TJX Options History — July 2010

In July 2010, TJX traded between $10.23 and $10.88. ATM implied volatility averaged 27.9%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.6% (HV 20d: 28.6%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-07-08: Highest Volume — 9,504 contracts
  • 2010-07-13: Largest IV drop — 31.5% change
  • 2010-07-06: Highest IV Rank — 74.5%
  • 2010-07-06: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.54$10.23$10.88$10.73$10.38
Max Pain$10.05$10.00$10.50$10.00$10.50
ATM IV27.9%18.9%36.1%27.8%28.1%
Expected Move8.4%7.3%9.9%8.0%8.1%
HV 20d28.6%23.0%31.6%26.6%29.7%
HV 60d30.3%28.5%31.2%28.5%30.4%
IV Rank55.9%22.3%74.5%49.4%60.3%
IV Percentile47.3%6.7%88.9%42.5%50.0%
Term Structure-0.4%-2.4%1.6%0.4%-1.2%
VWIV28.8%24.1%32.4%32.4%30.3%
Skew 25d6.2%3.4%8.7%4.7%4.8%
Skew 10d13.2%1.8%20.1%8.6%10.1%
Call IV 25d26.2%23.3%28.8%28.2%26.6%
Put IV 25d32.4%29.0%36.5%32.8%31.4%
Bid-Ask Spread %18.5611.6127.9216.9927.31
Gamma HHI0.650.370.800.710.37
Net GEX915.1K380.4K1.7M1.1M767.4K
Net DEX-13.0M-21.9M-6.0M-15.8M-10.9M
Net VEX-166.9K-180.1K-152.8K-177.2K-156.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.118.090.116.19
Total Volume3,312.3814489,5047,5646,644
Total OI119,397.14392,280144,692126,836105,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$10.73$10.0027.8%8.0%26.6%49.4%32.4%4.7%0.4%1.1M-15.8M-177.2K0.1116.99N/AN/A6,82873681,14045,696
2010-07-02$10.59$10.0032.6%9.3%23.2%63.9%28.1%3.4%1.1%1.2M-14.5M-180.1K0.4912.50N/AN/A1,37666886,69644,920
2010-07-06$10.61$10.0036.1%9.9%23.0%74.5%28.9%8.7%-2.4%1.2M-14.4M-171.7K0.3023.60N/AN/A2,02860087,83645,524
2010-07-07$10.88$10.0027.1%7.8%24.0%47.1%31.9%6.3%0.7%1.7M-21.9M-178.4K0.3224.48N/AN/A2,11668488,44445,892
2010-07-08$10.38$10.0030.8%9.4%28.6%58.4%30.5%7.6%-1.5%806.0K-8.5M-162.6K0.7211.61N/AN/A5,5163,98889,51246,352
2010-07-09$10.43$10.0024.7%9.2%26.5%40.0%26.9%8.0%-0.8%889.3K-9.6M-170.8K0.4614.23N/AN/A2,14498492,86048,612
2010-07-12$10.50$10.0027.6%9.2%26.9%48.7%31.5%6.9%-1.3%930.3K-11.0M-170.5K1.5213.60N/AN/A38057694,01249,208
2010-07-13$10.69$10.0018.9%7.6%28.0%22.3%28.0%7.2%1.3%952.9K-15.4M-171.7K0.7116.45N/AN/A1,09277294,02449,468
2010-07-14$10.62$10.0023.5%9.3%27.5%43.6%31.0%7.3%-1.7%825.6K-13.6M-169.0K0.1916.58N/AN/A80415294,34049,932
2010-07-15$10.72$10.0025.7%7.4%27.9%51.6%27.5%7.3%1.0%934.5K-15.7M-171.6K1.6416.81N/AN/A28046094,62450,068
2010-07-16$10.31$10.0031.9%9.1%30.5%74.2%30.5%7.3%-1.0%606.9K-8.7M-162.7K0.5516.63N/AN/A94051694,58049,996
2010-07-19$10.35$10.0030.0%8.6%30.6%67.4%29.8%6.3%-0.6%617.3K-8.7M-156.7K0.1316.61N/AN/A5,65272856,53635,744
2010-07-20$10.51$10.0030.3%8.7%31.0%68.2%27.5%6.9%-1.3%860.0K-13.6M-168.6K1.2827.92N/AN/A46058860,42036,060
2010-07-21$10.43$10.0028.0%8.0%30.8%59.9%27.8%5.4%1.3%767.8K-12.0M-163.9K0.2214.83N/AN/A3688060,40436,116
2010-07-22$10.56$10.0027.2%7.8%31.2%56.9%30.5%5.7%1.6%913.8K-14.5M-164.1K8.0919.58N/AN/A2562,07260,28036,184
2010-07-23$10.72$10.0025.5%7.3%31.6%50.9%25.4%5.7%0.1%1.1M-17.1M-168.6K0.1717.85N/AN/A1,31622860,36438,052
2010-07-26$10.74$10.0026.4%7.6%30.5%54.1%24.1%5.8%-0.3%1.1M-17.8M-165.5K0.2220.87N/AN/A1,34429661,36838,188
2010-07-27$10.56$10.0027.5%7.9%31.1%58.1%26.7%4.3%-0.8%891.3K-14.3M-163.6K0.4316.92N/AN/A2,7401,18061,28038,412
2010-07-28$10.41$10.0028.2%8.1%29.9%60.6%27.3%5.6%-1.3%607.3K-10.1M-158.3K0.1717.66N/AN/A3,87264059,85239,560
2010-07-29$10.23$10.5029.1%8.4%30.5%64.1%28.9%4.9%-1.4%380.4K-6.0M-152.8K0.2626.70N/AN/A5,9161,54059,24840,160
2010-07-30$10.38$10.5028.1%8.1%29.7%60.3%30.3%4.8%-1.2%767.4K-10.9M-156.6K6.1927.31N/AN/A9245,72064,44440,932