TJX Options History — January 2011

In January 2011, TJX traded between $10.75 and $12.15. ATM implied volatility averaged 20.1%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.1% (HV 20d: 22.2%). Max pain ranged from $10.50 to $11.25. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.24.

Notable Days

  • 2011-01-05: Highest Volume — 43,796 contracts
  • 2011-01-05: Largest IV spike — 28.1% change
  • 2011-01-05: Highest IV Rank — 55.1%
  • 2011-01-05: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.57$10.75$12.15$10.95$11.85
Max Pain$10.80$10.50$11.25$10.50$11.25
ATM IV20.1%17.1%26.7%20.2%21.3%
Expected Move5.9%5.4%7.6%5.8%6.1%
HV 20d22.2%13.0%25.1%13.1%25.0%
HV 60d18.7%15.4%19.6%15.6%19.5%
IV Rank31.2%20.3%55.1%31.6%35.7%
IV Percentile16.3%1.6%67.9%13.9%27.4%
Term Structure1.7%-2.9%2.5%1.4%2.1%
VWIV21.6%19.5%27.1%20.8%21.1%
Skew 25d2.2%-0.4%3.1%1.4%2.1%
Skew 10d5.2%0.5%8.3%0.5%5.5%
Call IV 25d20.2%18.2%27.8%20.8%20.8%
Put IV 25d22.4%20.5%27.3%22.2%22.9%
Bid-Ask Spread %20.4914.0126.7218.3520.42
Gamma HHI0.200.090.310.180.21
Net GEX1.1M-848.3K2.7M236.5K-848.3K
Net DEX-34.5M-64.8M-1.8M-8.3M-10.0M
Net VEX-211.8K-252.2K-186.9K-187.8K-249.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.0529.150.621.31
Total Volume9,486.891243,7967,8881,008
Total OI157,651.492,672188,284141,536133,100

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$10.95$10.5020.2%5.8%13.1%31.6%20.8%1.4%1.4%236.5K-8.3M-187.8K0.6218.35N/AN/A4,8803,00862,75278,784
2011-01-04$10.89$10.5020.8%6.0%13.0%33.7%21.1%0.4%0.6%154.2K-6.5M-186.9K0.3514.05N/AN/A2,28079664,87280,776
2011-01-05$10.75$10.5026.7%7.6%13.7%55.1%27.1%-0.4%-2.9%298-1.8M-190.3K0.3420.76N/AN/A32,61611,18066,70480,780
2011-01-06$11.38$10.5020.1%5.8%25.0%31.2%21.1%1.8%1.2%2.7M-47.4M-221.3K0.3720.26N/AN/A27,1009,98493,93289,856
2011-01-07$11.41$10.7519.5%6.2%25.0%28.9%22.8%2.8%1.8%2.4M-47.0M-234.6K0.1319.78N/AN/A15,9162,08093,15294,556
2011-01-10$11.39$10.7519.3%6.2%25.0%28.3%22.4%3.0%2.1%2.1M-41.3M-226.4K0.1921.35N/AN/A5,4041,03287,00894,856
2011-01-11$11.42$10.7518.9%6.0%23.6%26.6%21.0%2.7%2.2%2.4M-43.8M-223.6K0.5621.19N/AN/A58432888,46495,260
2011-01-12$11.47$10.7517.1%5.9%23.5%20.3%21.5%3.0%2.2%2.2M-46.0M-216.9K0.2722.66N/AN/A1,69645286,68495,408
2011-01-13$11.38$10.7520.4%5.9%23.1%32.3%22.4%3.1%2.4%2.5M-40.8M-218.8K0.6726.72N/AN/A1,44897687,51295,572
2011-01-14$11.49$10.7520.3%5.8%23.2%31.9%21.6%2.7%2.2%2.3M-48.3M-211.2K0.2722.24N/AN/A2,20859687,18896,060
2011-01-18$11.54$10.7520.6%5.9%22.9%33.1%21.3%2.7%2.2%2.4M-53.3M-199.8K0.0524.01N/AN/A2,74014488,37696,256
2011-01-19$11.69$10.7520.4%5.9%23.0%32.3%21.0%1.8%1.4%1.4M-59.7M-196.5K0.4923.48N/AN/A3,6441,78087,92096,240
2011-01-20$11.76$10.7520.4%5.8%22.9%32.2%21.5%2.2%1.9%774.4K-62.7M-196.5K0.2623.72N/AN/A3,26884089,13297,452
2011-01-21$11.81$11.0020.5%5.9%22.9%32.5%21.8%2.8%1.9%666.7K-64.8M-196.3K0.8218.65N/AN/A2,5842,10890,18098,104
2011-01-24$11.89$11.0019.6%5.6%23.0%29.4%20.1%2.4%1.7%402.1K-18.7M-190.7K0.3718.65N/AN/A5,1921,90841,75250,920
2011-01-25$12.14$11.0019.1%5.5%23.6%27.4%22.4%2.6%2.5%443.9K-27.7M-189.0K0.5419.82N/AN/A5,1802,77646,42452,116
2011-01-26$12.15$11.0019.0%5.4%23.6%27.1%21.3%2.7%2.2%603.3K-29.8M-204.1K29.1518.38N/AN/A87625,53250,57653,728
2011-01-27$12.15$11.0019.0%5.4%23.7%27.0%19.5%2.2%1.6%-594.3K-20.0M-243.2K0.8014.01N/AN/A1,3401,07250,49678,808
2011-01-28$11.93$11.0019.4%5.5%25.1%28.4%21.2%2.9%2.5%-721.3K-12.6M-252.2K7.2821.25N/AN/A3842,79651,63279,640
2011-01-31$11.85$11.2521.3%6.1%25.0%35.7%21.1%2.1%2.1%-848.3K-10.0M-249.7K1.3120.42N/AN/A43657251,70081,400