TJX Options History — August 2011

In August 2011, TJX traded between $12.68 and $13.92. ATM implied volatility averaged 33.8%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 1.1% (HV 20d: 34.9%). Max pain ranged from $13.13 to $13.75. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.43.

Notable Days

2011-08-05: Highest Volume — 18,700 contracts
2011-08-08: Largest IV spike — 41.2% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-04: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.42	$12.68	$13.92	$13.69	$13.65
Max Pain	$13.26	$13.13	$13.75	$13.75	$13.13
ATM IV	33.8%	26.3%	53.9%	30.6%	30.2%
Expected Move	9.2%	7.5%	11.8%	8.8%	8.7%
HV 20d	34.9%	16.4%	44.2%	16.4%	42.8%
HV 60d	25.7%	19.7%	29.0%	19.7%	28.9%
IV Rank	57.9%	28.4%	100.0%	89.4%	38.5%
IV Percentile	96.6%	89.3%	100.0%	99.6%	93.7%
Term Structure	-2.5%	-9.3%	0.1%	-4.3%	-1.3%
VWIV	32.4%	26.8%	39.8%	30.3%	30.4%
Skew 25d	6.2%	3.1%	8.5%	6.0%	6.2%
Skew 10d	14.8%	4.3%	20.8%	9.9%	20.0%
Call IV 25d	29.9%	24.9%	37.1%	29.1%	28.7%
Put IV 25d	36.1%	30.1%	43.1%	35.1%	34.9%
Bid-Ask Spread %	23.95	16.12	37.56	32.21	24.27
Gamma HHI	0.22	0.11	0.44	0.40	0.18
Net GEX	-813.7K	-2.3M	923.5K	-2.3M	780.1K
Net DEX	-3.4M	-28.7M	25.5M	1.9M	-23.3M
Net VEX	-266.2K	-290.1K	-248.7K	-288.2K	-255.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.13	7.53	0.98	2.82
Total Volume	6,814.957	1,764	18,700	4,220	11,192
Total OI	140,923.478	119,360	153,776	148,404	131,940

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
2011-08-01	$13.69	$13.75	30.6%	8.8%	16.4%	89.4%	30.3%	6.0%	-4.3%	-2.3M	1.9M	-288.2K	0.98	32.21	N/A	N/A	2,128	2,092	48,408	99,996
2011-08-02	$13.28	$13.75	32.8%	9.4%	19.4%	100.0%	33.5%	3.1%	-3.5%	-2.1M	17.1M	-287.8K	0.48	35.70	N/A	N/A	2,848	1,372	48,720	100,772
2011-08-03	$13.41	$13.75	33.0%	9.5%	19.7%	100.0%	33.9%	8.5%	-4.4%	-2.1M	12.0M	-287.4K	0.76	24.34	N/A	N/A	1,960	1,484	50,188	101,296
2011-08-04	$13.06	$13.75	41.2%	11.8%	20.0%	100.0%	39.8%	5.4%	-9.3%	-1.9M	24.2M	-287.1K	1.38	27.83	N/A	N/A	2,948	4,060	50,140	101,560
2011-08-05	$13.18	$13.75	36.0%	9.1%	20.3%	79.9%	32.8%	6.0%	-2.8%	-2.1M	22.6M	-290.1K	3.48	16.12	N/A	N/A	4,176	14,524	50,368	103,376
2011-08-08	$12.69	$13.13	50.9%	11.1%	23.5%	100.0%	39.2%	5.3%	-3.4%	-1.3M	25.5M	-283.4K	7.53	17.51	N/A	N/A	1,812	13,636	52,812	97,000
2011-08-09	$13.31	$13.13	39.6%	9.7%	29.9%	68.3%	36.9%	4.9%	-3.9%	-1.1M	3.3M	-271.9K	2.00	37.56	N/A	N/A	1,724	3,444	52,632	88,520
2011-08-10	$12.68	$13.13	53.9%	11.2%	34.1%	100.0%	37.7%	7.5%	-3.9%	-1.0M	18.2M	-273.3K	3.55	17.56	N/A	N/A	656	2,332	52,628	89,276
2011-08-11	$13.27	$13.13	33.2%	9.5%	38.4%	46.3%	33.9%	5.1%	-1.1%	-1.2M	2.7M	-267.5K	0.51	21.27	N/A	N/A	4,060	2,072	52,520	88,088
2011-08-12	$13.47	$13.13	31.9%	9.1%	38.9%	42.9%	32.9%	7.0%	-2.7%	-1.3M	-3.8M	-262.4K	1.21	25.66	N/A	N/A	3,940	4,780	54,516	87,656
2011-08-15	$13.41	$13.13	31.8%	9.1%	38.9%	42.7%	31.9%	5.7%	-3.9%	-1.2M	-2.6M	-261.4K	0.33	19.87	N/A	N/A	6,332	2,084	57,696	90,072
2011-08-16	$13.73	$13.13	27.7%	7.9%	39.4%	32.0%	27.8%	5.1%	-1.0%	-2.1M	-17.3M	-249.8K	0.25	20.35	N/A	N/A	10,752	2,676	58,260	91,748
2011-08-17	$13.63	$13.13	26.3%	7.5%	39.5%	28.4%	28.4%	5.2%	0.1%	-2.3M	-12.3M	-250.6K	0.71	19.60	N/A	N/A	3,848	2,744	61,420	90,948
2011-08-18	$13.22	$13.13	33.7%	9.7%	40.6%	47.6%	33.5%	7.5%	-2.9%	-1.1M	8.2M	-262.4K	0.88	24.42	N/A	N/A	1,764	1,544	61,116	91,296
2011-08-19	$13.21	$13.13	32.8%	9.4%	40.7%	45.2%	33.9%	6.8%	-3.2%	-250.6K	10.3M	-255.2K	1.01	20.72	N/A	N/A	1,208	1,216	61,440	92,336
2011-08-22	$13.27	$13.13	32.9%	9.4%	40.4%	45.5%	33.2%	7.0%	-3.4%	70.2K	-14.2M	-248.7K	1.12	21.65	N/A	N/A	832	932	52,156	67,204
2011-08-23	$13.79	$13.13	29.5%	8.5%	42.7%	36.6%	27.7%	6.4%	-0.2%	349.1K	-24.7M	-251.9K	0.41	20.81	N/A	N/A	3,936	1,616	52,416	67,748
2011-08-24	$13.92	$13.13	29.1%	8.4%	42.1%	35.7%	26.8%	7.1%	-0.2%	536.3K	-28.7M	-251.7K	0.24	22.14	N/A	N/A	4,400	1,076	54,800	68,984
2011-08-25	$13.45	$13.13	32.3%	9.3%	43.8%	43.9%	31.1%	7.7%	-1.4%	396.4K	-18.3M	-265.5K	0.24	20.52	N/A	N/A	6,188	1,508	57,784	69,408
2011-08-26	$13.67	$13.13	30.6%	8.8%	44.2%	39.5%	31.4%	7.5%	-0.6%	772.7K	-24.0M	-267.6K	1.20	26.87	N/A	N/A	3,236	3,868	61,640	69,348
2011-08-29	$13.80	$13.13	29.3%	8.4%	44.2%	36.2%	28.1%	5.9%	-0.6%	923.5K	-27.6M	-252.9K	0.13	28.12	N/A	N/A	4,732	596	60,444	69,860
2011-08-30	$13.77	$13.13	28.4%	8.1%	42.8%	33.7%	30.6%	4.8%	0.0%	898.5K	-26.8M	-250.9K	1.59	25.81	N/A	N/A	932	1,484	60,516	70,188
2011-08-31	$13.65	$13.13	30.2%	8.7%	42.8%	38.5%	30.4%	6.2%	-1.3%	780.1K	-23.3M	-255.1K	2.82	24.27	N/A	N/A	2,932	8,260	61,036	70,904