.35	16.88	N/A	N/A	1,952	680	69,936	53,700
2010-03-29	$10.82	$10.00	19.5%	5.6%	12.3%	20.2%	19.6%	4.1%	1.8%	1.3M	-44.2M	-150.2K	0.19	20.41	N/A	N/A	1,884	352	70,644	54,052
2010-03-30	$10.80	$10.00	19.1%	5.5%	10.8%	19.2%	18.7%	3.8%	2.5%	1.3M	-44.1M	-151.2K	0.12	7.64	N/A	N/A	292	36	71,548	54,344
2010-03-31	$10.63	$10.00	17.3%	5.0%	12.6%	14.6%	20.3%	0.9%	-1.7%	1.3M	-39.0M	-153.4K	0.50	12.71	N/A	N/A	444	220	71,548	54,380