TJX Options History — September 2010

In September 2010, TJX traded between $10.22 and $11.30. ATM implied volatility averaged 23.4%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 22.4%). Max pain ranged from $10.00 to $10.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2010-09-02: Highest Volume — 19,756 contracts
  • 2010-09-07: Largest IV spike — 13.7% change
  • 2010-09-10: Highest IV Rank — 52.5%
  • 2010-09-07: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.70$10.22$11.30$10.22$11.16
Max Pain$10.02$10.00$10.25$10.25$10.00
ATM IV23.4%21.5%26.0%25.4%22.1%
Expected Move6.8%6.2%7.6%7.3%6.3%
HV 20d22.4%17.2%25.6%25.6%17.2%
HV 60d25.7%24.6%26.4%26.0%24.6%
IV Rank43.3%36.2%52.5%50.6%38.2%
IV Percentile23.0%14.7%36.5%32.1%17.1%
Term Structure3.1%2.1%3.7%2.1%3.1%
VWIV24.2%20.6%28.3%25.7%22.7%
Skew 25d3.9%2.4%5.3%2.8%2.8%
Skew 10d9.2%5.3%12.3%5.3%7.8%
Call IV 25d22.2%18.6%24.9%24.5%21.5%
Put IV 25d26.1%23.3%29.6%27.3%24.2%
Bid-Ask Spread %19.6114.6828.1228.1221.06
Gamma HHI0.310.240.450.270.37
Net GEX1.5M708.2K3.8M1.1M1.2M
Net DEX-20.2M-34.9M-7.5M-10.1M-30.8M
Net VEX-167.6K-177.9K-158.9K-162.4K-165.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.179.720.432.49
Total Volume4,043.23878019,7563,3203,908
Total OI120,825.333106,572132,924117,136118,160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$10.22$10.2525.4%7.3%25.6%50.6%25.7%2.8%2.1%1.1M-10.1M-162.4K0.4328.12N/AN/A2,32899268,91648,220
2010-09-02$10.36$10.2524.2%6.9%25.0%46.0%23.4%3.0%2.8%1.5M-15.0M-167.6K0.6426.82N/AN/A12,0807,67670,15648,384
2010-09-03$10.47$10.0022.0%7.1%25.1%38.2%24.7%5.0%3.1%1.6M-17.2M-177.9K0.5417.49N/AN/A2,8841,56068,83651,568
2010-09-07$10.23$10.0025.1%7.6%23.7%49.2%24.5%4.7%2.5%966.2K-8.2M-169.5K0.2017.63N/AN/A5,0441,01666,86852,884
2010-09-08$10.31$10.0024.1%7.6%23.9%45.7%25.1%4.5%2.7%1.3M-10.7M-174.9K3.9115.81N/AN/A4121,61271,84453,592
2010-09-09$10.28$10.0025.8%7.4%22.8%52.1%26.6%4.7%3.2%1.2M-8.9M-176.2K9.7217.72N/AN/A2282,21672,05655,168
2010-09-10$10.28$10.0026.0%7.4%22.8%52.5%27.0%5.0%2.7%1.0M-7.5M-174.4K6.0119.34N/AN/A2801,68471,93256,780
2010-09-13$10.31$10.0025.7%7.4%21.6%51.7%25.8%4.1%2.7%1.2M-8.7M-169.1K0.8917.27N/AN/A41236871,92057,184
2010-09-14$10.55$10.0024.5%7.0%22.8%47.2%24.2%3.5%3.3%2.2M-19.6M-171.8K0.5126.65N/AN/A3,8601,97672,09257,448
2010-09-15$10.63$10.0023.6%6.8%22.7%43.8%23.9%4.6%3.7%2.6M-22.5M-170.9K7.3822.67N/AN/A1601,18072,90858,864
2010-09-16$10.70$10.0023.4%6.7%22.7%43.0%23.2%3.9%3.5%3.4M-25.9M-169.8K0.7121.66N/AN/A1,7401,23272,93659,628
2010-09-17$10.70$10.0022.7%6.5%22.6%40.6%23.8%3.7%3.5%3.8M-26.2M-167.3K0.2420.57N/AN/A70417273,08859,836
2010-09-20$10.79$10.0022.3%6.4%22.7%39.1%23.7%3.7%3.4%736.6K-17.6M-158.9K2.2117.60N/AN/A1,2002,65256,77249,800
2010-09-21$10.73$10.0022.0%6.3%22.5%38.0%28.3%3.1%3.7%708.2K-16.4M-161.2K5.6520.46N/AN/A2481,40057,53251,672
2010-09-22$10.88$10.0021.9%6.3%21.7%37.6%22.6%2.4%3.2%828.4K-20.0M-161.6K0.4619.83N/AN/A4,5242,06457,61652,800
2010-09-23$11.04$10.0022.6%6.5%22.0%40.1%20.6%3.2%3.0%1.1M-26.2M-164.2K0.1716.78N/AN/A7,2721,22060,66453,016
2010-09-24$11.26$10.0021.5%6.2%21.9%36.2%21.5%4.5%3.7%1.1M-33.1M-165.1K0.3316.24N/AN/A1,69656862,14453,552
2010-09-27$11.21$10.0022.6%6.5%21.9%40.1%22.4%4.2%2.7%1.2M-32.1M-163.7K0.6214.68N/AN/A1,24477662,47653,592
2010-09-28$11.30$10.0022.4%6.4%20.3%39.4%26.3%5.3%3.1%1.2M-34.9M-161.9K0.9716.91N/AN/A1,1801,14463,03254,044
2010-09-29$11.24$10.0022.6%6.5%18.9%40.1%22.8%4.4%2.9%1.2M-32.5M-165.2K1.6416.42N/AN/A7561,24063,04454,308
2010-09-30$11.16$10.0022.1%6.3%17.2%38.2%22.7%2.8%3.1%1.2M-30.8M-165.8K2.4921.06N/AN/A1,1202,78863,34454,816