TJX Options History — April 2011

In April 2011, TJX traded between $12.38 and $13.43. ATM implied volatility averaged 22.3%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.2% (HV 20d: 16.1%). Max pain ranged from $12.25 to $12.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.75.

Notable Days

  • 2011-04-05: Highest Volume — 19,404 contracts
  • 2011-04-14: Largest IV spike — 60.2% change
  • 2011-04-11: Highest IV Rank — 41.8%
  • 2011-04-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.93$12.38$13.43$12.38$13.40
Max Pain$12.34$12.25$12.50$12.50$12.25
ATM IV22.3%15.4%25.0%20.7%21.9%
Expected Move6.7%5.8%7.3%5.9%6.3%
HV 20d16.1%12.6%18.1%16.9%12.6%
HV 60d20.8%19.7%23.1%23.1%19.7%
IV Rank30.5%0.0%41.8%25.6%27.4%
IV Percentile35.7%0.0%58.3%20.2%30.2%
Term Structure-0.7%-1.6%2.7%2.7%-1.5%
VWIV25.8%21.2%29.6%21.2%22.2%
Skew 25d4.6%3.1%6.7%3.1%4.9%
Skew 10d11.3%7.9%14.2%7.9%9.8%
Call IV 25d21.2%19.2%22.7%19.2%20.5%
Put IV 25d25.8%22.3%27.7%22.3%25.4%
Bid-Ask Spread %19.6913.1528.5014.5423.04
Gamma HHI0.200.150.300.300.26
Net GEX-144.2K-970.5K494.0K-643.8K494.0K
Net DEX-46.3M-67.5M-22.1M-22.1M-52.9M
Net VEX-280.1K-309.1K-237.4K-309.1K-237.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.118.431.482.06
Total Volume7,134.81,23619,4043,5364,588
Total OI176,885.4138,916221,192185,824151,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$12.38$12.5020.7%5.9%16.9%25.6%21.2%3.1%2.7%-643.8K-22.1M-309.1K1.4814.54N/AN/A1,4242,11283,080102,744
2011-04-04$12.40$12.5020.9%6.7%14.3%26.4%23.9%4.0%-0.8%-664.7K-23.8M-303.2K0.9118.33N/AN/A1,9721,79683,184104,164
2011-04-05$12.74$12.5023.7%6.9%17.2%37.8%24.5%4.4%-0.4%-234.4K-45.2M-290.5K6.9020.51N/AN/A2,45616,94883,588105,568
2011-04-06$12.89$12.5023.3%7.1%17.6%35.9%25.1%4.4%-1.0%-147.1K-53.2M-283.2K5.7016.21N/AN/A2,09611,94883,696108,412
2011-04-07$12.78$12.5021.7%7.0%17.9%29.6%24.7%4.6%-0.8%-793.8K-46.9M-290.5K4.9116.39N/AN/A9404,61283,980116,012
2011-04-08$12.68$12.5020.8%6.9%18.1%26.1%24.4%4.4%-0.5%-970.5K-41.3M-293.1K2.1513.15N/AN/A2,2124,74884,284116,112
2011-04-11$12.77$12.5024.7%7.3%18.0%41.8%29.1%5.0%-1.4%-846.4K-48.0M-284.5K0.1114.53N/AN/A10,5281,17285,132118,496
2011-04-12$12.77$12.2524.3%7.3%17.8%40.4%27.0%4.9%-1.0%-506.0K-56.9M-291.2K2.5513.82N/AN/A2,7206,94893,016118,796
2011-04-13$12.81$12.2515.4%7.3%17.2%0.0%28.4%5.1%-1.2%-343.4K-65.4M-287.8K5.0915.96N/AN/A1,6008,14894,724123,368
2011-04-14$12.78$12.2524.7%7.1%17.3%39.4%25.5%5.8%-1.0%-51.6K-63.9M-291.0K0.7615.72N/AN/A2,2081,67694,692125,412
2011-04-15$12.86$12.2524.3%7.0%17.3%37.5%25.4%4.2%-0.5%62.0K-67.5M-285.7K3.1219.08N/AN/A3,30010,28095,076126,116
2011-04-18$12.93$12.2525.0%7.2%17.0%40.8%29.0%4.9%-1.3%144.4K-35.7M-277.6K0.5820.15N/AN/A1,7761,02865,30073,616
2011-04-19$12.95$12.2524.3%7.0%16.5%37.5%24.3%4.5%-0.5%177.1K-36.2M-277.1K8.4321.18N/AN/A1,28010,78865,94874,280
2011-04-20$13.08$12.2524.5%7.0%16.2%38.4%28.4%4.3%-1.3%-66.4K-38.2M-285.1K0.4527.64N/AN/A1,31658866,72482,008
2011-04-21$13.14$12.2520.2%5.8%15.5%20.3%26.0%4.3%0.3%218.4K-41.6M-273.7K1.1623.54N/AN/A70882066,36477,724
2011-04-25$13.16$12.2521.5%6.2%15.4%26.0%27.5%3.9%-0.9%195.2K-40.9M-272.1K2.3225.26N/AN/A37286465,98078,532
2011-04-26$13.29$12.2521.7%6.2%13.4%26.7%25.9%3.7%-0.7%294.5K-46.8M-254.9K0.6423.74N/AN/A3,5122,25265,89279,220
2011-04-27$13.32$12.2522.1%6.4%13.4%28.6%24.7%4.7%-1.6%373.4K-48.0M-260.3K0.2022.44N/AN/A1,10422467,62879,556
2011-04-28$13.43$12.2521.2%6.1%13.1%24.7%29.6%6.7%-0.9%425.9K-50.5M-253.8K5.4028.50N/AN/A1,5048,12867,85679,708
2011-04-29$13.40$12.2521.9%6.3%12.6%27.4%22.2%4.9%-1.5%494.0K-52.9M-237.4K2.0623.04N/AN/A1,5003,08867,53284,188