TJX Options History — June 2010

In June 2010, TJX traded between $10.49 and $11.65. ATM implied volatility averaged 29.3%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.0% (HV 20d: 30.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.25.

Notable Days

  • 2010-06-02: Highest Volume — 14,748 contracts
  • 2010-06-29: Largest IV spike — 33.7% change
  • 2010-06-29: Highest IV Rank — 71.0%
  • 2010-06-29: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.23$10.49$11.65$11.32$10.49
Max Pain$10.45$10.00$11.25$11.25$10.00
ATM IV29.3%25.0%34.9%33.6%34.2%
Expected Move8.4%7.2%10.0%9.6%9.8%
HV 20d30.3%24.6%36.8%36.8%24.9%
HV 60d27.7%25.7%28.6%25.7%28.1%
IV Rank53.9%40.8%71.0%67.1%68.8%
IV Percentile50.4%27.0%87.3%75.8%85.7%
Term Structure0.9%-0.9%2.4%-0.9%0.8%
VWIV29.5%24.6%36.4%33.6%32.2%
Skew 25d6.9%1.4%10.8%7.5%3.5%
Skew 10d12.8%-0.2%20.5%12.6%1.2%
Call IV 25d26.0%18.4%31.4%31.4%30.8%
Put IV 25d32.9%28.1%39.0%39.0%34.2%
Bid-Ask Spread %16.449.1636.5225.7414.62
Gamma HHI0.480.360.670.490.67
Net GEX762.2K-175.4K1.2M272.3K833.9K
Net DEX-24.6M-37.8M-7.6M-21.6M-10.4M
Net VEX-180.5K-204.3K-163.0K-204.3K-170.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0612.320.612.77
Total Volume3,322.72749214,748972648
Total OI121,600.909108,836129,756120,872127,132

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$11.32$11.2533.6%9.6%36.8%67.1%33.6%7.5%-0.9%272.3K-21.6M-204.3K0.6125.74N/AN/A60436866,59654,276
2010-06-02$11.53$11.2531.3%9.0%35.8%59.8%31.2%6.9%-0.5%360.3K-27.7M-198.8K8.1736.52N/AN/A1,60813,14066,73254,384
2010-06-03$11.57$11.2529.2%8.4%35.4%53.6%29.2%1.4%0.6%-175.4K-27.6M-199.6K0.4425.21N/AN/A5,9042,60466,92462,832
2010-06-04$11.12$10.0031.1%9.1%35.8%59.5%30.2%7.4%-0.3%571.4K-19.5M-197.3K0.2917.49N/AN/A1,50844471,76449,692
2010-06-07$10.99$10.0032.9%9.3%35.2%64.8%36.2%7.0%-0.8%541.5K-16.2M-188.3K0.3916.71N/AN/A47618472,48449,800
2010-06-08$11.19$10.0031.2%8.9%31.5%59.6%34.3%7.1%-0.2%618.2K-21.2M-190.4K1.9515.38N/AN/A40879672,62849,752
2010-06-09$11.26$10.0031.5%9.0%31.5%60.6%36.4%7.5%0.6%647.8K-23.4M-187.3K0.5720.42N/AN/A1,56889672,70450,000
2010-06-10$11.55$10.0030.3%8.7%32.4%56.8%30.2%7.7%0.4%856.0K-33.6M-188.6K0.939.16N/AN/A30428473,57250,792
2010-06-11$11.51$10.0029.5%8.5%31.2%54.5%27.7%7.2%1.0%768.2K-32.2M-186.6K1.8611.77N/AN/A17232073,52851,072
2010-06-14$11.52$10.0029.8%8.6%31.1%55.5%28.3%7.5%0.2%762.9K-32.8M-181.2K6.7912.21N/AN/A3682,50073,50851,308
2010-06-15$11.65$10.0028.2%8.1%31.4%50.6%26.7%7.2%0.9%986.6K-37.8M-181.8K0.0615.23N/AN/A7804474,70053,616
2010-06-16$11.57$10.0027.0%7.7%28.4%46.8%26.9%5.5%1.9%1.1M-37.8M-174.8K0.4117.20N/AN/A2,5241,02474,80853,616
2010-06-17$11.47$10.0026.5%7.6%28.3%45.4%26.3%5.9%1.4%721.3K-32.9M-176.4K0.3721.42N/AN/A83230474,93653,216
2010-06-18$11.49$10.0025.0%7.2%28.3%40.8%24.6%4.4%2.2%1.1M-36.2M-169.5K0.1515.54N/AN/A99614875,37653,108
2010-06-21$11.27$10.0025.0%7.2%29.1%40.8%25.0%10.8%2.3%1.2M-26.1M-166.4K0.6416.92N/AN/A2,7441,76067,30441,532
2010-06-22$11.12$10.0026.7%7.6%29.5%45.9%25.0%9.6%1.7%1.1M-23.1M-169.6K0.469.33N/AN/A4,5442,07267,95242,592
2010-06-23$11.18$11.2526.6%7.6%27.3%45.6%26.6%9.7%1.7%1.1M-23.4M-172.0K0.2213.45N/AN/A3,09667270,15243,520
2010-06-24$11.04$11.2527.4%7.8%26.8%48.0%27.6%10.0%1.8%1.1M-20.9M-170.0K2.2410.30N/AN/A19644071,93643,416
2010-06-25$10.79$11.2526.4%7.6%24.8%45.0%27.3%6.6%2.3%916.3K-15.0M-166.8K12.3212.05N/AN/A2122,61271,94043,832
2010-06-28$10.80$11.2526.1%7.5%24.6%44.2%28.9%6.4%2.4%912.2K-14.2M-166.2K7.8412.14N/AN/A3082,41671,92845,540
2010-06-29$10.51$11.2534.9%10.0%26.2%71.0%34.1%5.5%0.1%591.4K-7.6M-163.0K0.1012.93N/AN/A9,34492872,03646,684
2010-06-30$10.49$10.0034.2%9.8%24.9%68.8%32.2%3.5%0.8%833.9K-10.4M-170.8K2.7714.62N/AN/A17247681,12046,012