TJX Options History — June 2012

In June 2012, TJX traded between $20.45 and $21.74. ATM implied volatility averaged 23.4%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 6.8% (HV 20d: 30.2%). Max pain ranged from $18.75 to $20.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2012-06-15: Highest Volume — 23,604 contracts
  • 2012-06-11: Largest IV spike — 31.8% change
  • 2012-06-04: Highest IV Rank — 37.2%
  • 2012-06-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.07$20.45$21.74$20.45$21.46
Max Pain$19.46$18.75$20.00$20.00$20.00
ATM IV23.4%20.2%31.1%30.7%20.8%
Expected Move6.7%5.8%8.8%8.8%6.0%
HV 20d30.2%23.2%39.3%38.0%24.5%
HV 60d27.9%26.9%29.6%27.1%29.6%
IV Rank15.8%7.0%37.2%36.0%8.7%
IV Percentile38.5%17.5%80.2%78.2%23.8%
Term Structure2.9%-0.9%4.8%-0.9%4.1%
VWIV24.6%19.7%33.8%29.8%24.3%
Skew 25d5.2%3.1%7.5%6.6%4.8%
Skew 10d12.8%6.1%16.9%16.0%11.5%
Call IV 25d21.5%17.8%26.6%26.6%18.9%
Put IV 25d26.7%21.5%33.7%33.2%23.7%
Bid-Ask Spread %14.118.9520.4810.1815.94
Gamma HHI0.420.300.700.480.32
Net GEX-1.5M-5.4M8.2M-4.0M-291.7K
Net DEX-56.5M-78.9M-23.7M-23.7M-72.1M
Net VEX-380.8K-460.5K-336.2K-460.5K-355.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.3410.471.001.78
Total Volume6,161.3331,80023,6049,8564,320
Total OI193,972167,218223,254206,700178,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$20.45$20.0030.7%8.8%38.0%36.0%29.8%6.6%-0.9%-4.0M-23.7M-460.5K1.0010.18N/AN/A4,9284,92869,690137,010
2012-06-04$20.57$18.7531.1%8.7%37.7%37.2%28.8%7.5%0.2%-4.0M-29.0M-448.1K0.4520.48N/AN/A2,2941,04270,200137,776
2012-06-05$20.55$18.7528.3%8.5%37.6%29.4%33.8%7.0%0.3%-4.3M-32.5M-434.6K10.4715.73N/AN/A4624,83670,218137,772
2012-06-06$21.11$18.7524.1%7.0%38.8%17.7%25.3%6.3%3.0%-2.2M-59.0M-399.2K0.7318.36N/AN/A4,1883,03870,338141,728
2012-06-07$20.78$18.7523.2%7.0%39.3%15.4%28.2%5.9%2.3%-3.8M-43.6M-409.0K1.0314.19N/AN/A88891269,528144,052
2012-06-08$20.73$18.7521.9%6.9%39.0%11.7%24.5%6.4%2.5%-4.3M-42.6M-407.3K0.4215.42N/AN/A1,41259069,890144,562
2012-06-11$20.63$18.7528.8%7.9%38.8%30.9%25.2%6.9%1.5%-5.4M-40.3M-388.0K0.4312.74N/AN/A3,4901,48869,792144,484
2012-06-12$20.85$18.7522.4%6.7%36.2%13.0%26.2%6.0%2.9%-3.3M-53.5M-370.6K1.4014.35N/AN/A1,9022,65868,154144,996
2012-06-13$20.70$18.7526.3%7.0%27.0%23.9%27.7%6.7%2.6%-4.8M-45.2M-377.1K6.5113.32N/AN/A8485,52268,070145,628
2012-06-14$21.03$18.7523.5%6.7%27.7%16.1%26.3%5.5%3.3%1.6M-65.9M-359.4K2.4017.36N/AN/A3,9209,42667,958148,580
2012-06-15$21.23$20.0021.6%6.2%24.5%10.9%24.2%4.4%4.6%8.2M-70.1M-353.1K5.0515.34N/AN/A3,90219,70267,434155,820
2012-06-18$21.52$20.0020.5%5.9%23.2%7.9%20.8%4.4%4.7%-478.9K-68.8M-360.5K0.4614.06N/AN/A3,6081,64862,216105,002
2012-06-19$21.74$20.0020.2%5.8%23.3%7.0%19.7%3.8%3.9%28.2K-78.9M-336.2K0.3410.08N/AN/A4,6561,58863,768105,762
2012-06-20$21.55$20.0020.7%5.9%23.7%8.5%20.5%4.0%3.4%-110.5K-76.1M-358.2K0.3910.06N/AN/A2,7141,04865,834106,334
2012-06-21$21.20$20.0020.8%6.0%24.6%8.7%21.1%4.3%3.8%-657.4K-63.6M-375.4K0.5313.48N/AN/A2,6161,38066,488106,540
2012-06-22$21.60$20.0020.3%5.8%25.3%7.4%20.2%3.1%4.1%108.8K-77.0M-339.6K0.5314.53N/AN/A2,1461,13465,884105,606
2012-06-25$21.22$20.0021.0%6.0%26.3%9.2%21.1%3.2%3.8%-609.7K-62.5M-366.6K0.7011.73N/AN/A1,4661,03066,190105,990
2012-06-26$21.55$20.0020.8%6.0%26.1%8.6%22.7%4.5%4.8%-61.4K-74.4M-352.0K0.968.95N/AN/A1,1401,09866,890106,564
2012-06-27$21.13$20.0022.4%6.4%27.1%13.0%23.2%3.9%3.5%-820.2K-59.8M-368.8K1.5514.27N/AN/A3,3005,11467,218106,830
2012-06-28$20.80$20.0021.9%6.3%25.9%11.6%23.5%3.1%3.6%-1.7M-47.2M-377.5K1.3415.80N/AN/A2,9884,01868,492109,480
2012-06-29$21.46$20.0020.8%6.0%24.5%8.7%24.3%4.8%4.1%-291.7K-72.1M-355.8K1.7815.94N/AN/A1,5522,76868,878109,766