TJX Options History — July 2011

In July 2011, TJX traded between $13.29 and $14.08. ATM implied volatility averaged 23.7%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.8% (HV 20d: 17.9%). Max pain ranged from $12.00 to $13.75. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.90.

Notable Days

  • 2011-07-13: Highest Volume — 24,004 contracts
  • 2011-07-11: Largest IV spike — 24.4% change
  • 2011-07-29: Highest IV Rank — 83.4%
  • 2011-07-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.79$13.29$14.08$13.29$13.82
Max Pain$13.22$12.00$13.75$12.00$13.75
ATM IV23.7%18.4%29.6%18.4%29.6%
Expected Move6.9%5.3%8.5%5.3%8.5%
HV 20d17.9%16.1%19.5%19.4%16.2%
HV 60d18.6%17.9%19.5%18.0%19.5%
IV Rank48.2%14.4%83.4%14.4%83.4%
IV Percentile59.4%1.2%98.4%1.2%98.4%
Term Structure-1.2%-3.2%1.2%1.2%-3.2%
VWIV24.4%18.0%30.0%18.0%30.0%
Skew 25d4.7%3.3%7.3%3.3%3.9%
Skew 10d9.0%6.1%15.0%6.1%8.2%
Call IV 25d22.4%16.4%28.1%16.6%28.1%
Put IV 25d27.1%19.9%32.0%19.9%32.0%
Bid-Ask Spread %26.3214.8231.8814.8229.40
Gamma HHI0.440.380.520.390.40
Net GEX-518.8K-2.2M1.6M538.2K-2.2M
Net DEX-27.0M-53.9M-279.8K-38.4M-3.7M
Net VEX-251.9K-292.3K-206.3K-221.6K-292.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.2011.281.311.12
Total Volume5,272.41,05624,0047,0401,464
Total OI147,104.8132,912179,952139,920148,232

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$13.29$12.0018.4%5.3%19.4%14.4%18.0%3.3%1.2%538.2K-38.4M-221.6K1.3114.82N/AN/A3,0483,99261,01278,908
2011-07-05$13.43$12.5021.3%5.8%18.7%28.3%24.1%7.3%0.7%830.1K-42.9M-209.3K0.2324.30N/AN/A4,05692061,79279,100
2011-07-06$13.45$12.5020.5%6.2%18.7%30.2%21.4%4.0%-0.3%886.0K-44.1M-210.7K2.0925.93N/AN/A2,2404,68462,96879,796
2011-07-07$13.75$12.5018.9%6.3%19.5%20.3%22.1%4.8%-0.6%1.0M-53.0M-206.3K0.3731.88N/AN/A4,1041,51264,33684,480
2011-07-08$13.79$12.5019.1%6.4%19.5%21.8%22.5%4.9%-0.5%1.0M-53.9M-213.0K0.2030.92N/AN/A2,08442465,07285,572
2011-07-11$13.86$12.5023.8%6.8%17.4%49.2%24.0%4.0%-0.9%1.0M-53.8M-210.6K0.5827.36N/AN/A3,1721,84063,91285,888
2011-07-12$13.80$12.5022.3%6.9%17.7%40.7%24.2%3.6%-1.1%1.2M-52.8M-215.7K0.3727.67N/AN/A87232065,39287,244
2011-07-13$13.82$12.5021.9%6.9%17.7%38.4%24.1%4.8%-0.8%1.5M-53.1M-215.9K6.8228.32N/AN/A3,06820,93665,69287,520
2011-07-14$13.77$13.7524.3%7.0%17.8%52.3%26.3%4.3%-0.8%735.1K-37.6M-257.5K1.0529.18N/AN/A3,2163,38866,564108,024
2011-07-15$13.81$13.7523.7%6.8%17.8%48.7%23.7%4.7%-0.3%1.6M-45.1M-262.3K11.2828.95N/AN/A1,00811,37269,020110,932
2011-07-18$13.77$13.7524.4%7.0%18.0%52.9%24.6%4.3%-0.7%-2.0M-2.7M-282.4K2.5727.02N/AN/A4041,04042,17690,736
2011-07-19$14.01$13.7524.2%6.9%18.5%51.9%23.0%4.8%-1.0%-2.0M-10.2M-272.1K0.6127.97N/AN/A93656842,38891,652
2011-07-20$13.98$13.7524.3%7.0%18.4%52.7%24.4%5.6%-1.0%-2.0M-9.4M-271.8K2.4724.98N/AN/A1,0122,50442,79692,000
2011-07-21$14.08$13.7524.8%7.1%18.2%55.1%24.5%5.4%-3.0%-2.0M-12.1M-270.7K1.3721.19N/AN/A2,7563,77643,39694,320
2011-07-22$14.05$13.7524.7%7.1%18.4%55.0%24.7%4.5%-1.2%-2.1M-10.2M-283.3K0.4820.96N/AN/A71234445,53296,752
2011-07-25$13.83$13.7525.7%7.4%16.1%60.6%25.7%4.8%-1.9%-2.2M-3.4M-285.6K1.0128.42N/AN/A90891646,10897,044
2011-07-26$14.02$13.7526.7%7.6%16.3%66.4%26.8%6.0%-2.3%-2.1M-9.3M-279.6K0.5127.03N/AN/A3,4441,74846,12897,656
2011-07-27$13.71$13.7527.3%7.8%16.5%69.8%27.3%3.8%-2.6%-2.1M-279.8K-290.3K0.4924.47N/AN/A1,48472448,15297,480
2011-07-28$13.80$13.7527.6%7.9%16.4%72.0%27.6%5.1%-2.6%-2.1M-3.6M-286.6K3.1525.71N/AN/A1,0723,38048,50097,824
2011-07-29$13.82$13.7529.6%8.5%16.2%83.4%30.0%3.9%-3.2%-2.2M-3.7M-292.3K1.1229.40N/AN/A69277248,52899,704