TJX Options History — September 2011

In September 2011, TJX traded between $12.95 and $14.56. ATM implied volatility averaged 33.2%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.1% (HV 20d: 33.3%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2011-09-20: Highest Volume — 16,628 contracts
  • 2011-09-29: Largest IV spike — 17.2% change
  • 2011-09-30: Highest IV Rank — 64.5%
  • 2011-09-30: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.75$12.95$14.56$13.25$13.87
Max Pain$13.15$12.50$13.75$13.75$13.75
ATM IV33.2%27.6%40.2%30.9%40.2%
Expected Move9.3%7.9%11.5%8.8%11.5%
HV 20d33.3%29.7%43.4%43.2%30.9%
HV 60d31.0%29.4%32.7%29.6%32.4%
IV Rank46.3%31.8%64.5%40.1%64.5%
IV Percentile94.3%85.7%98.8%94.4%98.8%
Term Structure0.6%-2.7%4.3%-2.7%0.4%
VWIV33.2%27.3%40.0%29.1%36.3%
Skew 25d7.7%5.3%9.4%6.0%8.6%
Skew 10d16.7%11.0%25.1%11.3%22.9%
Call IV 25d29.7%25.3%36.4%28.6%36.4%
Put IV 25d37.3%31.7%45.1%34.6%45.1%
Bid-Ask Spread %22.5815.5236.9223.8120.57
Gamma HHI0.150.100.620.110.12
Net GEX401.8K-172.2K5.7M-69.1K-50.7K
Net DEX-19.8M-49.7M-1.7M-7.6M-17.1M
Net VEX-250.5K-266.0K-220.8K-261.9K-266.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.195.991.030.19
Total Volume5,756.95282016,62811,6324,796
Total OI145,095.619126,212153,472139,120153,472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$13.25$13.7530.9%8.8%43.2%40.1%29.1%6.0%-2.7%-69.1K-7.6M-261.9K1.0323.81N/AN/A5,7325,90062,00477,116
2011-09-02$13.07$13.7530.6%8.8%43.4%39.4%30.0%6.3%2.2%-172.2K-3.7M-252.2K0.5622.52N/AN/A8,1764,56461,50476,336
2011-09-06$13.02$12.5034.5%10.0%41.2%49.5%31.2%8.5%-2.2%-141.2K-1.7M-252.3K0.9517.12N/AN/A1,2721,20864,71278,976
2011-09-07$13.28$12.5032.2%8.2%38.1%43.7%31.8%7.5%-0.1%237.3K-11.8M-251.7K0.9116.70N/AN/A61255665,42077,488
2011-09-08$13.25$12.5031.4%8.1%33.6%41.5%31.7%7.1%0.4%151.1K-11.3M-248.7K1.2516.85N/AN/A36445665,56877,652
2011-09-09$12.95$12.5035.0%10.3%30.6%50.9%33.8%8.2%-2.2%-46.2K-3.1M-247.8K1.0016.16N/AN/A5,8645,84065,56477,412
2011-09-12$13.12$12.5037.4%10.5%30.5%57.3%37.5%8.3%-1.9%95.8K-7.5M-258.8K0.7215.52N/AN/A1,26090469,40481,888
2011-09-13$13.17$12.5035.7%8.8%30.5%52.7%32.3%7.7%-0.2%6.1K-7.4M-253.1K0.3017.40N/AN/A1,13234067,20082,124
2011-09-14$13.38$12.5031.8%8.3%29.7%42.5%32.0%7.5%1.3%117.6K-14.5M-245.1K0.9419.41N/AN/A1,2881,21267,40482,212
2011-09-15$13.89$12.5029.2%8.4%32.7%35.8%31.2%7.9%1.4%361.0K-32.5M-241.4K1.7621.51N/AN/A1,9283,38867,30882,592
2011-09-16$14.31$12.5029.9%8.6%32.0%37.7%27.3%6.3%1.3%5.7M-49.7M-220.8K0.6527.86N/AN/A3,4682,24868,22083,808
2011-09-19$14.34$12.5030.9%8.9%32.0%40.3%32.5%6.9%-0.0%431.1K-31.6M-232.5K3.5224.47N/AN/A1,3444,72850,51675,696
2011-09-20$14.56$13.7527.6%7.9%32.2%31.8%27.9%5.3%3.9%333.7K-34.9M-238.5K0.4527.76N/AN/A11,4965,13251,27279,904
2011-09-21$14.12$13.7532.0%9.2%31.8%43.1%28.7%7.1%0.1%200.9K-25.5M-248.8K2.4127.39N/AN/A1,2803,08460,92483,320
2011-09-22$13.89$13.7536.4%10.4%32.3%54.6%37.3%8.4%1.3%48.0K-18.9M-265.8K2.6427.67N/AN/A2,4366,42061,41283,168
2011-09-23$14.14$13.7537.3%10.7%30.2%57.0%37.3%8.1%-1.0%224.3K-25.1M-261.7K1.6922.05N/AN/A1,3082,21261,62083,884
2011-09-26$14.47$13.7533.2%9.5%30.7%46.2%36.4%8.9%3.2%316.5K-31.6M-250.0K0.8021.61N/AN/A2,7602,21261,58885,424
2011-09-27$14.44$13.7531.2%8.9%30.7%41.0%33.0%8.3%4.3%305.7K-31.0M-246.4K0.3736.92N/AN/A2,8881,06462,81687,276
2011-09-28$14.39$13.7532.4%9.3%30.7%44.3%40.0%8.3%3.6%327.7K-29.7M-255.7K5.9930.76N/AN/A4042,42064,21687,772
2011-09-29$13.92$13.7538.0%10.9%33.0%58.8%38.8%9.4%0.2%82.8K-18.8M-260.5K1.3020.11N/AN/A3,1244,07664,18086,636
2011-09-30$13.87$13.7540.2%11.5%30.9%64.5%36.3%8.6%0.4%-50.7K-17.1M-266.0K0.1920.57N/AN/A4,03676064,89288,580