TJX Options History — November 2011

In November 2011, TJX traded between $14.69 and $15.43. ATM implied volatility averaged 29.6%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.8% (HV 20d: 25.7%). Max pain ranged from $14.38 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-11-07: Highest Volume — 92,960 contracts
  • 2011-11-10: Largest IV drop — 17.7% change
  • 2011-11-09: Highest IV Rank — 52.6%
  • 2011-11-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.02$14.69$15.43$14.84$15.43
Max Pain$14.79$14.38$15.00$14.38$15.00
ATM IV29.6%24.0%35.6%33.7%24.0%
Expected Move8.2%6.9%9.7%9.7%6.9%
HV 20d25.7%22.1%28.6%25.6%23.5%
HV 60d29.1%27.2%33.4%33.4%27.3%
IV Rank36.8%22.3%52.6%47.6%22.3%
IV Percentile77.0%55.2%94.0%92.5%55.2%
Term Structure-0.5%-3.4%1.5%-3.1%0.5%
VWIV30.3%25.2%36.8%36.7%25.9%
Skew 25d6.9%5.7%9.2%8.0%6.4%
Skew 10d15.9%11.6%20.2%17.9%13.5%
Call IV 25d26.1%23.0%32.1%32.1%23.0%
Put IV 25d33.0%29.4%40.1%40.1%29.4%
Bid-Ask Spread %20.8815.3625.9621.9919.53
Gamma HHI0.290.170.470.340.21
Net GEX1.8M825.1K3.2M1.4M1.6M
Net DEX-42.7M-55.5M-27.9M-41.6M-47.9M
Net VEX-264.6K-281.6K-255.3K-267.5K-260.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.015.431.080.85
Total Volume10,523.6191,55692,9602,65612,144
Total OI148,064.762135,320168,824138,072145,252

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$14.84$14.3833.7%9.7%25.6%47.6%36.7%8.0%-3.1%1.4M-41.6M-267.5K1.0821.99N/AN/A1,2761,38068,44469,628
2011-11-02$15.02$14.3833.3%9.6%25.3%46.6%36.8%7.6%-3.4%1.6M-46.9M-263.0K1.2518.81N/AN/A8201,02869,16870,416
2011-11-03$15.28$14.3832.0%9.2%24.9%43.2%31.0%6.3%-2.9%1.8M-55.5M-255.3K0.6215.36N/AN/A4,4082,73669,76871,044
2011-11-04$15.15$14.3832.1%8.4%25.3%43.5%32.6%7.6%-1.4%1.8M-51.6M-259.5K0.9921.25N/AN/A2,7122,69671,96472,092
2011-11-07$15.14$14.3833.7%8.3%22.1%47.4%33.2%7.8%-1.3%1.9M-51.4M-261.9K0.0122.92N/AN/A91,6241,33672,75273,720
2011-11-08$15.24$14.3833.4%8.1%22.2%46.7%33.9%7.0%-1.1%2.0M-51.5M-256.3K5.4325.34N/AN/A3722,02069,71274,568
2011-11-09$14.71$15.0035.6%8.6%25.7%52.6%34.6%9.2%-1.6%1.5M-32.4M-269.4K1.6325.88N/AN/A1,5442,51669,60875,900
2011-11-10$15.01$15.0029.3%8.4%26.5%36.2%30.2%7.5%-0.7%1.8M-43.5M-265.1K1.2822.51N/AN/A1,3481,72469,99276,556
2011-11-11$15.34$15.0026.7%7.7%27.4%29.4%29.8%7.4%-0.4%2.1M-55.0M-260.3K0.6922.45N/AN/A3,2122,20870,98477,624
2011-11-14$15.14$14.3830.7%8.8%27.6%39.9%30.0%7.5%-2.0%2.0M-49.2M-259.8K0.3825.96N/AN/A11,3484,36872,03678,684
2011-11-15$15.22$15.0027.9%8.0%27.6%32.4%26.5%6.9%0.3%2.9M-53.7M-256.5K0.3624.25N/AN/A14,2085,12078,97281,128
2011-11-16$15.10$15.0027.8%8.0%27.8%32.1%28.8%7.0%0.6%3.2M-51.4M-274.1K0.8017.77N/AN/A1,6361,31285,68483,140
2011-11-17$14.79$15.0028.6%8.2%28.6%34.2%31.1%7.0%-0.2%2.6M-34.5M-270.2K0.2820.89N/AN/A6,6881,85284,22483,660
2011-11-18$14.88$15.0027.0%7.7%27.6%30.2%27.9%5.8%0.6%3.2M-37.0M-268.0K0.9915.90N/AN/A2,1962,18084,31683,780
2011-11-21$14.78$15.0026.8%7.7%27.7%29.7%25.2%6.3%1.2%954.1K-28.8M-262.8K0.4120.71N/AN/A15,9166,58861,66873,652
2011-11-22$14.79$15.0026.2%7.5%27.3%28.0%26.9%6.4%1.4%1.2M-30.6M-281.6K0.6518.78N/AN/A1,50497267,93677,820
2011-11-23$14.70$15.0026.9%7.7%27.1%29.8%28.6%5.8%1.5%858.3K-29.4M-268.0K0.3920.62N/AN/A1,11644064,50477,868
2011-11-25$14.69$15.0030.1%8.6%23.2%38.3%30.8%6.5%0.2%825.1K-27.9M-273.6K0.4216.25N/AN/A1,36857664,80878,032
2011-11-28$14.97$15.0027.7%7.9%24.2%31.9%28.3%5.8%0.3%1.1M-36.7M-260.2K1.2821.44N/AN/A1,2441,58865,34478,360
2011-11-29$15.15$15.0027.0%7.7%22.9%30.0%27.6%5.7%0.9%1.3M-40.4M-264.3K0.3519.93N/AN/A1,24043265,62078,932
2011-11-30$15.43$15.0024.0%6.9%23.5%22.3%25.9%6.4%0.5%1.6M-47.9M-260.2K0.8519.53N/AN/A6,5765,56866,12079,132