TJX Options History — May 2010

In May 2010, TJX traded between $10.80 and $11.79. ATM implied volatility averaged 33.0%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.6% (HV 20d: 31.4%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2010-05-10: Highest Volume — 21,200 contracts
  • 2010-05-20: Largest IV spike — 14.2% change
  • 2010-05-20: Highest IV Rank — 73.6%
  • 2010-05-06: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.26$10.80$11.79$11.79$11.37
Max Pain$11.31$11.25$12.50$11.25$11.25
ATM IV33.0%29.9%39.0%29.9%30.4%
Expected Move9.2%8.6%10.9%8.6%8.7%
HV 20d31.4%18.5%37.9%18.5%37.4%
HV 60d23.4%18.4%25.8%18.4%25.8%
IV Rank59.9%46.6%73.6%46.6%57.3%
IV Percentile69.4%52.0%97.2%52.0%56.3%
Term Structure-1.3%-7.3%1.0%-3.2%0.4%
VWIV31.9%27.4%36.6%29.2%31.6%
Skew 25d7.0%-1.2%16.4%2.5%7.8%
Skew 10d13.5%-4.1%32.1%0.8%13.3%
Call IV 25d28.5%24.3%33.5%27.4%27.7%
Put IV 25d35.6%29.0%41.2%29.9%35.4%
Bid-Ask Spread %24.9312.0767.6412.0724.41
Gamma HHI0.370.250.540.440.54
Net GEX801.7K251.8K1.6M1.6M317.1K
Net DEX-24.7M-42.7M-8.4M-42.7M-23.2M
Net VEX-201.2K-209.9K-192.4K-192.4K-208.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0211.772.180.87
Total Volume6,599.41,14421,2001,1441,192
Total OI120,735.2110,584138,372113,072120,992

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$11.79$11.2529.9%8.6%18.5%46.6%29.2%2.5%-3.2%1.6M-42.7M-192.4K2.1812.07N/AN/A36078475,33637,736
2010-05-04$11.42$11.2531.8%9.1%22.1%51.3%31.7%2.9%-3.1%1.2M-32.8M-201.2K0.9125.44N/AN/A2,7722,52475,40038,036
2010-05-05$11.58$11.2533.6%9.6%22.6%56.1%33.2%-1.2%-3.7%1.3M-36.6M-203.2K1.1715.16N/AN/A2,0242,36076,78439,472
2010-05-06$11.16$11.2538.1%10.9%26.4%67.4%36.2%1.0%-7.3%929.9K-26.2M-209.9K3.5967.64N/AN/A2,0967,52077,05640,300
2010-05-07$10.92$12.5039.0%9.3%27.5%69.7%31.2%6.3%-0.7%752.8K-19.8M-204.1K0.3721.57N/AN/A1,04838877,08040,496
2010-05-10$11.44$11.2536.5%8.9%31.8%63.3%31.5%5.3%-1.0%1.1M-32.1M-203.7K0.0217.66N/AN/A20,70449677,74040,412
2010-05-11$11.44$11.2534.3%8.8%31.5%57.7%27.4%6.7%-1.3%1.1M-31.2M-201.4K0.7223.63N/AN/A3,7722,72876,70440,780
2010-05-12$11.63$11.2534.1%8.8%32.1%57.2%30.6%6.4%-1.5%1.3M-35.9M-192.7K2.8512.13N/AN/A1,6164,60076,74439,300
2010-05-13$11.34$11.2530.4%8.7%33.3%47.8%30.2%5.4%-1.0%892.3K-27.3M-194.4K1.3717.30N/AN/A2,1202,90477,08442,464
2010-05-14$11.31$11.2531.6%9.0%33.0%58.3%31.6%7.0%-0.9%785.1K-25.7M-200.6K2.5813.46N/AN/A2,1565,56878,50044,792
2010-05-17$11.31$11.2532.0%9.2%33.0%59.7%31.9%6.4%-0.8%560.4K-23.6M-201.5K0.4038.39N/AN/A6,0562,40079,31649,920
2010-05-18$10.92$11.2531.1%8.9%34.9%59.5%31.2%12.5%-0.8%537.4K-13.2M-203.2K0.7525.45N/AN/A8,2006,14483,61250,068
2010-05-19$10.80$11.2531.3%9.0%34.1%60.1%32.1%6.0%-0.4%331.5K-8.4M-194.7K10.6129.26N/AN/A2883,05680,83251,448
2010-05-20$10.86$11.2535.8%10.3%33.4%73.6%36.1%7.7%-1.3%251.8K-9.5M-202.2K0.2730.13N/AN/A7,8522,10880,84453,564
2010-05-21$10.99$11.2533.5%9.6%33.7%66.6%36.6%16.4%-0.4%848.2K-15.0M-203.1K0.8417.06N/AN/A1,4241,20086,96051,412
2010-05-24$10.99$11.2532.5%9.3%33.7%63.5%32.3%15.1%-0.2%543.2K-17.1M-197.1K0.0519.17N/AN/A1,7169264,50846,076
2010-05-25$11.34$11.2531.7%9.1%35.5%61.1%32.4%10.0%1.0%653.9K-25.8M-204.1K0.2531.64N/AN/A6,3801,58865,34846,088
2010-05-26$11.13$11.2533.0%9.5%36.0%65.1%33.2%7.3%-1.1%616.5K-20.9M-200.4K11.7728.10N/AN/A7969,37265,66846,560
2010-05-27$11.50$11.2530.3%8.7%37.9%57.0%28.7%9.5%0.3%366.2K-26.9M-206.0K1.0029.00N/AN/A1,7881,79665,46053,812
2010-05-28$11.37$11.2530.4%8.7%37.4%57.3%31.6%7.8%0.4%317.1K-23.2M-208.7K0.8724.41N/AN/A63655666,76054,232