TJX Options History — September 2012

In September 2012, TJX traded between $22.03 and $23.28. ATM implied volatility averaged 19.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.6% (HV 20d: 17.1%). Max pain ranged from $21.25 to $22.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 4.16.

Notable Days

2012-09-19: Highest Volume — 111,900 contracts
2012-09-06: Largest IV drop — 15.9% change
2012-09-19: Highest IV Rank — 23.8%
2012-09-19: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.71	$22.03	$23.28	$23.08	$22.39
Max Pain	$21.91	$21.25	$22.50	$22.50	$22.50
ATM IV	19.7%	17.0%	23.0%	21.1%	18.4%
Expected Move	5.8%	4.9%	6.6%	6.0%	5.3%
HV 20d	17.1%	15.5%	18.3%	15.9%	15.5%
HV 60d	19.2%	15.8%	20.2%	19.9%	15.8%
IV Rank	10.9%	0.0%	23.8%	15.5%	5.6%
IV Percentile	19.2%	0.0%	46.4%	31.7%	5.2%
Term Structure	2.7%	0.3%	4.2%	2.0%	4.2%
VWIV	20.3%	17.4%	23.1%	20.6%	18.9%
Skew 25d	3.2%	1.6%	4.2%	2.2%	4.1%
Skew 10d	7.0%	0.6%	9.5%	9.5%	8.6%
Call IV 25d	19.2%	17.1%	20.6%	19.7%	17.6%
Put IV 25d	22.4%	18.6%	24.8%	21.9%	21.7%
Bid-Ask Spread %	10.46	6.45	14.27	12.86	9.22
Gamma HHI	0.62	0.42	0.89	0.42	0.62
Net GEX	-9.7M	-25.2M	-3.3M	-5.2M	-5.8M
Net DEX	-15.9M	-66.1M	68.7M	-41.0M	-4.5M
Net VEX	-388.0K	-452.6K	-313.6K	-437.8K	-444.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.16	0.21	59.23	0.95	0.58
Total Volume	13,186.105	1,068	111,900	3,588	5,162
Total OI	215,346.105	176,200	247,230	217,048	210,564

Daily Data (19 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
2012-09-04	$23.08	$22.50	21.1%	6.0%	15.9%	15.5%	20.6%	2.2%	2.0%	-5.2M	-41.0M	-437.8K	0.95	12.86	N/A	N/A	1,844	1,744	76,288	140,760
2012-09-05	$22.82	$22.50	20.2%	5.8%	16.5%	12.0%	19.7%	1.7%	2.8%	-7.9M	-19.6M	-434.8K	1.00	10.91	N/A	N/A	702	700	76,314	140,840
2012-09-06	$23.14	$22.50	17.0%	4.9%	17.2%	0.0%	17.4%	1.6%	3.2%	-5.1M	-50.6M	-401.9K	0.40	14.27	N/A	N/A	6,478	2,622	76,296	140,608
2012-09-07	$22.93	$21.25	18.1%	5.9%	17.5%	4.4%	19.8%	3.1%	3.1%	-8.3M	-34.0M	-389.0K	0.89	11.19	N/A	N/A	2,706	2,406	73,654	140,898
2012-09-10	$22.92	$21.25	19.8%	5.9%	16.9%	11.3%	20.7%	3.6%	3.3%	-8.6M	-33.7M	-369.2K	1.02	13.48	N/A	N/A	984	1,004	73,042	140,534
2012-09-11	$22.77	$21.25	19.1%	6.0%	16.9%	8.6%	20.6%	3.9%	2.3%	-11.3M	-21.7M	-368.5K	3.41	9.36	N/A	N/A	816	2,786	72,972	140,680
2012-09-12	$22.80	$21.25	18.9%	5.9%	15.8%	7.7%	20.4%	3.6%	2.4%	-11.6M	-22.1M	-368.0K	0.80	10.73	N/A	N/A	594	474	72,882	142,794
2012-09-13	$23.28	$21.25	18.6%	5.3%	17.4%	6.3%	19.6%	3.3%	2.6%	-3.3M	-66.1M	-324.8K	0.29	11.07	N/A	N/A	2,080	596	72,982	143,094
2012-09-14	$23.23	$21.25	18.9%	5.4%	17.4%	7.5%	21.3%	3.2%	2.6%	-4.1M	-60.3M	-331.1K	0.29	10.85	N/A	N/A	1,556	450	73,352	143,068
2012-09-17	$22.99	$21.25	21.7%	6.2%	17.0%	18.7%	21.1%	3.7%	1.9%	-9.3M	-47.6M	-315.4K	1.60	13.39	N/A	N/A	3,550	5,692	73,400	143,126
2012-09-18	$22.67	$21.25	21.4%	6.1%	17.7%	17.4%	21.8%	4.0%	1.8%	-19.7M	-15.7M	-313.6K	1.91	6.45	N/A	N/A	1,188	2,266	71,976	146,316
2012-09-19	$22.64	$21.25	23.0%	6.6%	17.7%	23.8%	23.1%	4.2%	0.3%	-25.2M	-13.6M	-316.1K	59.23	11.06	N/A	N/A	1,858	110,042	72,116	147,354
2012-09-20	$22.59	$22.50	21.2%	6.1%	17.5%	16.9%	21.2%	3.3%	1.9%	-23.8M	24.0M	-431.2K	1.23	9.30	N/A	N/A	7,376	9,082	72,124	175,106
2012-09-21	$22.27	$22.50	20.0%	5.7%	17.8%	12.1%	20.2%	2.4%	2.5%	-13.3M	68.7M	-411.3K	1.22	9.19	N/A	N/A	5,016	6,096	75,852	170,132
2012-09-24	$22.16	$22.50	20.3%	5.8%	17.6%	13.0%	21.0%	3.7%	2.7%	-6.9M	27.4M	-397.8K	0.31	7.21	N/A	N/A	21,768	6,836	59,296	116,904
2012-09-25	$22.03	$22.50	19.3%	5.5%	17.6%	9.3%	20.1%	3.2%	3.7%	-4.7M	25.3M	-432.0K	1.38	7.20	N/A	N/A	10,544	14,590	78,400	121,754
2012-09-26	$22.30	$22.50	19.3%	5.5%	18.3%	9.3%	19.7%	3.1%	3.3%	-4.6M	3.1M	-452.6K	0.21	9.62	N/A	N/A	4,214	890	83,834	124,196
2012-09-27	$22.52	$22.50	19.1%	5.5%	17.3%	8.4%	19.1%	2.6%	3.8%	-4.9M	-20.3M	-431.9K	2.28	11.43	N/A	N/A	1,166	2,658	83,986	124,082
2012-09-28	$22.39	$22.50	18.4%	5.3%	15.5%	5.6%	18.9%	4.1%	4.2%	-5.8M	-4.5M	-444.0K	0.58	9.22	N/A	N/A	3,260	1,902	84,772	125,792