TJX Options History — August 2012 In August 2012, TJX traded between $21.93 and $23.32. ATM implied volatility averaged 23.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.2% (HV 20d: 15.9%). Max pain ranged from $21.25 to $22.50. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.45.
Notable Days 2012-08-20 : Highest Volume — 43,606 contracts2012-08-14 : Largest IV drop — 51.6% change2012-08-13 : Highest IV Rank — 77.1%2012-08-02 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.67 $21.93 $23.32 $21.93 $22.89 Max Pain $22.07 $21.25 $22.50 $21.25 $22.50 ATM IV 23.1% 17.2% 36.8% 27.2% 19.3% Expected Move 6.0% 4.9% 8.0% 7.8% 5.5% HV 20d 15.9% 14.6% 19.3% 19.3% 15.7% HV 60d 23.3% 19.9% 28.5% 28.1% 19.9% IV Rank 17.7% 0.0% 77.1% 25.4% 8.5% IV Percentile 33.6% 0.0% 97.2% 63.9% 12.7% Term Structure 1.0% -3.5% 3.0% -3.5% 2.7% VWIV 21.3% 16.7% 29.1% 28.3% 19.6% Skew 25d 3.3% 1.1% 5.1% 4.0% 1.1% Skew 10d 10.2% 5.9% 14.8% 9.3% 5.9% Call IV 25d 19.7% 15.7% 27.9% 26.9% 18.9% Put IV 25d 23.0% 18.2% 30.9% 30.9% 20.0% Bid-Ask Spread % 14.40 8.80 23.11 17.75 11.17 Gamma HHI 0.41 0.27 0.54 0.35 0.43 Net GEX -3.1M -8.6M 6.3M -3.9M -6.3M Net DEX -40.3M -83.4M -11.6M -19.1M -27.6M Net VEX -398.9K -476.7K -320.8K -412.7K -471.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.45 0.18 15.60 0.63 0.34 Total Volume 11,733.565 2,156 43,606 11,528 6,424 Total OI 201,672.522 140,102 231,808 187,784 217,084
Daily Data (23 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 2012-08-01 $21.93 $21.25 27.2% 7.8% 19.3% 25.4% 28.3% 4.0% -3.5% -3.9M -19.1M -412.7K 0.63 17.75 N/A N/A 7,072 4,456 64,798 122,986 2012-08-02 $22.50 $21.25 27.9% 8.0% 16.9% 27.3% 29.1% 2.3% -3.0% -1.8M -49.3M -391.7K 0.64 15.49 N/A N/A 7,372 4,690 67,570 124,138 2012-08-03 $22.55 $21.25 27.5% 7.9% 16.8% 26.1% 27.6% 3.1% -3.3% -1.7M -50.9M -384.8K 0.26 16.56 N/A N/A 2,208 572 67,920 124,716 2012-08-06 $22.63 $21.25 29.8% 6.9% 16.7% 32.7% 24.7% 4.4% -0.3% -1.1M -58.5M -359.6K 0.64 15.90 N/A N/A 1,316 840 67,350 124,172 2012-08-07 $22.57 $21.25 29.5% 6.8% 15.8% 31.9% 23.9% 4.5% -0.2% -1.2M -52.8M -361.5K 1.36 21.75 N/A N/A 1,012 1,378 66,090 124,470 2012-08-08 $22.55 $22.50 30.6% 6.8% 15.4% 34.9% 24.2% 4.9% -0.1% -1.3M -52.3M -350.4K 1.04 23.11 N/A N/A 1,178 1,220 66,276 124,996 2012-08-09 $22.50 $22.50 31.9% 6.6% 15.0% 38.6% 25.5% 4.1% 0.2% -1.3M -51.5M -343.6K 15.60 12.75 N/A N/A 2,214 34,538 67,060 125,542 2012-08-10 $22.23 $21.25 31.0% 6.3% 14.6% 53.3% 23.8% 4.2% 0.8% -4.9M -22.3M -422.1K 1.51 11.24 N/A N/A 4,798 7,242 67,646 152,618 2012-08-13 $22.12 $21.25 36.8% 6.6% 14.7% 77.1% 23.4% 3.9% -0.4% -5.4M -18.5M -415.6K 0.94 18.76 N/A N/A 10,216 9,620 69,810 155,812 2012-08-14 $22.52 $21.25 17.8% 5.6% 15.8% 0.0% 19.9% 3.5% 1.8% 3.4M -60.0M -357.4K 0.64 13.74 N/A N/A 8,886 5,714 73,562 155,216 2012-08-15 $22.51 $22.50 18.1% 5.5% 15.8% 1.4% 19.2% 3.8% 2.2% 3.9M -58.7M -359.2K 1.22 10.81 N/A N/A 3,746 4,576 73,896 156,410 2012-08-16 $22.59 $22.50 18.7% 5.4% 15.9% 3.7% 20.2% 3.7% 2.2% 6.3M -63.1M -355.0K 1.61 11.85 N/A N/A 2,216 3,572 72,626 158,868 2012-08-17 $22.95 $22.50 18.9% 5.4% 15.7% 4.4% 18.2% 3.7% 1.8% 766.5K -83.4M -332.1K 0.19 8.80 N/A N/A 6,684 1,258 72,644 159,164 2012-08-20 $22.92 $22.50 18.0% 5.2% 15.7% 0.9% 18.0% 2.5% 2.2% 590.7K -61.5M -320.8K 14.07 11.54 N/A N/A 2,894 40,712 57,420 82,682 2012-08-21 $22.89 $22.50 17.2% 4.9% 15.6% 0.0% 17.0% 2.2% 2.7% -5.5M -30.8M -416.1K 9.43 13.96 N/A N/A 1,882 17,756 57,944 120,780 2012-08-22 $23.05 $22.50 17.4% 5.0% 15.6% 1.0% 16.7% 2.8% 3.0% -7.0M -28.0M -446.3K 0.71 10.81 N/A N/A 1,818 1,296 58,324 135,570 2012-08-23 $22.79 $22.50 18.0% 5.2% 16.2% 3.4% 17.6% 2.7% 2.5% -8.3M -11.6M -462.1K 1.53 15.36 N/A N/A 1,122 1,718 58,782 136,302 2012-08-24 $22.93 $22.50 17.5% 5.0% 15.9% 1.4% 17.1% 2.6% 2.9% -7.7M -21.0M -448.4K 0.88 11.24 N/A N/A 1,158 1,016 58,718 137,038 2012-08-27 $22.84 $22.50 17.9% 5.1% 16.0% 3.0% 17.3% 3.2% 2.6% -8.6M -16.7M -435.5K 1.64 15.20 N/A N/A 838 1,376 58,714 137,466 2012-08-28 $22.89 $22.50 18.5% 5.3% 15.0% 5.3% 18.4% 2.8% 2.7% -8.2M -20.8M -424.6K 0.18 14.49 N/A N/A 5,504 994 59,124 137,628 2012-08-29 $23.32 $22.50 20.8% 6.0% 15.5% 14.6% 20.9% 5.1% 0.7% -5.2M -45.4M -426.5K 0.51 16.21 N/A N/A 22,090 11,170 63,022 138,348 2012-08-30 $22.80 $22.50 20.3% 5.8% 15.7% 12.7% 19.9% 1.6% 2.3% -6.2M -22.4M -476.7K 0.73 12.75 N/A N/A 6,650 4,860 77,142 140,024 2012-08-31 $22.89 $22.50 19.3% 5.5% 15.7% 8.5% 19.6% 1.1% 2.7% -6.3M -27.6M -471.0K 0.34 11.17 N/A N/A 4,792 1,632 76,568 140,516
« Jul 2012 | All History | Sep 2012 » Home TJX History August 2012