TJX Options History — December 2010

In December 2010, TJX traded between $10.86 and $11.40. ATM implied volatility averaged 20.7%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.0% (HV 20d: 17.7%). Max pain ranged from $10.00 to $11.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2010-12-02: Highest Volume — 19,232 contracts
2010-12-13: Largest IV spike — 21.2% change
2010-12-13: Highest IV Rank — 48.6%
2010-12-01: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.13	$10.86	$11.40	$11.40	$11.10
Max Pain	$10.47	$10.00	$11.50	$11.50	$10.50
ATM IV	20.7%	18.4%	24.9%	22.7%	19.7%
Expected Move	5.9%	5.3%	6.5%	6.5%	5.7%
HV 20d	17.7%	13.9%	19.2%	16.7%	13.9%
HV 60d	15.7%	15.0%	16.3%	15.0%	15.5%
IV Rank	33.3%	25.1%	48.6%	40.6%	29.8%
IV Percentile	15.6%	4.0%	46.8%	27.8%	12.7%
Term Structure	2.2%	0.2%	3.5%	0.4%	1.9%
VWIV	20.9%	18.5%	23.5%	23.2%	19.0%
Skew 25d	2.9%	1.5%	4.3%	2.5%	2.2%
Skew 10d	7.7%	3.3%	11.1%	3.3%	5.1%
Call IV 25d	19.6%	17.9%	22.2%	22.2%	18.8%
Put IV 25d	22.5%	19.9%	24.9%	24.7%	21.0%
Bid-Ask Spread %	20.13	13.42	36.61	36.61	13.42
Gamma HHI	0.17	0.13	0.21	0.13	0.20
Net GEX	482.0K	79.7K	837.7K	691.3K	478.1K
Net DEX	-12.1M	-18.7M	122.0K	-18.7M	-12.8M
Net VEX	-191.9K	-208.0K	-182.4K	-191.9K	-185.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.04	8.56	0.37	0.04
Total Volume	4,570.364	624	19,232	7,504	1,712
Total OI	136,621.091	120,192	144,892	120,192	140,260

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-12-01	$11.40	$11.50	22.7%	6.5%	16.7%	40.6%	23.2%	2.5%	0.4%	691.3K	-18.7M	-191.9K	0.37	36.61	N/A	N/A	5,464	2,040	58,060	62,132
2010-12-02	$11.13	$11.25	21.8%	6.2%	18.0%	37.2%	22.5%	2.7%	0.2%	525.1K	-10.6M	-193.3K	0.83	31.13	N/A	N/A	10,496	8,736	62,088	63,504
2010-12-03	$11.32	$11.25	21.7%	6.2%	19.2%	37.0%	21.7%	3.0%	0.5%	837.7K	-18.4M	-208.0K	1.40	27.49	N/A	N/A	1,508	2,116	66,892	69,292
2010-12-06	$11.25	$10.25	22.0%	6.4%	19.1%	38.1%	21.9%	4.2%	2.6%	756.7K	-16.1M	-207.1K	0.99	21.73	N/A	N/A	1,012	1,004	67,444	70,100
2010-12-07	$11.21	$10.25	21.8%	6.3%	17.6%	37.2%	23.5%	4.3%	2.9%	678.7K	-14.8M	-203.0K	0.43	18.96	N/A	N/A	1,808	784	67,692	70,544
2010-12-08	$11.18	$10.25	20.8%	6.2%	17.1%	33.8%	22.0%	3.8%	2.8%	607.3K	-14.1M	-198.7K	0.52	17.77	N/A	N/A	940	488	68,416	70,688
2010-12-09	$11.24	$10.00	19.7%	6.1%	17.2%	29.7%	21.2%	3.6%	2.9%	693.7K	-15.8M	-198.1K	1.40	19.48	N/A	N/A	1,384	1,940	67,676	70,648
2010-12-10	$11.27	$10.00	20.5%	6.0%	17.2%	32.7%	21.3%	3.0%	3.1%	728.8K	-16.8M	-198.8K	0.48	16.77	N/A	N/A	2,212	1,060	67,880	71,688
2010-12-13	$11.03	$10.25	24.9%	6.3%	18.7%	48.6%	21.6%	3.4%	2.4%	261.7K	-7.8M	-191.0K	0.65	23.51	N/A	N/A	2,388	1,560	68,816	71,804
2010-12-14	$11.12	$10.25	23.9%	6.2%	19.0%	44.8%	21.1%	3.2%	2.4%	298.2K	-10.5M	-187.8K	0.40	20.91	N/A	N/A	3,612	1,432	68,824	72,480
2010-12-15	$10.96	$10.25	21.5%	6.2%	18.9%	36.1%	21.0%	3.7%	2.7%	207.8K	-4.9M	-192.2K	0.41	19.78	N/A	N/A	4,376	1,812	71,276	72,580
2010-12-16	$10.95	$10.25	20.6%	5.9%	18.6%	33.0%	21.6%	3.8%	3.5%	79.7K	-3.7M	-189.2K	2.44	17.26	N/A	N/A	1,252	3,052	69,928	73,436
2010-12-17	$10.86	$10.25	20.8%	6.0%	18.2%	33.6%	20.3%	3.1%	3.1%	216.1K	122.0K	-186.5K	0.85	18.00	N/A	N/A	2,100	1,780	70,740	74,152
2010-12-20	$10.97	$10.25	18.7%	5.4%	18.6%	26.1%	22.7%	2.5%	2.0%	360.2K	-8.7M	-182.4K	8.56	18.77	N/A	N/A	1,420	12,160	56,720	66,720
2010-12-21	$11.05	$10.50	18.4%	5.3%	18.8%	25.1%	18.8%	2.4%	2.2%	295.0K	-11.1M	-186.4K	1.12	18.28	N/A	N/A	1,672	1,868	57,648	74,856
2010-12-22	$11.09	$10.50	19.1%	5.5%	18.7%	27.4%	18.8%	1.5%	1.8%	337.0K	-12.3M	-187.1K	1.18	13.75	N/A	N/A	496	584	58,216	75,672
2010-12-23	$11.12	$10.50	19.2%	5.5%	17.8%	27.7%	18.5%	2.2%	2.3%	365.8K	-13.0M	-189.3K	0.23	15.66	N/A	N/A	2,972	692	58,256	76,072
2010-12-27	$11.08	$10.50	19.5%	5.6%	17.8%	28.9%	19.4%	2.5%	2.1%	500.0K	-12.7M	-186.3K	1.84	20.93	N/A	N/A	220	404	60,132	76,488
2010-12-28	$11.10	$10.50	20.4%	5.8%	16.1%	32.1%	19.8%	2.5%	1.2%	496.5K	-12.5M	-186.6K	0.95	20.19	N/A	N/A	2,068	1,964	60,148	76,736
2010-12-29	$11.16	$10.50	18.9%	5.4%	16.0%	26.9%	19.2%	1.9%	2.0%	583.6K	-15.4M	-185.7K	0.08	15.25	N/A	N/A	1,048	88	61,088	78,396
2010-12-30	$11.18	$10.50	18.6%	5.3%	16.0%	25.6%	20.0%	2.5%	2.4%	604.8K	-15.7M	-187.1K	1.65	17.32	N/A	N/A	1,820	3,004	61,048	78,428
2010-12-31	$11.10	$10.50	19.7%	5.7%	13.9%	29.8%	19.0%	2.2%	1.9%	478.1K	-12.8M	-185.9K	0.04	13.42	N/A	N/A	1,648	64	61,480	78,780