TJX Options History — February 2012

In February 2012, TJX traded between $17.02 and $18.48. ATM implied volatility averaged 21.6%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.8% (HV 20d: 12.8%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-02-27: Highest Volume — 16,740 contracts
  • 2012-02-22: Largest IV drop — 19.6% change
  • 2012-02-21: Highest IV Rank — 29.5%
  • 2012-02-21: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.49$17.02$18.48$17.07$18.30
Max Pain$17.00$16.25$17.50$16.25$17.50
ATM IV21.6%18.2%26.8%20.9%21.4%
Expected Move6.4%5.3%7.7%6.0%6.1%
HV 20d12.8%10.8%15.8%14.7%15.8%
HV 60d16.7%15.7%18.8%18.7%16.2%
IV Rank16.1%7.2%29.5%14.2%15.5%
IV Percentile30.1%1.2%66.3%21.8%27.4%
Term Structure-0.5%-3.5%3.9%2.9%0.5%
VWIV23.3%19.5%27.1%20.8%23.6%
Skew 25d4.3%2.8%5.8%3.4%3.1%
Skew 10d10.2%4.7%16.0%6.4%6.0%
Call IV 25d21.0%17.3%24.5%19.3%20.2%
Put IV 25d25.3%20.9%29.0%22.7%23.3%
Bid-Ask Spread %17.0611.6724.0318.8813.85
Gamma HHI0.330.170.690.350.20
Net GEX2.1M1.2M6.6M2.1M2.0M
Net DEX-46.4M-77.3M-14.1M-39.3M-71.6M
Net VEX-309.7K-349.2K-155.4K-318.5K-349.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.092.290.812.29
Total Volume7,226.11,76216,7409,9408,496
Total OI129,565.163,866147,668122,340147,668

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$17.07$16.2520.9%6.0%14.7%14.2%20.8%3.4%2.9%2.1M-39.3M-318.5K0.8118.88N/AN/A5,5004,44059,54462,796
2012-02-02$17.03$16.2519.3%5.5%14.5%10.2%19.5%2.8%3.9%2.1M-36.9M-321.8K1.5713.04N/AN/A4,4206,95262,13664,832
2012-02-03$17.27$16.8818.2%6.3%11.6%7.2%23.0%4.7%-1.0%1.2M-14.1M-155.4K0.2924.03N/AN/A2,93084629,36634,500
2012-02-06$17.16$16.8818.9%6.8%12.0%8.9%25.0%5.4%-1.0%2.2M-40.5M-323.1K1.1221.99N/AN/A1,7822,00063,91869,256
2012-02-07$17.30$16.8818.6%6.5%11.1%8.2%23.6%5.0%-1.0%2.3M-43.8M-316.6K0.4516.70N/AN/A1,81281461,37869,870
2012-02-08$17.21$16.8819.6%6.6%11.4%10.8%23.1%4.4%-1.0%2.2M-39.9M-322.1K0.1219.61N/AN/A1,82422261,70069,910
2012-02-09$17.29$16.8822.8%6.5%11.3%19.3%23.4%4.9%-0.9%2.5M-44.5M-299.0K0.2117.46N/AN/A2,64255462,27469,892
2012-02-10$17.18$16.8825.1%7.2%11.6%25.3%24.5%4.6%-1.3%2.0M-37.4M-324.8K1.4921.25N/AN/A1,2901,92661,02870,256
2012-02-13$17.20$16.8823.3%6.7%11.4%20.5%25.2%4.6%-1.6%2.1M-38.7M-307.3K0.3217.32N/AN/A2,74888860,83071,236
2012-02-14$17.25$16.8823.1%6.6%10.8%20.0%25.6%5.8%-1.6%2.3M-41.2M-299.7K0.3618.06N/AN/A5,7022,08061,78871,322
2012-02-15$17.02$16.8824.9%7.1%11.3%24.5%25.1%5.6%-1.8%1.2M-29.7M-328.6K0.0915.52N/AN/A5,86251462,14872,438
2012-02-16$17.11$16.8824.9%7.1%11.4%24.7%26.0%5.0%-1.6%1.7M-36.4M-319.1K1.1016.51N/AN/A84092265,84872,576
2012-02-17$17.43$16.8824.1%6.9%12.7%22.6%24.3%3.9%-2.3%6.6M-49.7M-307.1K0.5815.52N/AN/A5,3623,11066,06472,962
2012-02-21$17.61$16.8826.8%7.7%13.0%29.5%27.1%4.4%-3.5%1.4M-46.6M-304.3K0.3622.53N/AN/A11,6344,23456,15262,078
2012-02-22$17.57$17.5021.5%6.2%12.8%15.8%21.8%3.7%-0.3%1.7M-48.6M-314.6K0.7511.98N/AN/A8,0185,98861,99265,078
2012-02-23$17.96$17.5019.0%5.5%14.5%9.4%20.8%4.2%-0.2%1.7M-61.7M-307.4K0.5317.06N/AN/A8,6644,63063,49467,744
2012-02-24$17.98$17.5018.4%5.3%14.4%7.9%20.6%3.6%0.5%1.7M-60.2M-319.5K0.2014.02N/AN/A2,21244065,21270,442
2012-02-27$18.37$17.5021.7%6.2%15.2%16.3%21.9%2.8%0.3%1.5M-70.4M-313.0K0.3114.18N/AN/A12,7404,00065,07670,612
2012-02-28$18.48$17.5019.8%5.7%15.1%11.4%21.3%3.6%0.8%2.0M-77.3M-342.6K0.6211.67N/AN/A3,3762,10872,47673,410
2012-02-29$18.30$17.5021.4%6.1%15.8%15.5%23.6%3.1%0.5%2.0M-71.6M-349.2K2.2913.85N/AN/A2,5805,91673,19874,470