TJX Options History — June 2011

In June 2011, TJX traded between $12.37 and $13.13. ATM implied volatility averaged 21.8%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.4% (HV 20d: 19.4%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.78.

Notable Days

2011-06-15: Highest Volume — 10,484 contracts
2011-06-30: Largest IV drop — 17.8% change
2011-06-01: Highest IV Rank — 40.4%
2011-06-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.65	$12.37	$13.13	$13.00	$13.13
Max Pain	$12.05	$12.00	$12.50	$12.50	$12.00
ATM IV	21.8%	17.6%	23.8%	23.8%	17.6%
Expected Move	6.2%	5.1%	6.8%	6.8%	5.1%
HV 20d	19.4%	15.2%	23.0%	22.6%	19.2%
HV 60d	17.6%	17.0%	18.7%	17.1%	18.0%
IV Rank	31.0%	10.8%	40.4%	40.4%	10.8%
IV Percentile	35.5%	0.8%	55.6%	55.6%	0.8%
Term Structure	1.7%	-1.3%	2.8%	-0.9%	2.7%
VWIV	22.2%	17.6%	23.4%	23.4%	21.5%
Skew 25d	2.7%	0.7%	7.9%	3.1%	2.4%
Skew 10d	6.5%	3.9%	13.5%	7.9%	4.9%
Call IV 25d	20.6%	15.4%	23.2%	20.1%	17.4%
Put IV 25d	23.3%	19.9%	25.8%	23.2%	19.9%
Bid-Ask Spread %	20.46	16.67	24.46	20.55	21.12
Gamma HHI	0.24	0.13	0.71	0.26	0.29
Net GEX	-845.8K	-5.3M	344.3K	-145.2K	344.3K
Net DEX	-15.0M	-34.0M	232.2K	-24.7M	-34.0M
Net VEX	-245.9K	-269.7K	-229.2K	-245.4K	-229.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.78	0.25	14.62	1.25	0.48
Total Volume	3,368.909	284	10,484	4,440	692
Total OI	138,904.727	130,144	154,700	136,512	139,744

Daily Data (22 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
2011-06-01	$13.00	$12.50	23.8%	6.8%	22.6%	40.4%	23.4%	3.1%	-0.9%	-145.2K	-24.7M	-245.4K	1.25	20.55	N/A	N/A	1,972	2,468	60,336	76,176
2011-06-02	$12.83	$12.50	23.3%	6.7%	22.9%	38.2%	22.9%	7.9%	-1.3%	-489.7K	-19.0M	-247.8K	3.66	18.28	N/A	N/A	1,660	6,076	60,856	76,824
2011-06-03	$12.76	$12.00	22.5%	6.4%	22.9%	34.5%	23.4%	3.3%	1.6%	-685.3K	-16.4M	-251.2K	2.48	16.67	N/A	N/A	1,216	3,012	60,264	77,760
2011-06-06	$12.58	$12.00	23.5%	6.5%	23.0%	39.0%	22.5%	2.4%	1.3%	-952.8K	-10.6M	-248.0K	2.55	19.30	N/A	N/A	80	204	60,152	77,720
2011-06-07	$12.63	$12.00	22.5%	6.4%	22.8%	34.3%	23.1%	2.6%	1.4%	-940.2K	-12.8M	-245.7K	0.46	19.99	N/A	N/A	1,316	608	60,160	77,512
2011-06-08	$12.55	$12.00	21.3%	6.3%	22.6%	28.7%	22.7%	2.9%	1.7%	-1.1M	-10.4M	-243.3K	2.03	20.20	N/A	N/A	1,564	3,176	60,700	77,444
2011-06-09	$12.61	$12.00	21.5%	6.2%	22.7%	29.6%	22.7%	2.6%	1.9%	-1.3M	-12.7M	-247.0K	1.21	22.66	N/A	N/A	1,360	1,640	61,564	79,328
2011-06-10	$12.37	$12.00	22.4%	6.4%	21.2%	34.0%	22.7%	2.8%	1.7%	-1.3M	-3.8M	-251.3K	2.85	17.82	N/A	N/A	352	1,004	62,532	78,680
2011-06-13	$12.38	$12.00	22.3%	6.4%	21.2%	33.4%	23.3%	2.0%	1.8%	-1.4M	-4.0M	-245.2K	0.25	21.73	N/A	N/A	2,060	520	62,716	78,620
2011-06-14	$12.40	$12.00	21.1%	6.0%	21.3%	27.3%	22.9%	1.8%	2.2%	-1.7M	-5.4M	-243.9K	14.62	22.00	N/A	N/A	52	760	63,268	78,888
2011-06-15	$12.39	$12.00	22.3%	6.4%	16.0%	33.1%	22.4%	2.1%	1.8%	-1.9M	-5.0M	-243.5K	8.26	21.73	N/A	N/A	1,132	9,352	63,304	79,080
2011-06-16	$12.39	$12.00	23.1%	6.6%	15.2%	37.0%	23.2%	2.5%	1.8%	-2.6M	232.2K	-269.7K	12.73	19.64	N/A	N/A	612	7,792	63,676	90,712
2011-06-17	$12.52	$12.00	21.9%	6.3%	15.6%	31.6%	23.4%	2.1%	1.9%	-5.3M	-11.2M	-259.2K	0.92	23.38	N/A	N/A	1,152	1,064	63,732	90,968
2011-06-20	$12.60	$12.00	21.5%	6.2%	15.4%	29.4%	21.7%	1.7%	2.2%	131.9K	-16.4M	-249.2K	1.29	24.46	N/A	N/A	1,028	1,328	56,428	73,716
2011-06-21	$12.77	$12.00	21.0%	6.0%	16.3%	27.0%	20.8%	1.5%	2.0%	209.9K	-21.1M	-245.7K	0.83	23.23	N/A	N/A	1,148	952	57,084	74,424
2011-06-22	$12.75	$12.00	20.3%	5.8%	16.2%	23.7%	20.4%	0.7%	2.4%	190.2K	-22.3M	-240.8K	0.42	19.66	N/A	N/A	1,532	644	57,816	74,220
2011-06-23	$12.77	$12.00	21.5%	6.2%	16.2%	29.4%	22.9%	1.8%	2.1%	117.6K	-21.7M	-241.4K	1.88	23.52	N/A	N/A	1,600	3,008	58,720	74,456
2011-06-24	$12.43	$12.00	21.4%	6.1%	16.5%	28.9%	21.8%	5.6%	1.8%	-130.7K	-10.7M	-250.1K	0.88	16.69	N/A	N/A	972	852	58,656	76,876
2011-06-27	$12.51	$12.00	21.6%	6.2%	16.9%	30.2%	21.6%	6.2%	2.1%	-105.2K	-12.9M	-245.1K	1.29	17.40	N/A	N/A	192	248	58,972	77,500
2011-06-28	$12.88	$12.00	22.2%	6.4%	20.4%	32.8%	17.6%	0.7%	1.9%	174.4K	-25.2M	-236.1K	0.58	19.70	N/A	N/A	1,960	1,140	59,012	77,540
2011-06-29	$13.00	$12.00	21.5%	6.2%	19.6%	29.3%	21.7%	1.1%	2.8%	257.7K	-29.4M	-231.3K	0.34	20.33	N/A	N/A	3,444	1,172	59,708	78,060
2011-06-30	$13.13	$12.00	17.6%	5.1%	19.2%	10.8%	21.5%	2.4%	2.7%	344.3K	-34.0M	-229.2K	0.48	21.12	N/A	N/A	468	224	60,920	78,824