TJX Options History — October 2011

In October 2011, TJX traded between $13.50 and $15.20. ATM implied volatility averaged 32.5%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.4% (HV 20d: 30.1%). Max pain ranged from $13.75 to $14.38. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-10-06: Highest Volume — 32,320 contracts
  • 2011-10-13: Largest IV spike — 24.9% change
  • 2011-10-03: Highest IV Rank — 69.9%
  • 2011-10-03: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.46$13.50$15.20$13.50$14.73
Max Pain$13.84$13.75$14.38$13.75$14.38
ATM IV32.5%26.8%42.3%42.3%30.8%
Expected Move9.7%8.1%12.1%12.1%8.8%
HV 20d30.1%26.3%34.2%32.2%26.8%
HV 60d34.0%32.8%34.4%32.8%34.4%
IV Rank44.5%29.7%69.9%69.9%40.0%
IV Percentile87.4%75.8%99.2%99.2%82.9%
Term Structure-1.4%-3.2%2.6%-0.5%-2.9%
VWIV34.2%28.4%41.2%39.9%32.5%
Skew 25d8.1%6.5%9.4%9.4%7.7%
Skew 10d18.3%14.7%22.1%20.9%14.7%
Call IV 25d30.4%25.1%39.2%39.2%28.8%
Put IV 25d38.5%31.9%48.7%48.7%36.5%
Bid-Ask Spread %18.9211.7627.8118.9619.84
Gamma HHI0.290.120.770.120.35
Net GEX1.4M-232.0K7.6M-232.0K1.4M
Net DEX-38.5M-59.4M-8.2M-8.2M-39.4M
Net VEX-251.9K-264.3K-238.4K-263.4K-257.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.051.510.361.51
Total Volume6,3921,30432,3202,8482,804
Total OI156,238.476126,200179,140155,676136,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$13.50$13.7542.3%12.1%32.2%69.9%39.9%9.4%-0.5%-232.0K-8.2M-263.4K0.3618.96N/AN/A2,08876066,65289,024
2011-10-04$13.86$13.7540.2%11.5%33.3%64.4%41.0%8.9%0.6%-7.6K-17.4M-251.2K0.4027.81N/AN/A1,82872466,20488,864
2011-10-05$14.10$13.7539.0%11.2%33.1%61.3%41.1%7.3%-0.7%289.4K-24.5M-251.7K1.1327.16N/AN/A4,2044,76066,76889,464
2011-10-06$13.90$13.7536.1%10.3%33.6%53.7%37.7%7.6%2.6%76.9K-18.5M-247.9K0.9026.63N/AN/A17,03615,28467,01288,764
2011-10-07$13.93$13.7534.6%11.0%32.3%49.9%41.2%9.1%-2.5%670.2K-26.6M-264.3K0.5915.60N/AN/A82048479,53284,424
2011-10-10$14.45$13.7528.6%10.2%34.2%34.3%34.1%8.8%-2.8%1.3M-43.3M-250.3K0.7316.76N/AN/A2,6881,95279,60484,032
2011-10-11$14.52$13.7528.2%10.1%34.2%33.2%36.1%8.9%-3.2%1.3M-44.1M-253.6K1.1111.76N/AN/A1,1641,28879,76485,216
2011-10-12$14.43$13.7526.8%9.8%34.2%29.7%32.7%7.9%-3.0%1.2M-41.3M-249.8K0.1312.68N/AN/A9,1161,17279,86085,724
2011-10-13$14.38$13.7533.5%9.6%31.8%47.0%34.0%7.9%-0.1%1.4M-41.9M-253.7K1.4712.85N/AN/A1,1281,65684,31686,052
2011-10-14$14.43$13.7532.5%9.3%30.0%44.5%35.4%8.3%-3.2%1.6M-42.7M-245.8K1.0418.66N/AN/A2,2322,32883,40485,588
2011-10-17$14.29$13.7533.3%9.5%30.2%46.5%33.0%8.6%0.4%1.3M-38.1M-243.6K0.0517.82N/AN/A4,59624883,44886,804
2011-10-18$14.37$13.7532.5%9.3%29.8%44.5%33.6%8.3%-1.8%1.3M-40.8M-238.4K0.6817.03N/AN/A1,27286083,58486,836
2011-10-19$14.46$13.7533.3%9.6%27.7%46.6%33.0%8.2%-2.2%1.5M-43.3M-242.7K1.2818.39N/AN/A1,3681,74884,56487,404
2011-10-20$14.64$13.7533.6%9.6%27.1%47.2%31.8%7.9%-2.4%1.4M-48.6M-241.2K0.5520.70N/AN/A7,7364,22884,92888,324
2011-10-21$14.96$13.7530.1%8.6%27.4%38.3%31.6%8.4%-1.3%7.6M-59.4M-249.8K0.2818.09N/AN/A6,0881,73288,43290,708
2011-10-24$14.99$13.7529.7%8.5%26.3%37.1%29.8%7.7%-1.6%1.6M-46.4M-251.9K0.8516.51N/AN/A1,9841,68864,14462,056
2011-10-25$14.78$13.7529.9%8.6%26.9%37.8%31.7%8.5%-1.3%1.5M-41.4M-259.3K1.3218.96N/AN/A7721,01665,28063,308
2011-10-26$14.63$13.7531.5%9.0%27.1%41.7%30.7%7.8%-1.2%1.5M-37.1M-260.8K0.7619.44N/AN/A8,6726,56065,64463,436
2011-10-27$15.20$14.3828.6%8.2%27.1%34.2%28.4%6.5%-1.4%2.0M-56.5M-261.1K0.4920.36N/AN/A3,4841,72471,59668,356
2011-10-28$15.09$14.3828.1%8.1%27.2%33.0%29.2%6.9%-1.9%1.7M-49.0M-252.2K0.6621.31N/AN/A1,7681,17266,68468,428
2011-10-31$14.73$14.3830.8%8.8%26.8%40.0%32.5%7.7%-2.9%1.4M-39.4M-257.4K1.5119.84N/AN/A1,1161,68867,66869,108