TJX Options History — July 2012

In July 2012, TJX traded between $21.25 and $22.54. ATM implied volatility averaged 24.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.7% (HV 20d: 25.1%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2012-07-19: Highest Volume — 32,040 contracts
  • 2012-07-11: Largest IV spike — 20.7% change
  • 2012-07-31: Highest IV Rank — 28.1%
  • 2012-07-11: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.14$21.25$22.54$21.61$22.14
Max Pain$21.07$20.00$21.25$20.00$21.25
ATM IV24.4%19.7%28.2%21.9%28.2%
Expected Move7.3%5.9%8.2%6.3%8.1%
HV 20d25.1%19.3%27.0%24.6%20.1%
HV 60d28.8%28.0%29.5%29.3%28.0%
IV Rank17.5%4.3%28.1%10.4%28.1%
IV Percentile44.9%12.3%67.9%29.8%67.9%
Term Structure-0.9%-4.2%4.3%4.3%-3.8%
VWIV26.6%21.6%31.8%22.8%28.9%
Skew 25d4.5%2.8%5.6%4.7%3.4%
Skew 10d9.9%1.5%13.2%10.9%10.0%
Call IV 25d24.3%18.6%28.2%19.3%28.2%
Put IV 25d28.8%23.3%31.5%24.0%31.5%
Bid-Ask Spread %12.749.6917.8612.1512.23
Gamma HHI0.350.280.400.300.39
Net GEX-672.8K-4.1M2.1M105.4K-4.1M
Net DEX-71.0M-106.8M-14.9M-79.9M-24.0M
Net VEX-362.7K-420.6K-306.9K-338.7K-399.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.1810.643.010.36
Total Volume8,821.0481,59232,0407,8365,848
Total OI196,573.524169,344262,476179,446176,908

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$21.61$20.0021.9%6.3%24.6%10.4%22.8%4.7%4.3%105.4K-79.9M-338.7K3.0112.15N/AN/A1,9525,88469,648109,798
2012-07-03$21.25$20.0021.9%6.3%25.5%10.5%22.3%4.5%4.0%-709.6K-67.2M-334.7K1.4711.94N/AN/A1,0881,60469,850112,556
2012-07-05$22.05$20.0020.6%5.9%27.0%7.0%21.6%4.7%4.3%671.1K-94.2M-312.7K0.6311.90N/AN/A6,1763,87470,164113,410
2012-07-06$22.21$21.2520.1%7.2%26.2%5.5%26.6%4.6%-1.4%1.3M-101.5M-311.3K0.5117.86N/AN/A5,9323,03671,948113,912
2012-07-09$22.32$21.2520.3%7.3%26.1%6.2%25.8%5.5%-1.1%1.8M-106.8M-306.9K0.4413.29N/AN/A3,3181,45473,760114,696
2012-07-10$22.00$21.2519.7%7.5%26.7%4.3%27.3%5.6%-1.6%1.5M-96.7M-319.7K0.3610.03N/AN/A2,20680274,374115,150
2012-07-11$21.80$21.2523.8%8.2%26.9%15.7%31.8%5.1%-2.2%1.2M-89.9M-323.0K10.3514.27N/AN/A2,38424,67474,688115,558
2012-07-12$22.04$21.2526.2%7.5%26.8%22.5%27.3%5.6%-1.1%670.1K-90.0M-361.0K0.6713.02N/AN/A95264075,932139,450
2012-07-13$22.39$21.2525.7%7.4%26.9%21.1%26.2%5.2%-1.3%1.8M-105.4M-332.1K0.6115.38N/AN/A2,4021,45476,272139,424
2012-07-16$22.36$21.2526.3%7.5%26.8%22.9%28.7%5.2%-1.6%1.8M-104.9M-325.5K2.779.81N/AN/A7,23820,08276,486139,338
2012-07-17$22.54$21.2525.8%7.4%26.6%21.5%26.2%4.0%-1.6%1.4M-105.3M-354.0K0.4114.92N/AN/A3,5501,45078,750153,766
2012-07-18$22.48$21.2525.0%7.2%26.4%19.3%25.2%4.2%-1.1%1.9M-106.5M-357.4K0.539.74N/AN/A4,7502,52879,950154,690
2012-07-19$22.49$21.2524.5%7.0%26.2%17.7%26.9%3.3%-1.1%2.1M-103.4M-356.7K10.649.69N/AN/A2,75229,28879,488155,702
2012-07-20$22.16$21.2524.3%7.0%26.1%17.3%25.8%3.8%-0.9%-3.3M-68.7M-420.6K1.6914.50N/AN/A1,5922,68679,380183,096
2012-07-23$22.11$21.2525.8%7.4%25.4%21.4%27.0%3.5%-1.3%-3.9M-22.5M-408.8K0.6114.41N/AN/A2,1221,29452,368116,976
2012-07-24$22.00$21.2526.3%7.5%24.5%22.9%27.9%5.0%-1.4%-4.0M-14.9M-420.3K0.6511.07N/AN/A1,7941,16852,720117,818
2012-07-25$22.14$21.2526.4%7.6%24.0%23.2%28.9%4.2%-1.7%-3.8M-22.7M-414.8K5.2112.60N/AN/A9524,96253,388118,548
2012-07-26$22.10$21.2525.6%7.3%22.8%20.8%27.3%4.9%-2.2%-3.9M-17.5M-417.7K0.4511.40N/AN/A3,3501,51453,718120,122
2012-07-27$22.35$21.2525.6%7.3%22.0%20.8%26.1%3.9%-2.3%-3.4M-31.7M-412.9K0.5614.88N/AN/A2,9561,67055,646120,812
2012-07-30$22.45$21.2528.0%8.0%19.3%27.6%28.0%2.8%-4.2%-3.1M-37.1M-388.3K0.1812.41N/AN/A10,0481,81656,246121,538
2012-07-31$22.14$21.2528.2%8.1%20.1%28.1%28.9%3.4%-3.8%-4.1M-24.0M-399.0K0.3612.23N/AN/A4,3101,53855,370121,538