TJX Options History — December 2011

In December 2011, TJX traded between $15.38 and $16.34. ATM implied volatility averaged 21.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.5% (HV 20d: 19.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2011-12-30: Highest Volume — 13,396 contracts
  • 2011-12-09: Largest IV drop — 13.3% change
  • 2011-12-08: Highest IV Rank — 27.0%
  • 2011-12-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$15.38$16.34$15.64$16.14
Max Pain$13.27$12.50$15.00$15.00$13.75
ATM IV21.8%18.1%25.8%23.4%20.5%
Expected Move6.3%5.2%7.4%6.7%5.9%
HV 20d19.3%15.9%23.8%23.6%17.5%
HV 60d24.9%22.0%27.2%27.2%22.0%
IV Rank16.6%7.1%27.0%20.8%13.2%
IV Percentile33.0%1.2%64.3%49.6%20.6%
Term Structure2.7%1.1%4.0%1.2%2.5%
VWIV23.4%19.1%28.7%25.1%22.3%
Skew 25d5.8%4.1%7.4%5.3%5.3%
Skew 10d13.8%9.3%17.6%9.3%11.9%
Call IV 25d20.1%17.0%23.1%21.6%19.4%
Put IV 25d25.9%21.2%30.5%26.9%24.8%
Bid-Ask Spread %17.449.0522.5219.069.05
Gamma HHI0.240.200.420.230.20
Net GEX1.8M1.2M3.4M1.8M1.7M
Net DEX-59.0M-75.3M-40.9M-55.0M-69.0M
Net VEX-238.0K-261.5K-216.7K-261.5K-242.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.313.081.050.77
Total Volume4,465.33386013,39612,70813,396
Total OI152,232.762140,040161,144150,252161,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$15.64$15.0023.4%6.7%23.6%20.8%25.1%5.3%1.2%1.8M-55.0M-261.5K1.0519.06N/AN/A6,2086,50068,38081,872
2011-12-02$15.56$15.0023.2%6.6%23.1%20.2%24.5%4.7%1.1%1.6M-52.2M-257.1K0.5813.26N/AN/A1,30076067,57283,672
2011-12-05$15.86$12.5024.2%7.0%23.7%22.8%27.0%6.9%2.6%1.7M-59.6M-251.8K1.4419.45N/AN/A1,1121,60467,53283,440
2011-12-06$15.88$12.5024.1%7.1%23.6%22.6%26.0%6.0%2.6%1.9M-63.7M-226.2K1.0917.30N/AN/A1,2721,39267,41283,696
2011-12-07$15.76$12.5024.8%7.2%23.8%24.4%25.6%7.2%2.3%1.6M-56.6M-247.0K0.7416.62N/AN/A1,4401,06067,68884,388
2011-12-08$15.59$12.5025.8%7.4%20.2%27.0%26.6%7.4%2.4%1.7M-54.2M-238.4K1.4820.55N/AN/A9481,40068,25284,428
2011-12-09$15.81$12.5022.4%7.0%19.6%18.1%25.1%6.4%2.9%2.0M-60.7M-242.6K0.5022.20N/AN/A61230468,76084,764
2011-12-12$15.72$12.5023.2%6.9%18.5%20.3%28.7%7.1%2.9%2.1M-56.7M-239.8K1.4722.52N/AN/A1,1521,68868,82884,852
2011-12-13$15.63$12.5022.9%6.7%18.0%19.5%23.0%6.5%3.7%2.1M-55.4M-232.9K1.0220.37N/AN/A2,5642,62469,36484,512
2011-12-14$15.54$13.1321.9%6.9%18.1%16.9%26.3%6.7%3.5%2.1M-51.0M-254.9K0.8420.67N/AN/A46839271,10886,744
2011-12-15$15.57$13.1323.0%6.6%17.8%19.6%25.1%7.1%3.4%2.8M-52.9M-244.4K0.9620.22N/AN/A62860071,19286,708
2011-12-16$15.54$13.1322.0%6.3%15.9%17.2%22.0%6.1%4.0%3.4M-51.6M-236.0K0.6621.77N/AN/A2,1281,40471,25287,020
2011-12-19$15.38$13.1320.7%5.9%16.4%13.6%22.2%6.2%3.0%1.2M-40.9M-240.2K1.1717.90N/AN/A2,3842,79662,40077,640
2011-12-20$15.78$13.1320.4%5.9%18.1%13.1%20.9%5.0%3.0%1.5M-53.1M-230.2K1.2119.26N/AN/A2,1442,58863,10478,780
2011-12-21$15.88$13.1320.4%5.9%18.1%13.0%21.2%5.8%2.5%1.5M-56.4M-232.8K3.0818.94N/AN/A8002,46064,43680,636
2011-12-22$16.06$13.7518.1%5.2%17.9%7.1%20.9%4.5%3.1%1.5M-62.4M-221.8K0.4912.08N/AN/A2,7841,36065,06482,424
2011-12-23$16.33$13.7518.7%5.4%18.3%8.5%19.1%4.2%2.7%1.6M-70.0M-216.7K0.3116.12N/AN/A4,7321,45266,68882,680
2011-12-27$16.34$13.7518.9%5.4%17.6%9.2%19.8%4.7%2.6%1.6M-72.1M-219.0K1.0815.38N/AN/A2,9043,12468,56483,512
2011-12-28$16.21$13.7519.5%5.6%17.9%10.7%21.0%4.1%2.1%1.5M-69.4M-226.1K0.5113.46N/AN/A5,5602,83670,08485,992
2011-12-29$16.34$13.7519.4%5.6%17.2%10.3%19.2%4.4%2.6%1.7M-75.3M-237.2K0.5010.17N/AN/A1,92496873,67686,628
2011-12-30$16.14$13.7520.5%5.9%17.5%13.2%22.3%5.3%2.5%1.7M-69.0M-242.5K0.779.05N/AN/A7,5645,83274,34086,804