TJX Options History — April 2012

In April 2012, TJX traded between $19.34 and $21.23. ATM implied volatility averaged 24.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.0% (HV 20d: 20.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2012-04-02: Highest Volume — 27,036 contracts
  • 2012-04-05: Largest IV drop — 26.0% change
  • 2012-04-30: Highest IV Rank — 27.2%
  • 2012-04-30: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.25$19.34$21.23$19.93$20.86
Max Pain$19.50$17.50$20.00$17.50$20.00
ATM IV24.1%19.0%27.5%21.3%27.5%
Expected Move7.1%5.5%7.9%6.1%7.9%
HV 20d20.1%12.3%25.2%13.7%25.2%
HV 60d16.4%13.6%18.7%13.6%18.7%
IV Rank20.0%9.4%27.2%15.2%27.2%
IV Percentile50.9%8.7%68.7%29.4%68.7%
Term Structure-1.9%-4.5%4.9%0.8%-4.5%
VWIV24.9%19.8%27.8%24.4%27.8%
Skew 25d4.4%2.0%8.3%5.1%4.6%
Skew 10d11.8%7.2%18.7%10.9%11.2%
Call IV 25d23.6%17.9%27.1%20.6%27.1%
Put IV 25d28.0%21.2%31.7%25.7%31.7%
Bid-Ask Spread %13.939.4421.9110.5710.46
Gamma HHI0.360.200.580.200.56
Net GEX2.5M1.4M3.1M2.4M2.8M
Net DEX-110.9M-158.6M-49.9M-122.4M-75.0M
Net VEX-375.7K-413.4K-308.6K-308.6K-359.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.101.851.140.24
Total Volume10,309.42,69227,03627,03610,020
Total OI189,488136,564224,946170,360145,874

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$19.93$17.5021.3%6.1%13.7%15.2%24.4%5.1%0.8%2.4M-122.4M-308.6K1.1410.57N/AN/A12,65614,38087,11683,244
2012-04-03$19.80$17.5021.8%6.2%12.3%16.6%22.2%8.3%1.0%2.5M-113.4M-358.2K1.4815.54N/AN/A3,5825,29294,74492,984
2012-04-04$19.68$17.5025.7%7.4%12.6%26.8%25.1%5.0%-1.8%2.4M-108.5M-376.9K0.9110.27N/AN/A8,7747,99496,57695,994
2012-04-05$20.14$17.5019.0%5.5%13.9%9.4%19.8%2.0%4.9%2.5M-133.0M-355.7K0.799.44N/AN/A14,17211,142100,44898,946
2012-04-09$20.00$20.0020.3%7.0%14.1%12.7%25.4%4.2%-1.5%2.6M-124.5M-392.9K1.1610.30N/AN/A3,9484,568106,734105,418
2012-04-10$19.34$20.0022.8%7.8%19.2%19.1%25.8%4.2%-3.7%2.5M-94.1M-413.4K1.8516.37N/AN/A2,6384,874108,804106,170
2012-04-11$19.79$20.0019.9%7.4%20.7%11.5%26.4%4.0%-2.4%2.8M-112.3M-407.5K0.6811.47N/AN/A2,5961,776107,594106,460
2012-04-12$19.88$20.0024.7%7.1%20.8%24.3%25.0%3.5%-2.1%2.8M-122.0M-389.4K0.4415.31N/AN/A4,2481,870108,154105,908
2012-04-13$19.91$20.0025.4%7.3%20.8%25.9%25.5%3.3%-2.7%2.9M-125.8M-392.6K0.4118.57N/AN/A1,908784110,302106,512
2012-04-16$20.09$20.0025.7%7.4%20.6%22.1%25.0%4.8%-2.5%3.0M-135.2M-384.7K0.3015.69N/AN/A5,7841,760110,412106,550
2012-04-17$20.68$20.0023.9%6.9%22.5%17.4%24.1%4.4%-2.8%2.1M-158.6M-371.4K0.1319.92N/AN/A18,6782,358111,332107,306
2012-04-18$20.69$20.0023.6%6.8%22.4%16.4%23.7%5.0%-2.3%3.1M-158.2M-390.6K0.1618.04N/AN/A8,7121,426116,270108,676
2012-04-19$20.55$20.0025.9%7.4%22.5%22.6%25.3%5.0%-2.4%1.8M-152.3M-376.5K0.8516.55N/AN/A3,1562,688112,962108,710
2012-04-20$20.51$20.0025.2%7.2%22.6%20.9%24.7%4.6%-2.6%1.9M-151.3M-376.0K0.309.51N/AN/A3,200946113,996109,724
2012-04-23$20.22$20.0026.0%7.5%23.1%23.1%25.2%5.0%-2.2%1.4M-50.7M-370.8K0.2611.31N/AN/A7,4701,92066,83469,730
2012-04-24$20.13$20.0025.3%7.2%22.4%21.0%26.4%5.3%-2.2%1.8M-49.9M-380.2K0.4012.16N/AN/A2,7021,06873,14470,596
2012-04-25$20.61$20.0026.5%7.6%23.8%24.4%25.4%3.6%-2.4%2.5M-67.4M-379.2K0.1021.91N/AN/A10,8861,10874,27070,932
2012-04-26$20.89$20.0025.5%7.3%24.1%21.7%26.1%3.2%-3.7%2.8M-76.8M-371.3K0.8415.67N/AN/A1,8201,53674,37271,164
2012-04-27$21.23$20.0025.2%7.2%24.3%20.8%25.3%3.0%-3.1%2.9M-87.2M-359.2K0.129.60N/AN/A10,5001,24873,91270,886
2012-04-30$20.86$20.0027.5%7.9%25.2%27.2%27.8%4.6%-4.5%2.8M-75.0M-359.6K0.2410.46N/AN/A8,1021,91874,96670,908