TJX Options History — January 2012 In January 2012, TJX traded between $15.93 and $17.04. ATM implied volatility averaged 20.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.3% (HV 20d: 18.1%). Max pain ranged from $13.75 to $16.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.90.
Notable Days 2012-01-05 : Highest Volume — 24,144 contracts2012-01-05 : Largest IV drop — 25.5% change2012-01-04 : Highest IV Rank — 24.3%2012-01-04 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.59 $15.93 $17.04 $15.93 $17.04 Max Pain $15.88 $13.75 $16.25 $13.75 $16.25 ATM IV 20.5% 18.4% 24.8% 23.4% 19.3% Expected Move 6.0% 5.3% 7.1% 6.7% 5.5% HV 20d 18.1% 15.8% 20.0% 18.1% 15.8% HV 60d 21.0% 19.0% 22.1% 22.0% 19.0% IV Rank 13.1% 7.9% 24.3% 20.9% 10.0% IV Percentile 19.7% 2.8% 61.1% 48.8% 8.7% Term Structure 2.5% -0.7% 3.8% 1.8% 3.8% VWIV 21.5% 19.1% 25.2% 23.0% 20.6% Skew 25d 4.1% 2.9% 5.0% 4.1% 3.0% Skew 10d 10.4% 7.5% 12.5% 9.5% 10.5% Call IV 25d 19.6% 17.7% 24.2% 21.7% 17.7% Put IV 25d 23.7% 20.7% 28.1% 25.7% 20.7% Bid-Ask Spread % 16.03 10.19 22.87 13.48 15.71 Gamma HHI 0.29 0.19 0.43 0.20 0.35 Net GEX 2.1M 1.3M 3.4M 1.9M 2.2M Net DEX -68.2M -101.3M -26.5M -64.1M -38.4M Net VEX -281.7K -310.7K -260.3K -260.3K -310.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.17 2.11 0.87 1.18 Total Volume 7,786.8 1,868 24,144 4,936 4,032 Total OI 166,729.2 101,972 213,440 169,132 120,480
Daily Data (20 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 2012-01-03 $15.93 $13.75 23.4% 6.7% 18.1% 20.9% 23.0% 4.1% 1.8% 1.9M -64.1M -260.3K 0.87 13.48 N/A N/A 2,636 2,300 78,624 90,508 2012-01-04 $16.11 $13.75 24.8% 7.1% 17.4% 24.3% 25.2% 3.9% -0.7% 1.8M -69.3M -267.6K 0.83 14.16 N/A N/A 11,804 9,776 80,180 92,000 2012-01-05 $16.58 $13.75 18.4% 5.3% 20.0% 7.9% 20.6% 3.1% 2.5% 2.4M -94.0M -270.9K 0.45 11.67 N/A N/A 16,684 7,460 88,732 97,868 2012-01-06 $16.61 $16.25 19.5% 6.1% 19.7% 10.6% 20.9% 4.6% 1.9% 2.2M -93.5M -278.2K 0.17 12.11 N/A N/A 7,964 1,388 90,952 101,328 2012-01-09 $16.43 $16.25 21.0% 6.5% 19.7% 14.6% 21.9% 5.0% 1.8% 2.3M -85.7M -277.0K 0.49 22.87 N/A N/A 7,264 3,572 92,896 99,480 2012-01-10 $16.39 $16.25 21.0% 6.4% 19.3% 14.5% 22.6% 4.3% 1.8% 2.5M -86.0M -276.1K 1.27 20.67 N/A N/A 2,028 2,580 95,344 101,776 2012-01-11 $16.39 $16.25 20.0% 6.4% 19.1% 11.8% 24.1% 5.0% 2.0% 2.4M -84.0M -275.0K 1.55 21.26 N/A N/A 732 1,136 95,168 103,436 2012-01-12 $16.33 $16.25 22.1% 6.3% 19.0% 17.5% 22.6% 4.8% 1.6% 2.2M -84.1M -268.8K 1.00 18.02 N/A N/A 3,956 3,948 95,148 103,828 2012-01-13 $16.29 $16.25 22.1% 6.3% 18.9% 17.3% 22.3% 5.0% 1.9% 2.2M -79.5M -285.6K 2.11 17.47 N/A N/A 756 1,596 97,652 106,996 2012-01-17 $16.50 $16.25 22.6% 6.5% 19.2% 18.8% 22.8% 4.9% 1.8% 2.4M -90.2M -277.0K 0.36 16.77 N/A N/A 3,676 1,340 97,764 107,948 2012-01-18 $16.71 $16.25 20.7% 5.9% 19.4% 13.8% 21.1% 5.0% 2.2% 3.0M -99.8M -275.3K 0.38 18.31 N/A N/A 9,388 3,612 98,440 108,764 2012-01-19 $16.73 $16.25 19.8% 5.7% 18.8% 11.3% 19.6% 5.0% 3.1% 3.4M -101.3M -279.6K 0.24 19.69 N/A N/A 6,496 1,568 100,680 110,332 2012-01-20 $16.64 $16.25 19.0% 5.4% 17.3% 9.3% 20.6% 4.5% 3.2% 1.8M -98.1M -281.3K 0.27 10.19 N/A N/A 5,616 1,532 101,720 111,720 2012-01-23 $16.65 $16.25 19.4% 5.6% 17.2% 10.3% 21.8% 4.6% 3.5% 1.3M -26.5M -279.2K 1.66 13.06 N/A N/A 3,428 5,684 50,816 51,156 2012-01-24 $16.82 $16.25 19.0% 5.5% 17.1% 9.4% 20.0% 3.3% 3.5% 1.6M -31.5M -289.7K 1.54 12.87 N/A N/A 1,424 2,192 52,716 55,276 2012-01-25 $16.99 $16.25 18.8% 5.4% 16.6% 8.9% 20.1% 3.2% 3.7% 1.8M -36.1M -289.9K 0.72 17.82 N/A N/A 1,916 1,384 53,352 56,652 2012-01-26 $16.99 $16.25 19.2% 5.5% 16.6% 10.0% 20.2% 3.2% 3.6% 1.8M -36.9M -288.4K 0.49 16.70 N/A N/A 3,076 1,520 54,316 57,572 2012-01-27 $16.84 $16.25 19.2% 5.5% 16.6% 9.9% 19.1% 2.9% 3.6% 1.7M -32.7M -300.6K 1.13 16.81 N/A N/A 3,032 3,416 56,012 58,408 2012-01-30 $16.86 $16.25 19.8% 5.7% 16.5% 11.4% 21.1% 3.0% 3.4% 1.8M -32.8M -303.6K 1.19 10.98 N/A N/A 1,744 2,080 57,744 60,800 2012-01-31 $17.04 $16.25 19.3% 5.5% 15.8% 10.0% 20.6% 3.0% 3.8% 2.2M -38.4M -310.7K 1.18 15.71 N/A N/A 1,852 2,180 58,804 61,676
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