TJX Options History — October 2010

In October 2010, TJX traded between $11.04 and $11.61. ATM implied volatility averaged 24.1%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 10.1% (HV 20d: 14.0%). Max pain ranged from $10.25 to $11.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2010-10-07: Highest Volume — 19,740 contracts
  • 2010-10-14: Largest IV spike — 19.6% change
  • 2010-10-29: Highest IV Rank — 52.7%
  • 2010-10-06: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.26$11.04$11.61$11.13$11.47
Max Pain$10.90$10.25$11.00$10.25$11.00
ATM IV24.1%20.2%26.0%21.9%26.0%
Expected Move7.3%6.3%7.6%6.3%7.5%
HV 20d14.0%11.5%17.0%17.0%13.4%
HV 60d20.8%19.0%22.6%22.6%19.0%
IV Rank45.5%31.5%52.7%37.6%52.7%
IV Percentile32.9%9.9%49.6%15.5%49.6%
Term Structure-0.2%-1.9%3.3%3.3%-1.2%
VWIV27.0%24.2%30.2%25.6%28.5%
Skew 25d4.8%3.2%5.5%3.2%4.0%
Skew 10d9.3%7.0%10.9%7.0%8.5%
Call IV 25d23.7%20.9%24.6%20.9%24.6%
Put IV 25d28.4%24.1%29.8%24.1%28.6%
Bid-Ask Spread %17.7111.9224.8816.6724.09
Gamma HHI0.280.110.810.380.14
Net GEX789.0K-564.4K5.3M1.3M805.7K
Net DEX-26.3M-38.1M-13.9M-29.8M-34.2M
Net VEX-182.9K-205.7K-167.5K-167.5K-201.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.088.080.880.31
Total Volume7,073.1431,02819,7402,4726,160
Total OI129,261.714101,144147,312119,788141,596

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$11.13$10.2521.9%6.3%17.0%37.6%25.6%3.2%3.3%1.3M-29.8M-167.5K0.8816.67N/AN/A1,3161,15663,62856,160
2010-10-04$11.14$11.0022.9%7.5%16.9%41.3%26.4%5.0%0.4%1.3M-30.0M-168.0K1.1512.92N/AN/A1,1641,34464,37656,876
2010-10-05$11.18$11.0024.2%7.4%13.8%46.1%27.6%5.5%0.1%1.3M-31.0M-169.7K2.6114.56N/AN/A3,6489,51265,12057,512
2010-10-06$11.14$10.7523.6%7.6%14.0%44.0%27.9%5.5%0.2%950.3K-28.4M-177.9K8.0811.92N/AN/A1,46011,79267,02864,680
2010-10-07$11.04$10.7522.5%7.6%14.5%39.9%28.2%5.4%0.2%-564.4K-18.2M-189.3K4.0712.82N/AN/A3,89215,84867,32078,844
2010-10-08$11.17$10.7520.2%7.4%14.7%31.5%27.3%4.6%-0.2%399.3K-28.1M-186.2K2.7513.73N/AN/A2,2806,26867,77276,624
2010-10-11$11.25$10.7522.6%7.3%14.8%40.1%26.8%4.9%0.0%1.0M-32.3M-178.6K0.3713.77N/AN/A75227667,72874,624
2010-10-12$11.21$10.7522.3%7.4%13.1%39.3%26.5%4.1%-0.2%1.2M-31.2M-179.3K5.6914.46N/AN/A7444,23267,98874,652
2010-10-13$11.11$11.0021.3%7.4%13.6%35.6%25.8%4.6%-0.2%740.4K-25.2M-183.3K0.1518.01N/AN/A5,12476468,68078,632
2010-10-14$11.13$11.0025.5%7.3%13.5%50.9%28.0%5.1%-0.3%912.6K-26.1M-180.7K0.1314.85N/AN/A5,40468068,95677,808
2010-10-15$11.26$11.0025.2%7.2%13.9%49.8%24.2%4.4%-0.1%5.3M-33.3M-177.6K0.0814.53N/AN/A6,12850067,38077,952
2010-10-18$11.30$11.0025.4%7.3%13.8%50.4%30.2%4.7%-0.5%19.3K-17.1M-175.6K2.6120.02N/AN/A9602,50444,52456,620
2010-10-19$11.14$11.0024.7%7.1%14.8%47.7%26.7%5.3%-0.2%-49.9K-13.9M-178.7K2.1020.62N/AN/A7481,56845,35258,796
2010-10-20$11.24$11.0024.8%7.1%14.4%48.2%27.5%4.3%-0.4%-22.2K-16.1M-176.6K0.5617.16N/AN/A3,8402,14445,65259,572
2010-10-21$11.21$11.0024.2%6.9%13.6%46.1%24.5%4.6%0.4%45.2K-16.1M-182.3K2.9922.65N/AN/A4361,30449,00461,076
2010-10-22$11.21$11.0024.6%7.1%11.5%47.6%25.3%5.5%-0.6%12.0K-15.7M-182.2K4.8117.51N/AN/A1,3806,63649,35661,828
2010-10-25$11.42$11.0025.8%7.4%13.1%52.0%29.4%5.4%-1.3%-154.9K-19.0M-187.9K0.1222.20N/AN/A15,6881,87650,30468,184
2010-10-26$11.53$11.0025.7%7.4%13.2%51.6%25.9%4.8%-1.1%354.8K-32.3M-196.5K0.1721.34N/AN/A11,3241,88462,12869,116
2010-10-27$11.57$11.0025.9%7.4%12.9%52.3%29.4%5.5%-1.3%846.4K-36.8M-205.7K0.2223.24N/AN/A2,70459270,26869,884
2010-10-28$11.61$11.0025.8%7.4%12.5%51.8%26.4%3.9%-1.9%905.0K-38.1M-195.8K0.3124.88N/AN/A1,91658870,57670,320
2010-10-29$11.47$11.0026.0%7.5%13.4%52.7%28.5%4.0%-1.2%805.7K-34.2M-201.0K0.3124.09N/AN/A4,7001,46070,95270,644