TJX Options History — May 2011

In May 2011, TJX traded between $13.02 and $13.67. ATM implied volatility averaged 21.8%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.5% (HV 20d: 15.3%). Max pain ranged from $12.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2011-05-09: Highest Volume — 75,152 contracts
  • 2011-05-18: Largest IV drop — 17.9% change
  • 2011-05-10: Highest IV Rank — 45.5%
  • 2011-05-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.30$13.02$13.67$13.33$13.26
Max Pain$12.45$12.25$12.50$12.25$12.50
ATM IV21.8%18.4%24.9%23.5%19.7%
Expected Move6.1%5.3%7.2%6.7%5.7%
HV 20d15.3%8.7%21.5%12.7%21.5%
HV 60d17.3%16.0%18.6%17.1%17.5%
IV Rank29.8%14.5%45.5%34.3%20.8%
IV Percentile31.2%0.8%60.3%45.2%11.9%
Term Structure-0.6%-4.2%0.9%-2.4%-0.4%
VWIV22.6%18.4%29.3%24.7%21.8%
Skew 25d4.2%2.7%6.1%4.8%4.4%
Skew 10d10.2%7.2%13.5%12.2%8.6%
Call IV 25d20.1%17.4%24.3%22.7%19.3%
Put IV 25d24.4%22.4%27.9%27.5%23.7%
Bid-Ask Spread %20.7814.1428.8321.5917.39
Gamma HHI0.310.220.510.220.32
Net GEX464.2K35.1K1.1M354.9K301.9K
Net DEX-42.9M-59.5M-29.4M-47.3M-32.3M
Net VEX-256.8K-272.2K-240.0K-254.4K-240.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.014.590.341.27
Total Volume9,195.2381,27675,1524,3445,532
Total OI156,483.619133,208177,928152,072135,560

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$13.33$12.2523.5%6.7%12.7%34.3%24.7%4.8%-2.4%354.9K-47.3M-254.4K0.3421.59N/AN/A3,2321,11268,06484,008
2011-05-03$13.30$12.2523.7%6.8%12.9%35.2%29.3%4.5%-2.1%398.6K-46.5M-258.5K1.5022.91N/AN/A2,3883,58469,37284,616
2011-05-04$13.31$12.2524.9%7.2%9.4%40.4%25.6%3.5%-4.2%492.7K-47.4M-263.2K0.4525.17N/AN/A4,4842,01270,03287,588
2011-05-05$13.34$12.2523.7%6.8%8.7%35.3%25.0%3.3%-3.1%567.6K-47.9M-267.3K0.1625.83N/AN/A4,92077272,47688,784
2011-05-06$13.18$12.5023.5%6.0%9.4%34.2%22.3%3.5%-0.6%481.4K-44.5M-272.2K0.6316.61N/AN/A2,0641,30473,18489,024
2011-05-09$13.29$12.5024.9%6.0%8.9%45.2%20.7%5.2%-0.2%584.1K-48.7M-264.7K0.0117.46N/AN/A74,48067273,78889,272
2011-05-10$13.38$12.5024.8%5.8%8.9%45.5%20.2%6.1%0.2%639.4K-49.2M-256.8K0.3826.25N/AN/A5,5362,11270,67289,244
2011-05-11$13.36$12.5024.0%5.8%9.0%41.6%20.3%5.9%0.1%906.0K-49.2M-257.0K0.5122.02N/AN/A84443273,24890,288
2011-05-12$13.67$12.5021.3%6.1%11.7%28.3%22.4%4.4%-0.4%1.1M-59.5M-247.8K0.2326.57N/AN/A9,4602,14873,42490,576
2011-05-13$13.64$12.5021.7%6.2%11.6%30.5%21.7%4.2%-0.5%1.1M-57.2M-252.1K0.4026.20N/AN/A2,8681,15673,15691,972
2011-05-16$13.58$12.5023.0%6.6%11.9%36.9%26.6%4.6%-1.3%979.2K-54.2M-251.0K1.6328.83N/AN/A5,5689,04873,13692,212
2011-05-17$13.02$12.5023.2%6.7%19.9%37.8%22.8%3.2%-0.3%158.8K-34.6M-262.8K1.3814.14N/AN/A4,4006,07275,71298,832
2011-05-18$13.16$12.5019.1%5.5%20.3%17.7%22.5%3.4%0.7%221.8K-40.9M-257.0K1.8614.77N/AN/A3,5526,60876,048100,536
2011-05-19$13.04$12.5022.4%6.4%20.3%33.7%22.0%2.7%-0.0%35.1K-37.0M-266.1K0.4114.23N/AN/A1,06844076,696101,232
2011-05-20$13.15$12.5018.4%5.3%20.5%14.6%23.3%3.7%0.9%234.4K-40.4M-255.9K4.5916.51N/AN/A1,9408,90476,60499,732
2011-05-23$13.19$12.5020.1%5.8%20.5%22.8%23.0%4.2%0.0%112.3K-29.5M-256.7K1.3522.98N/AN/A3,1204,22059,28873,920
2011-05-24$13.23$12.5019.6%5.6%20.2%20.4%22.0%2.9%0.5%177.7K-32.3M-270.1K0.2818.04N/AN/A2,02856461,60477,124
2011-05-25$13.15$12.5019.6%5.6%20.3%20.3%20.2%3.5%0.1%112.7K-29.4M-252.7K1.1617.79N/AN/A82094860,01274,548
2011-05-26$13.42$12.5018.7%5.4%21.4%16.1%20.7%5.9%0.5%419.9K-37.2M-243.1K0.4320.73N/AN/A94840460,02875,276
2011-05-27$13.37$12.5018.4%5.3%21.4%14.5%18.4%5.0%0.8%404.8K-35.7M-244.2K2.3720.45N/AN/A39694060,03275,236
2011-05-31$13.26$12.5019.7%5.7%21.5%20.8%21.8%4.4%-0.4%301.9K-32.3M-240.0K1.2717.39N/AN/A2,4403,09260,11675,444