TJX Options History — August 2010

In August 2010, TJX traded between $9.92 and $10.74. ATM implied volatility averaged 27.9%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.2% (HV 20d: 25.6%). Max pain ranged from $10.25 to $10.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2010-08-09: Highest Volume — 43,196 contracts
  • 2010-08-12: Largest IV drop — 12.4% change
  • 2010-08-11: Highest IV Rank — 75.9%
  • 2010-08-03: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.36$9.92$10.74$10.50$9.92
Max Pain$10.34$10.25$10.50$10.50$10.25
ATM IV27.9%25.1%32.4%28.7%27.0%
Expected Move7.8%7.2%8.7%8.2%7.7%
HV 20d25.6%23.1%30.9%29.8%23.1%
HV 60d27.6%25.3%29.6%29.6%25.5%
IV Rank59.5%49.4%75.9%62.5%56.3%
IV Percentile48.6%30.2%84.9%54.4%41.7%
Term Structure0.3%-2.7%2.3%-2.0%1.6%
VWIV27.4%24.8%30.9%28.5%26.5%
Skew 25d3.9%2.4%5.2%4.2%3.3%
Skew 10d8.6%-0.3%14.2%6.2%-0.3%
Call IV 25d25.9%23.3%29.3%26.7%26.5%
Put IV 25d29.8%27.2%32.7%30.9%29.8%
Bid-Ask Spread %20.7514.5026.6624.6124.37
Gamma HHI0.330.200.700.340.23
Net GEX1.3M391.7K4.5M807.4K486.8K
Net DEX-12.8M-22.8M-1.3M-13.0M-1.3M
Net VEX-166.3K-174.5K-153.8K-165.6K-153.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.027.570.130.54
Total Volume8,552.54546043,1966,9242,684
Total OI120,075.091108,012141,644109,816115,804

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$10.50$10.5028.7%8.2%29.8%62.5%28.5%4.2%-2.0%807.4K-13.0M-165.6K0.1324.61N/AN/A6,11680865,15244,664
2010-08-03$10.26$10.5030.2%8.7%30.9%68.0%29.4%3.4%-2.7%391.7K-6.3M-159.6K0.8526.12N/AN/A5,9085,04063,86845,212
2010-08-04$10.29$10.5029.3%8.4%29.2%64.8%29.2%3.8%-1.6%618.7K-8.1M-166.4K0.8524.62N/AN/A2,3201,97268,66447,360
2010-08-05$10.50$10.2528.4%8.2%25.4%61.5%28.7%3.6%-1.9%979.1K-14.7M-169.7K0.3824.78N/AN/A8,4043,22470,35246,892
2010-08-06$10.42$10.2527.9%7.5%25.5%59.6%26.7%4.6%-0.0%781.8K-11.5M-166.1K1.0115.91N/AN/A1,3161,33270,39247,916
2010-08-09$10.74$10.2529.3%7.5%27.7%64.6%27.1%4.6%-0.1%1.4M-22.8M-169.5K0.0217.70N/AN/A42,44475271,33647,280
2010-08-10$10.67$10.2529.6%7.5%27.0%65.7%25.7%4.7%0.1%1.4M-20.9M-167.8K0.7316.51N/AN/A2,0561,49271,10847,520
2010-08-11$10.45$10.2532.4%8.1%27.9%75.9%28.5%4.7%0.1%999.7K-13.7M-169.3K0.1915.57N/AN/A1,90035672,00048,120
2010-08-12$10.44$10.2528.4%8.1%27.7%61.3%29.2%5.2%0.1%912.1K-12.8M-167.1K0.0214.50N/AN/A3,8408870,78848,388
2010-08-13$10.22$10.2529.0%8.3%25.0%63.4%27.9%4.9%0.0%489.2K-6.1M-160.7K0.7516.34N/AN/A3,4882,60469,96848,408
2010-08-16$10.34$10.2530.0%8.6%25.3%67.2%28.5%4.9%-0.7%717.2K-9.6M-163.2K0.0818.30N/AN/A26,6162,20472,44450,052
2010-08-17$10.45$10.2527.0%7.7%24.9%56.1%27.0%4.5%-0.1%3.4M-20.5M-167.5K0.2017.95N/AN/A19,4603,82889,78051,456
2010-08-18$10.52$10.5026.0%7.5%24.9%52.7%26.1%4.6%0.9%2.7M-22.2M-169.8K0.1021.21N/AN/A8,84088885,56451,928
2010-08-19$10.48$10.5027.1%7.8%24.5%56.5%26.7%3.6%0.7%3.5M-20.2M-170.7K0.1121.63N/AN/A6,27266086,94452,496
2010-08-20$10.45$10.5026.2%7.5%23.8%53.3%30.9%3.8%0.7%4.5M-17.5M-171.1K7.5719.60N/AN/A5644,27289,28052,364
2010-08-23$10.36$10.5026.4%7.6%23.9%54.1%26.4%2.4%1.9%933.5K-13.9M-167.8K0.3520.50N/AN/A1,77662062,77645,236
2010-08-24$10.19$10.5026.5%7.6%23.9%54.6%26.5%2.7%1.5%776.6K-8.6M-165.9K0.5624.68N/AN/A4,6242,58063,54845,836
2010-08-25$10.27$10.2526.1%7.5%23.7%53.2%26.2%2.6%1.6%984.1K-12.1M-174.5K0.2925.76N/AN/A2,08860867,38047,920
2010-08-26$10.14$10.2525.6%7.4%23.4%51.3%26.0%3.0%2.3%809.9K-7.7M-168.1K0.8016.37N/AN/A89671667,08448,044
2010-08-27$10.28$10.2525.1%7.2%23.3%49.4%24.8%3.9%2.0%1.1M-12.1M-163.4K0.1322.76N/AN/A4085267,44047,712
2010-08-30$10.10$10.2527.2%7.8%23.7%57.0%26.0%3.0%2.1%804.3K-6.7M-160.9K0.4826.66N/AN/A1,38066067,44047,736
2010-08-31$9.92$10.2527.0%7.7%23.1%56.3%26.5%3.3%1.6%486.8K-1.3M-153.8K0.5424.37N/AN/A1,74893667,77248,032