TJX Options History — February 2011

In February 2011, TJX traded between $11.78 and $12.70. ATM implied volatility averaged 21.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.7% (HV 20d: 25.2%). Max pain ranged from $11.25 to $12.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-02-07: Highest Volume — 71,676 contracts
  • 2011-02-10: Largest IV spike — 14.2% change
  • 2011-02-22: Highest IV Rank — 47.6%
  • 2011-02-22: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.38$11.78$12.70$11.98$12.47
Max Pain$11.89$11.25$12.00$11.25$12.00
ATM IV21.5%18.6%24.6%19.9%22.2%
Expected Move6.3%5.6%7.1%5.7%6.4%
HV 20d25.2%22.3%29.1%24.4%27.3%
HV 60d22.0%19.7%23.1%19.7%23.1%
IV Rank36.1%25.6%47.6%30.4%38.9%
IV Percentile29.9%4.8%54.8%15.9%34.9%
Term Structure0.1%-1.3%2.8%2.2%0.3%
VWIV22.6%19.8%25.7%20.2%23.3%
Skew 25d3.9%0.9%7.7%2.1%6.2%
Skew 10d8.4%1.8%15.0%5.0%12.1%
Call IV 25d20.2%16.4%25.8%20.1%18.2%
Put IV 25d24.2%20.7%27.8%22.2%24.4%
Bid-Ask Spread %22.2717.8331.9018.6518.82
Gamma HHI0.210.190.280.200.25
Net GEX-167.2K-909.0K466.2K-791.0K117.3K
Net DEX-25.6M-36.2M-7.8M-14.5M-28.3M
Net VEX-236.7K-247.8K-221.5K-243.8K-242.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.047.090.320.97
Total Volume7,790.94718471,6769201,776
Total OI143,368.421124,772152,060133,592144,300

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$11.98$11.2519.9%5.7%24.4%30.4%20.2%2.1%2.2%-791.0K-14.5M-243.8K0.3218.65N/AN/A69622451,79281,800
2011-02-02$11.78$11.2519.7%5.7%25.3%29.8%20.6%1.4%2.8%-909.0K-7.8M-246.1K6.7125.20N/AN/A9206,17652,09681,852
2011-02-03$12.38$11.5019.6%5.6%29.1%29.1%19.8%2.8%1.5%-621.8K-27.2M-233.4K0.3019.37N/AN/A13,5124,06052,49686,192
2011-02-04$12.43$12.0018.7%6.2%22.4%26.0%21.8%3.0%-0.1%-225.1K-32.3M-247.8K0.5220.96N/AN/A1,22463661,81689,440
2011-02-07$12.45$12.0018.6%6.2%22.4%25.6%22.6%3.4%-0.4%-189.2K-33.0M-243.9K0.0421.53N/AN/A69,0002,67662,05290,008
2011-02-08$12.46$12.0018.6%6.1%22.3%25.7%21.5%3.2%0.1%-102.8K-27.5M-238.8K0.6620.90N/AN/A22414855,67689,636
2011-02-09$12.34$12.0019.1%6.4%22.9%27.6%23.8%3.4%-0.0%-206.0K-23.7M-241.5K7.0920.18N/AN/A2641,87255,84089,756
2011-02-10$12.49$12.0021.9%6.3%23.1%37.5%22.3%3.9%-0.3%-111.5K-28.7M-237.3K0.6625.26N/AN/A34822855,95291,564
2011-02-11$12.70$12.0022.4%6.4%23.0%39.4%21.1%2.2%-0.4%120.2K-36.2M-221.5K0.8723.21N/AN/A1,2241,06056,00091,656
2011-02-14$12.38$12.0022.6%6.5%25.3%40.3%23.7%2.3%-1.0%-80.6K-25.5M-231.6K1.9323.72N/AN/A43283255,99291,348
2011-02-15$12.32$12.0023.2%6.6%25.5%42.3%24.8%6.8%-0.9%-42.4K-22.7M-233.8K0.6419.75N/AN/A49631656,22491,928
2011-02-16$12.36$12.0023.4%6.7%25.3%43.2%24.9%7.7%-0.7%31.7K-23.5M-231.1K0.1517.83N/AN/A1602456,23292,164
2011-02-17$12.30$12.0023.5%6.7%25.4%43.6%22.8%6.7%-1.3%56.9K-21.4M-230.7K0.8619.44N/AN/A70460456,26092,176
2011-02-18$12.52$12.0022.9%6.6%26.0%41.2%23.3%3.0%-0.5%466.2K-30.7M-222.6K0.5327.47N/AN/A1,10859256,49292,292
2011-02-22$12.43$12.0024.6%7.1%26.2%47.6%25.7%2.0%-0.5%-227.3K-24.5M-223.6K0.6821.25N/AN/A9,1806,26052,90471,868
2011-02-23$12.20$12.0022.7%6.5%26.2%40.5%22.5%6.4%0.4%-545.6K-17.2M-245.3K2.0524.59N/AN/A2,3004,72059,51677,056
2011-02-24$12.56$12.0022.5%6.5%28.1%40.0%23.3%0.9%0.5%30.4K-30.7M-239.9K1.1231.90N/AN/A3,9364,39660,06479,632
2011-02-25$12.58$12.0021.9%6.3%28.1%37.7%21.9%7.2%0.6%53.0K-30.8M-242.2K0.1123.19N/AN/A5,14455660,32881,600
2011-02-28$12.47$12.0022.2%6.4%27.3%38.9%23.3%6.2%0.3%117.3K-28.3M-242.5K0.9718.82N/AN/A90087662,54881,752