TJX Options History — November 2010

In November 2010, TJX traded between $11.26 and $11.77. ATM implied volatility averaged 23.9%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 8.8% (HV 20d: 15.1%). Max pain ranged from $11.00 to $11.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2010-11-04: Highest Volume — 18,716 contracts
  • 2010-11-11: Largest IV drop — 14.6% change
  • 2010-11-09: Highest IV Rank — 61.7%
  • 2010-11-02: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.50$11.26$11.77$11.46$11.40
Max Pain$11.29$11.00$11.50$11.00$11.50
ATM IV23.9%20.5%28.5%27.1%23.7%
Expected Move6.7%5.9%7.9%7.8%6.8%
HV 20d15.1%12.9%17.2%13.4%17.2%
HV 60d17.2%15.2%18.9%18.9%15.8%
IV Rank45.1%32.5%61.7%56.6%44.3%
IV Percentile35.0%11.1%73.8%59.1%34.1%
Term Structure-0.1%-2.6%1.4%-2.2%0.1%
VWIV23.8%20.4%30.7%30.7%24.6%
Skew 25d3.7%2.4%5.1%5.1%3.2%
Skew 10d8.5%6.1%11.6%9.2%6.1%
Call IV 25d21.9%19.1%25.7%25.5%22.8%
Put IV 25d25.5%22.0%30.5%30.5%26.0%
Bid-Ask Spread %20.9714.7731.2426.3016.98
Gamma HHI0.180.120.340.140.13
Net GEX967.9K21.9K2.1M744.2K662.8K
Net DEX-27.2M-43.6M-15.9M-32.9M-18.9M
Net VEX-196.2K-211.2K-177.6K-200.5K-187.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.136.041.103.60
Total Volume6,496.191,40818,7162,9725,096
Total OI140,043.619113,488164,912142,136118,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$11.46$11.0027.1%7.8%13.4%56.6%30.7%5.1%-2.2%744.2K-32.9M-200.5K1.1026.30N/AN/A1,4161,55670,49671,640
2010-11-02$11.59$11.0027.4%7.9%13.8%57.9%28.9%4.4%-2.1%857.3K-36.7M-197.5K0.3823.73N/AN/A4,0761,54870,59672,556
2010-11-03$11.71$11.0025.8%7.4%14.0%51.9%27.9%4.6%-2.6%941.2K-40.7M-194.6K0.4927.42N/AN/A2,1761,06070,72473,356
2010-11-04$11.72$11.0024.7%7.1%13.3%48.0%28.6%3.9%-1.7%1.0M-41.6M-191.2K6.0425.19N/AN/A2,66016,05670,83273,900
2010-11-05$11.77$11.0024.6%6.5%12.9%47.6%22.2%4.3%0.2%1.4M-43.6M-197.8K0.1320.42N/AN/A6,82492071,40469,748
2010-11-08$11.51$11.2527.4%6.7%15.5%57.6%23.8%3.8%0.2%1.3M-31.0M-201.9K0.7916.03N/AN/A7,4325,85269,85270,088
2010-11-09$11.37$11.2528.5%6.9%16.2%61.7%23.5%4.1%-0.4%793.1K-20.9M-209.6K0.3817.14N/AN/A2,6161,00068,30875,104
2010-11-10$11.41$11.5027.5%6.6%15.9%58.3%23.9%4.6%-0.0%833.3K-22.0M-209.5K0.1915.44N/AN/A5,8601,09668,08075,496
2010-11-11$11.44$11.2523.5%6.7%15.8%43.5%23.4%3.8%-0.3%1.3M-25.5M-209.0K1.3916.03N/AN/A2,4523,40472,57675,556
2010-11-12$11.45$11.2523.8%6.8%15.4%44.8%23.5%3.9%-0.1%1.2M-25.9M-211.2K0.4414.77N/AN/A2,19295673,94078,208
2010-11-15$11.43$11.2524.4%7.0%15.4%47.0%24.7%4.1%-0.5%1.2M-25.1M-208.7K1.6417.66N/AN/A5,8889,63675,05278,176
2010-11-16$11.26$11.2522.8%6.5%15.5%40.9%22.0%3.2%1.1%21.9K-16.1M-203.1K0.7522.02N/AN/A9,0246,77277,69285,448
2010-11-17$11.35$11.2522.6%6.5%15.4%40.3%22.6%3.5%0.7%983.0K-23.0M-201.5K1.1020.56N/AN/A1,0401,14480,74484,168
2010-11-18$11.46$11.2520.9%6.0%15.7%34.0%20.8%3.7%1.0%1.2M-29.3M-193.6K1.3721.69N/AN/A1,4521,99676,90084,424
2010-11-19$11.52$11.5020.5%5.9%15.8%32.5%20.4%2.9%1.4%2.1M-32.1M-191.2K0.4224.90N/AN/A2,12488476,50885,420
2010-11-22$11.57$11.5020.7%5.9%14.5%33.3%21.3%2.4%0.7%864.7K-23.4M-179.9K3.1731.24N/AN/A9603,04453,51259,976
2010-11-23$11.46$11.5021.2%6.1%14.5%35.2%21.9%2.8%0.7%660.0K-19.3M-188.0K0.7523.54N/AN/A1,11684053,88061,780
2010-11-24$11.62$11.5020.9%6.0%15.4%33.9%21.2%2.8%1.0%836.8K-24.0M-187.8K1.0115.90N/AN/A82884054,40862,236
2010-11-26$11.59$11.5021.3%6.1%15.4%35.4%20.7%2.7%0.6%820.3K-23.4M-178.5K2.8717.17N/AN/A3641,04454,68059,836
2010-11-29$11.32$11.5023.5%6.7%16.9%43.6%24.0%3.1%0.0%532.4K-15.9M-177.6K1.4026.18N/AN/A4,6646,51254,99260,392
2010-11-30$11.40$11.5023.7%6.8%17.2%44.3%24.6%3.2%0.1%662.8K-18.9M-187.7K3.6016.98N/AN/A1,1083,98857,38860,844