TJX Options History — May 2012

In May 2012, TJX traded between $19.85 and $21.27. ATM implied volatility averaged 26.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.8% (HV 20d: 29.7%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.34.

Notable Days

2012-05-10: Highest Volume — 42,764 contracts
2012-05-10: Largest IV drop — 23.4% change
2012-05-09: Highest IV Rank — 40.9%
2012-05-17: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.69	$19.85	$21.27	$21.02	$21.23
Max Pain	$20.11	$20.00	$21.25	$20.00	$20.00
ATM IV	26.9%	23.5%	32.5%	26.3%	24.6%
Expected Move	7.4%	6.7%	8.5%	7.6%	7.1%
HV 20d	29.7%	19.9%	36.6%	25.3%	35.6%
HV 60d	22.6%	18.6%	25.9%	18.6%	25.9%
IV Rank	25.7%	16.1%	40.9%	24.0%	19.3%
IV Percentile	63.1%	43.3%	85.7%	64.3%	48.0%
Term Structure	-0.8%	-3.6%	1.8%	-3.6%	0.9%
VWIV	26.8%	24.0%	32.5%	26.3%	26.1%
Skew 25d	5.0%	3.3%	7.1%	3.7%	3.6%
Skew 10d	13.2%	7.5%	19.7%	9.1%	11.9%
Call IV 25d	24.6%	21.5%	29.0%	25.8%	24.7%
Put IV 25d	29.6%	27.3%	35.3%	29.4%	28.3%
Bid-Ask Spread %	16.89	10.75	34.72	10.75	20.86
Gamma HHI	0.45	0.26	0.75	0.58	0.39
Net GEX	-712.8K	-12.4M	3.5M	3.1M	-1.7M
Net DEX	-48.4M	-87.7M	-8.0M	-80.2M	-61.4M
Net VEX	-411.1K	-475.8K	-340.5K	-361.0K	-420.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.34	0.12	30.72	0.12	0.49
Total Volume	12,521.455	2,676	42,764	15,400	6,262
Total OI	180,267.455	145,200	208,780	147,596	206,506

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
2012-05-01	$21.02	$20.00	26.3%	7.6%	25.3%	24.0%	26.3%	3.7%	-3.6%	3.1M	-80.2M	-361.0K	0.12	10.75	N/A	N/A	13,776	1,624	75,908	71,688
2012-05-02	$21.27	$20.00	25.2%	7.2%	25.2%	20.9%	25.4%	3.3%	-2.8%	3.0M	-87.7M	-340.5K	0.24	12.05	N/A	N/A	6,026	1,424	73,432	72,060
2012-05-03	$21.23	$20.00	25.6%	7.4%	25.1%	22.1%	26.8%	3.4%	-3.0%	2.7M	-83.8M	-348.9K	0.96	14.06	N/A	N/A	3,722	3,558	72,844	72,356
2012-05-04	$20.87	$20.00	27.9%	6.8%	25.0%	28.2%	24.0%	4.2%	-1.3%	2.2M	-70.1M	-369.4K	0.67	17.23	N/A	N/A	2,830	1,884	74,504	75,100
2012-05-07	$20.75	$20.00	30.7%	6.9%	24.9%	36.1%	25.1%	5.5%	-1.5%	2.1M	-65.9M	-371.7K	0.70	17.22	N/A	N/A	3,518	2,454	75,836	75,794
2012-05-08	$20.64	$20.00	31.9%	7.2%	21.2%	39.3%	27.2%	5.0%	-2.0%	2.0M	-62.2M	-380.4K	0.55	17.59	N/A	N/A	2,666	1,458	75,440	75,904
2012-05-09	$20.64	$20.00	32.5%	7.3%	19.9%	40.9%	26.4%	4.5%	-2.1%	2.0M	-62.1M	-372.3K	1.90	20.41	N/A	N/A	2,108	3,998	75,168	75,928
2012-05-10	$20.89	$20.00	24.9%	7.1%	20.2%	20.0%	29.8%	4.4%	-1.7%	2.6M	-72.2M	-361.8K	30.72	21.74	N/A	N/A	1,348	41,416	75,778	74,564
2012-05-11	$20.63	$20.00	27.9%	8.0%	20.9%	28.3%	26.4%	6.1%	-2.1%	295.1K	-44.2M	-431.0K	0.85	18.34	N/A	N/A	1,444	1,232	76,302	115,420
2012-05-14	$19.85	$20.00	29.4%	8.4%	25.1%	32.5%	32.5%	6.3%	-2.6%	-1.7M	-8.0M	-436.6K	3.80	34.72	N/A	N/A	8,706	33,040	76,256	115,826
2012-05-15	$21.23	$20.00	24.6%	7.1%	33.4%	19.3%	25.9%	4.4%	-0.8%	2.4M	-72.0M	-394.6K	0.66	15.61	N/A	N/A	10,536	6,976	76,350	132,430
2012-05-16	$21.21	$20.00	24.8%	7.1%	33.4%	19.7%	25.3%	4.7%	-0.2%	3.5M	-73.2M	-403.7K	0.40	12.74	N/A	N/A	8,574	3,470	77,730	123,580
2012-05-17	$20.47	$20.00	29.6%	8.5%	35.8%	33.1%	28.8%	6.0%	-1.3%	-1.7M	-32.1M	-432.3K	1.58	13.73	N/A	N/A	4,528	7,146	77,560	124,104
2012-05-18	$20.03	$21.25	29.4%	8.4%	36.6%	32.5%	29.3%	6.4%	-0.3%	-12.4M	-12.8M	-451.1K	2.39	14.96	N/A	N/A	5,976	14,278	77,758	126,948
2012-05-21	$20.16	$21.25	26.4%	7.6%	36.4%	24.2%	26.9%	6.7%	-0.1%	-2.5M	-20.2M	-438.9K	2.56	16.08	N/A	N/A	4,982	12,730	63,118	114,304
2012-05-22	$20.29	$20.00	25.5%	7.3%	36.4%	21.6%	25.5%	5.0%	0.9%	-2.2M	-28.7M	-441.0K	20.93	12.27	N/A	N/A	1,262	26,408	65,064	115,640
2012-05-23	$20.34	$20.00	25.5%	7.3%	35.3%	21.7%	26.4%	5.7%	1.2%	-4.2M	-15.8M	-473.3K	0.60	12.90	N/A	N/A	2,394	1,434	65,156	135,112
2012-05-24	$20.45	$20.00	26.0%	7.5%	35.0%	23.1%	25.9%	7.1%	0.8%	-4.0M	-18.2M	-475.8K	2.08	18.81	N/A	N/A	1,050	2,180	65,032	135,566
2012-05-25	$20.43	$20.00	25.3%	7.2%	34.4%	21.0%	25.1%	4.3%	1.8%	-4.3M	-21.6M	-463.8K	0.71	17.92	N/A	N/A	1,616	1,152	65,434	136,238
2012-05-29	$20.80	$20.00	23.5%	6.7%	34.6%	16.1%	25.8%	5.8%	0.8%	-3.4M	-36.6M	-433.0K	0.23	10.84	N/A	N/A	7,932	1,840	65,404	136,140
2012-05-30	$20.66	$20.00	25.2%	7.2%	34.5%	20.9%	27.6%	3.5%	0.2%	-3.6M	-36.1M	-442.8K	0.31	20.85	N/A	N/A	3,434	1,080	68,322	136,280
2012-05-31	$21.23	$20.00	24.6%	7.1%	35.6%	19.3%	26.1%	3.6%	0.9%	-1.7M	-61.4M	-420.2K	0.49	20.86	N/A	N/A	4,216	2,046	70,274	136,232