TJX Options History — March 2012

In March 2012, TJX traded between $18.41 and $19.86. ATM implied volatility averaged 20.2%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.6% (HV 20d: 15.6%). Max pain ranged from $16.88 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2012-03-01: Highest Volume — 16,390 contracts
2012-03-29: Largest IV spike — 11.7% change
2012-03-06: Highest IV Rank — 19.4%
2012-03-06: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.14	$18.41	$19.86	$18.55	$19.86
Max Pain	$17.39	$16.88	$17.50	$17.50	$17.50
ATM IV	20.2%	18.4%	22.9%	20.2%	18.9%
Expected Move	6.0%	5.3%	6.8%	5.8%	5.4%
HV 20d	15.6%	13.5%	17.2%	16.1%	13.9%
HV 60d	15.5%	14.6%	16.3%	16.2%	14.6%
IV Rank	12.4%	7.7%	19.4%	12.4%	9.1%
IV Percentile	18.2%	1.6%	42.1%	17.9%	6.3%
Term Structure	1.0%	-0.4%	3.7%	1.4%	1.8%
VWIV	21.6%	20.0%	24.3%	20.4%	21.5%
Skew 25d	5.0%	2.5%	7.0%	4.0%	7.0%
Skew 10d	13.0%	6.1%	16.5%	7.0%	16.5%
Call IV 25d	18.9%	15.5%	21.2%	19.2%	15.5%
Put IV 25d	23.9%	22.0%	26.2%	23.1%	22.5%
Bid-Ask Spread %	13.25	7.77	20.08	20.08	13.32
Gamma HHI	0.18	0.17	0.22	0.21	0.22
Net GEX	2.1M	1.9M	2.7M	1.9M	2.7M
Net DEX	-98.2M	-119.3M	-75.9M	-79.4M	-119.3M
Net VEX	-347.6K	-373.6K	-304.3K	-337.3K	-304.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.14	1.38	0.96	0.18
Total Volume	4,667.364	1,474	16,390	16,390	1,534
Total OI	167,010.909	150,540	179,398	150,540	170,048

Daily Data (22 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
2012-03-01	$18.55	$17.50	20.2%	5.8%	16.1%	12.4%	20.4%	4.0%	1.4%	1.9M	-79.4M	-337.3K	0.96	20.08	N/A	N/A	8,368	8,022	73,746	76,794
2012-03-02	$18.54	$17.50	19.8%	5.7%	16.0%	11.4%	20.6%	2.5%	1.5%	1.9M	-78.5M	-370.7K	0.26	18.77	N/A	N/A	2,476	636	78,438	81,846
2012-03-05	$18.70	$16.88	22.1%	6.4%	15.7%	17.3%	23.4%	5.4%	0.7%	2.0M	-85.9M	-351.7K	0.37	12.14	N/A	N/A	4,710	1,722	79,102	81,918
2012-03-06	$18.41	$16.88	22.9%	6.8%	16.9%	19.4%	24.3%	5.0%	0.2%	1.9M	-75.9M	-373.2K	1.04	10.88	N/A	N/A	3,352	3,490	80,968	83,040
2012-03-07	$18.58	$16.88	20.4%	6.3%	16.9%	13.0%	22.5%	4.9%	0.9%	2.0M	-81.7M	-372.7K	0.50	11.92	N/A	N/A	3,370	1,688	81,752	84,326
2012-03-08	$18.87	$16.88	19.2%	6.4%	17.1%	9.9%	23.2%	6.0%	0.4%	2.1M	-94.5M	-365.2K	0.83	14.56	N/A	N/A	4,860	4,044	83,552	84,916
2012-03-09	$19.06	$17.50	19.4%	6.5%	17.2%	10.4%	21.4%	4.9%	0.4%	2.0M	-102.1M	-363.4K	0.18	14.30	N/A	N/A	4,910	890	85,942	87,956
2012-03-12	$19.04	$17.50	20.8%	6.5%	16.9%	14.1%	22.5%	5.5%	-0.2%	2.1M	-100.6M	-373.6K	0.14	11.94	N/A	N/A	2,954	420	88,098	88,310
2012-03-13	$19.02	$17.50	20.1%	6.3%	16.9%	12.2%	22.2%	4.9%	0.5%	2.2M	-102.8M	-371.7K	0.78	16.60	N/A	N/A	1,236	966	89,596	88,442
2012-03-14	$19.05	$17.50	19.2%	6.4%	17.0%	9.9%	21.5%	5.2%	0.6%	2.1M	-103.7M	-363.2K	1.09	13.65	N/A	N/A	1,142	1,248	89,050	88,510
2012-03-15	$19.09	$17.50	20.7%	5.9%	15.6%	13.7%	21.6%	4.3%	0.9%	2.0M	-105.2M	-367.0K	0.58	14.14	N/A	N/A	2,544	1,486	89,394	89,246
2012-03-16	$18.95	$17.50	21.0%	6.0%	16.3%	14.6%	22.2%	5.4%	0.9%	2.0M	-100.7M	-368.6K	0.43	15.76	N/A	N/A	2,562	1,108	89,566	89,832
2012-03-19	$19.05	$17.50	21.4%	6.1%	15.5%	15.6%	21.9%	4.5%	1.4%	2.1M	-86.4M	-349.9K	1.38	11.24	N/A	N/A	2,906	4,006	78,942	77,894
2012-03-20	$19.23	$17.50	20.1%	5.8%	15.5%	12.2%	21.6%	4.3%	3.3%	2.0M	-93.6M	-340.5K	0.40	13.60	N/A	N/A	1,872	742	80,200	80,338
2012-03-21	$19.45	$17.50	19.3%	5.5%	15.4%	10.1%	21.7%	5.9%	1.1%	2.0M	-101.9M	-335.3K	0.59	11.72	N/A	N/A	1,756	1,044	81,048	80,448
2012-03-22	$19.45	$17.50	19.6%	5.6%	14.1%	10.9%	20.0%	6.0%	0.7%	2.1M	-103.3M	-323.7K	0.16	7.77	N/A	N/A	1,268	206	81,444	80,910
2012-03-23	$19.32	$17.50	19.5%	5.6%	14.6%	10.6%	21.4%	5.7%	3.7%	2.2M	-99.3M	-330.9K	1.06	10.48	N/A	N/A	906	962	82,020	81,006
2012-03-26	$19.68	$17.50	20.4%	5.9%	14.2%	13.1%	20.7%	2.7%	-0.4%	2.1M	-113.2M	-305.7K	0.77	10.21	N/A	N/A	3,862	2,978	82,188	81,310
2012-03-27	$19.77	$17.50	18.4%	5.3%	14.2%	7.7%	20.7%	3.6%	1.9%	2.1M	-113.6M	-315.5K	0.73	12.45	N/A	N/A	1,598	1,172	83,056	83,482
2012-03-28	$19.74	$17.50	19.0%	5.4%	13.5%	9.3%	20.1%	6.7%	1.5%	2.1M	-111.4M	-325.9K	0.71	13.22	N/A	N/A	1,940	1,384	83,774	83,874
2012-03-29	$19.61	$17.50	21.2%	6.1%	13.5%	15.1%	20.4%	6.1%	-0.3%	2.2M	-107.9M	-336.3K	0.36	12.80	N/A	N/A	3,204	1,138	84,578	83,340
2012-03-30	$19.86	$17.50	18.9%	5.4%	13.9%	9.1%	21.5%	7.0%	1.8%	2.7M	-119.3M	-304.3K	0.18	13.32	N/A	N/A	1,304	230	86,840	83,208