TJX Options History — March 2011

In March 2011, TJX traded between $12.15 and $12.73. ATM implied volatility averaged 21.9%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.2% (HV 20d: 20.7%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.25.

Notable Days

2011-03-02: Highest Volume — 46,680 contracts
2011-03-10: Largest IV spike — 13.6% change
2011-03-16: Highest IV Rank — 45.6%
2011-03-16: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.39	$12.15	$12.73	$12.40	$12.43
Max Pain	$12.45	$12.00	$12.50	$12.00	$12.50
ATM IV	21.9%	19.3%	25.6%	22.4%	20.2%
Expected Move	6.3%	5.5%	7.3%	6.4%	5.8%
HV 20d	20.7%	16.7%	27.6%	27.3%	17.0%
HV 60d	22.9%	22.5%	23.5%	22.5%	23.3%
IV Rank	32.6%	19.7%	45.6%	39.5%	23.4%
IV Percentile	31.8%	9.1%	61.5%	37.3%	14.7%
Term Structure	1.9%	-0.1%	3.1%	0.8%	3.1%
VWIV	22.6%	19.6%	26.2%	22.4%	21.2%
Skew 25d	4.8%	-0.3%	7.2%	5.9%	4.5%
Skew 10d	10.3%	1.3%	16.1%	10.4%	10.5%
Call IV 25d	19.5%	14.3%	24.7%	19.1%	18.3%
Put IV 25d	24.3%	21.1%	28.6%	25.0%	22.9%
Bid-Ask Spread %	18.91	12.97	25.85	19.24	14.04
Gamma HHI	0.27	0.18	0.38	0.25	0.28
Net GEX	-616.9K	-2.1M	342.9K	19.1K	-366.5K
Net DEX	-22.6M	-37.6M	-5.5M	-26.6M	-27.2M
Net VEX	-292.6K	-317.6K	-232.4K	-243.3K	-304.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.13	4.97	1.05	4.91
Total Volume	7,724.174	996	46,680	1,400	10,004
Total OI	183,184.174	145,608	207,616	145,608	179,628

Daily Data (23 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
2011-03-01	$12.40	$12.00	22.4%	6.4%	27.3%	39.5%	22.4%	5.9%	0.8%	19.1K	-26.6M	-243.3K	1.05	19.24	N/A	N/A	684	716	63,164	82,444
2011-03-02	$12.62	$12.00	23.3%	6.7%	27.6%	42.8%	23.3%	-0.3%	-0.1%	342.9K	-35.0M	-232.4K	3.27	25.85	N/A	N/A	10,932	35,748	63,412	82,612
2011-03-03	$12.73	$12.25	20.1%	5.8%	26.7%	31.2%	23.0%	6.8%	1.8%	-540.0K	-35.5M	-290.0K	0.14	25.34	N/A	N/A	28,796	4,096	73,140	117,328
2011-03-04	$12.64	$12.50	20.1%	6.4%	20.8%	31.3%	22.3%	3.2%	2.0%	-333.9K	-37.6M	-294.9K	0.28	22.72	N/A	N/A	3,464	976	77,744	117,020
2011-03-07	$12.33	$12.50	22.8%	6.8%	22.7%	41.0%	24.4%	3.4%	1.6%	-761.6K	-19.9M	-305.4K	0.41	18.07	N/A	N/A	2,560	1,052	78,688	117,416
2011-03-08	$12.38	$12.50	21.2%	6.4%	22.8%	35.2%	23.7%	3.8%	1.5%	-828.8K	-20.2M	-302.8K	0.90	22.35	N/A	N/A	568	512	77,772	117,824
2011-03-09	$12.40	$12.50	20.8%	6.4%	22.8%	33.5%	22.6%	3.8%	1.6%	-533.6K	-24.4M	-292.8K	0.40	21.39	N/A	N/A	5,608	2,244	77,820	117,788
2011-03-10	$12.37	$12.50	23.6%	6.8%	22.6%	37.3%	23.0%	3.3%	1.6%	-488.5K	-23.0M	-307.1K	1.02	22.94	N/A	N/A	3,244	3,320	82,088	119,808
2011-03-11	$12.44	$12.50	22.5%	6.5%	22.2%	33.0%	21.8%	3.5%	2.3%	20.7K	-30.2M	-317.6K	0.33	22.23	N/A	N/A	748	248	84,544	122,940
2011-03-14	$12.35	$12.50	24.0%	6.9%	21.5%	39.0%	23.7%	3.0%	1.5%	-151.5K	-23.0M	-309.7K	0.74	19.56	N/A	N/A	780	576	84,440	122,844
2011-03-15	$12.27	$12.50	24.3%	7.0%	19.7%	40.4%	24.0%	6.5%	1.1%	-439.2K	-17.6M	-308.9K	0.15	17.90	N/A	N/A	5,296	808	84,488	123,128
2011-03-16	$12.15	$12.50	25.6%	7.3%	19.9%	45.6%	26.2%	7.1%	1.3%	-1.6M	-5.5M	-310.2K	3.44	18.56	N/A	N/A	2,836	9,764	82,132	123,112
2011-03-17	$12.17	$12.50	23.8%	6.8%	19.9%	38.3%	26.0%	6.5%	1.4%	-1.5M	-7.3M	-297.6K	0.32	18.14	N/A	N/A	4,416	1,420	81,784	121,640
2011-03-18	$12.16	$12.50	23.3%	6.7%	19.9%	36.2%	22.4%	6.1%	1.8%	-2.1M	-7.6M	-295.8K	0.14	16.35	N/A	N/A	5,036	728	81,724	121,960
2011-03-21	$12.32	$12.50	22.4%	6.4%	19.3%	32.3%	21.2%	7.2%	2.3%	-756.4K	-15.1M	-287.2K	0.13	18.84	N/A	N/A	5,332	712	68,180	90,152
2011-03-22	$12.21	$12.50	21.5%	6.2%	19.3%	28.7%	23.4%	5.0%	2.5%	-703.7K	-12.7M	-295.0K	1.74	15.27	N/A	N/A	468	816	72,176	90,544
2011-03-23	$12.38	$12.50	19.8%	5.7%	18.8%	21.9%	21.3%	5.8%	2.9%	-544.4K	-21.6M	-289.8K	0.83	18.42	N/A	N/A	2,836	2,340	72,436	91,076
2011-03-24	$12.58	$12.50	20.0%	5.7%	16.7%	22.6%	20.3%	5.5%	3.1%	-375.7K	-32.3M	-290.6K	0.84	16.10	N/A	N/A	1,604	1,352	74,244	93,168
2011-03-25	$12.54	$12.50	19.3%	5.5%	16.7%	19.7%	19.6%	5.6%	3.0%	-397.7K	-31.1M	-289.1K	4.97	14.77	N/A	N/A	252	1,252	74,804	93,764
2011-03-28	$12.30	$12.50	21.1%	6.1%	17.7%	27.3%	21.3%	4.2%	2.5%	-788.4K	-16.9M	-289.9K	1.45	17.35	N/A	N/A	544	788	74,920	94,928
2011-03-29	$12.37	$12.50	21.3%	6.1%	17.8%	27.9%	21.5%	4.4%	2.2%	-736.9K	-20.4M	-290.3K	1.14	12.97	N/A	N/A	856	972	75,220	95,616
2011-03-30	$12.52	$12.50	20.0%	5.7%	17.2%	22.5%	20.3%	5.0%	2.2%	-563.6K	-29.9M	-283.9K	0.21	16.46	N/A	N/A	8,532	1,820	75,552	96,024
2011-03-31	$12.43	$12.50	20.2%	5.8%	17.0%	23.4%	21.2%	4.5%	3.1%	-366.5K	-27.2M	-304.9K	4.91	14.04	N/A	N/A	1,692	8,312	82,424	97,204