TJX Options History — April 2010

In April 2010, TJX traded between $10.68 and $12.00. ATM implied volatility averaged 22.7%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.3% (HV 20d: 18.4%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2010-04-07: Highest Volume — 19,988 contracts
  • 2010-04-15: Largest IV spike — 67.3% change
  • 2010-04-30: Highest IV Rank — 41.6%
  • 2010-04-30: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.49$10.68$12.00$10.68$11.59
Max Pain$11.19$10.00$11.25$10.00$11.25
ATM IV22.7%14.4%28.0%15.3%28.0%
Expected Move6.9%4.4%8.0%4.4%8.0%
HV 20d18.4%12.5%21.7%12.5%21.7%
HV 60d18.9%18.0%21.7%20.5%18.6%
IV Rank28.3%7.3%41.6%9.5%41.6%
IV Percentile18.9%0.4%40.5%0.4%40.5%
Term Structure-0.8%-1.9%10.0%10.0%-1.8%
VWIV23.6%11.1%27.6%11.1%27.6%
Skew 25d3.3%-2.0%12.7%12.7%-2.0%
Skew 10d5.8%-4.7%14.6%10.9%-4.7%
Call IV 25d22.8%10.6%27.5%10.6%27.5%
Put IV 25d26.0%23.3%27.2%23.3%25.5%
Bid-Ask Spread %17.009.1326.7317.0016.45
Gamma HHI0.530.410.810.450.41
Net GEX1.9M1.3M3.1M1.3M1.4M
Net DEX-51.5M-74.0M-34.1M-40.0M-37.6M
Net VEX-173.1K-199.3K-142.4K-152.5K-195.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.041.220.110.50
Total Volume6,392.38154019,9881,7481,360
Total OI126,094.667100,828158,140126,096112,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$10.68$10.0015.3%4.4%12.5%9.5%11.1%12.7%10.0%1.3M-40.0M-152.5K0.1117.00N/AN/A1,57217671,60454,492
2010-04-05$11.09$11.2519.2%6.3%17.6%19.4%21.8%3.9%-0.4%1.6M-51.1M-142.4K0.369.13N/AN/A2,78899671,84854,552
2010-04-06$11.18$11.2523.4%6.8%17.6%30.2%25.3%2.7%-1.5%1.5M-52.7M-143.8K0.3913.89N/AN/A8,4443,32071,93654,844
2010-04-07$11.15$11.2523.9%7.2%17.7%31.2%24.5%2.9%-1.9%2.1M-54.2M-150.9K0.2116.27N/AN/A16,5763,41277,80856,116
2010-04-08$11.21$11.2520.3%6.9%17.7%22.1%24.8%3.1%-1.2%2.5M-55.8M-149.9K0.6917.92N/AN/A4,5603,12477,80856,116
2010-04-09$11.21$11.2519.1%6.7%17.6%19.2%23.3%2.9%-1.1%3.0M-57.2M-164.8K0.0818.02N/AN/A13,1161,01290,59258,016
2010-04-12$11.40$11.2521.4%6.9%18.2%25.0%23.9%3.1%-0.9%3.1M-64.5M-163.4K0.0414.06N/AN/A17,15261291,13657,964
2010-04-13$11.54$11.2520.9%7.1%17.8%23.6%24.2%3.6%-1.9%2.9M-72.7M-177.4K0.3118.43N/AN/A2,46877699,88458,256
2010-04-14$11.59$11.2514.4%6.9%17.7%7.3%24.1%3.6%-1.4%1.9M-74.0M-172.1K0.1323.26N/AN/A6,40484498,73658,532
2010-04-15$11.56$11.2524.1%6.9%17.6%32.0%21.6%4.0%-1.8%2.0M-69.6M-170.8K0.0716.27N/AN/A5,15236895,36058,176
2010-04-16$11.42$11.2524.0%6.9%18.5%31.5%23.6%4.6%-1.4%2.6M-66.6M-169.7K0.5818.67N/AN/A4,8002,80096,28458,432
2010-04-19$11.37$11.2523.8%6.8%18.5%31.1%23.8%4.5%-1.2%1.5M-34.1M-173.4K1.2226.73N/AN/A1,4121,71670,61230,216
2010-04-20$11.50$11.2524.0%6.9%18.2%31.5%22.2%4.0%-1.2%1.5M-36.3M-175.4K0.6422.81N/AN/A1,34486070,90031,580
2010-04-21$11.71$11.2524.5%7.0%19.0%32.9%23.2%2.8%-1.6%1.7M-42.5M-178.6K0.6522.50N/AN/A3,4922,27271,76032,116
2010-04-22$11.92$11.2522.7%6.5%19.2%28.2%23.2%2.5%-0.7%1.8M-48.5M-187.9K0.6423.39N/AN/A3,5642,29673,64834,252
2010-04-23$12.00$11.2522.3%6.4%19.2%27.2%22.6%4.3%-1.0%1.8M-49.5M-187.9K0.2914.21N/AN/A1,72050473,77635,488
2010-04-26$11.97$11.2523.9%6.9%19.1%31.4%23.5%3.6%-1.1%1.8M-49.0M-191.7K0.0911.18N/AN/A7,36467674,66835,864
2010-04-27$11.75$11.2527.3%7.8%20.8%40.0%26.5%1.0%-1.7%1.5M-42.3M-192.0K0.9313.83N/AN/A1,2521,16873,19236,108
2010-04-28$11.68$11.2527.4%7.8%21.0%40.2%27.4%-0.5%-1.6%1.5M-40.0M-195.6K0.6111.84N/AN/A1,38884074,04437,020
2010-04-29$11.82$11.2527.2%7.8%19.8%39.6%27.3%1.2%-1.9%1.6M-43.5M-199.3K0.4411.24N/AN/A37616474,50437,528
2010-04-30$11.59$11.2528.0%8.0%21.7%41.6%27.6%-2.0%-1.8%1.4M-37.6M-195.9K0.5016.45N/AN/A90845274,69637,524