TJX Options History — October 2012

In October 2012, TJX traded between $20.36 and $22.75. ATM implied volatility averaged 23.4%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.8% (HV 20d: 16.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.33.

Notable Days

  • 2012-10-12: Highest Volume — 117,818 contracts
  • 2012-10-11: Largest IV spike — 47.9% change
  • 2012-10-31: Highest IV Rank — 100.0%
  • 2012-10-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.75$20.36$22.75$22.70$20.82
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV23.4%15.3%38.6%18.4%38.6%
Expected Move7.1%4.9%11.1%5.3%11.1%
HV 20d16.6%14.3%20.1%16.3%20.1%
HV 60d16.4%15.2%17.5%16.0%17.5%
IV Rank35.6%0.0%100.0%5.7%100.0%
IV Percentile48.2%0.0%100.0%5.6%100.0%
Term Structure-1.7%-10.7%5.1%4.1%-10.7%
VWIV24.7%17.0%38.8%18.3%38.8%
Skew 25d4.3%-1.8%5.5%4.8%4.0%
Skew 10d9.2%-4.7%17.2%8.2%7.5%
Call IV 25d23.2%16.2%37.7%16.2%37.7%
Put IV 25d27.5%14.5%41.8%21.0%41.8%
Bid-Ask Spread %14.5310.0032.8913.3625.51
Gamma HHI0.580.290.740.570.52
Net GEX-7.1M-32.9M-1.5M-4.7M-2.6M
Net DEX44.8M-47.5M117.9M-37.0M74.9M
Net VEX-352.8K-417.2K-266.1K-405.0K-346.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0720.741.770.22
Total Volume15,286.6672,288117,81810,80221,254
Total OI212,893.048159,190262,880209,950180,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$22.70$22.5018.4%5.3%16.3%5.7%18.3%4.8%4.1%-4.7M-37.0M-405.0K1.7713.36N/AN/A3,8946,90886,410123,540
2012-10-02$22.59$22.5018.1%5.2%16.1%4.4%18.0%3.4%4.7%-5.7M-26.1M-403.6K1.6613.74N/AN/A1,8483,06286,780123,732
2012-10-03$22.61$22.5017.9%5.1%15.6%4.0%17.7%3.6%4.7%-6.0M-27.6M-400.9K0.3532.89N/AN/A5,8262,05486,662124,468
2012-10-04$22.75$22.5017.0%4.9%14.9%0.4%17.0%-1.8%5.1%-5.8M-47.5M-383.6K0.0710.00N/AN/A35,5262,66690,492125,178
2012-10-05$22.70$22.5016.2%6.5%14.5%0.0%23.3%4.0%-0.9%-7.5M-40.4M-417.2K0.6614.69N/AN/A1,9841,30898,902125,534
2012-10-08$22.64$22.5016.1%6.6%14.6%0.0%23.6%3.8%-1.1%-9.3M-35.7M-394.1K0.7814.02N/AN/A2,2741,77499,432125,688
2012-10-09$22.33$22.5015.4%6.5%15.2%0.0%22.6%4.4%-1.1%-11.2M5.7M-386.0K0.9210.24N/AN/A1,1901,09899,234126,310
2012-10-10$22.38$22.5015.3%6.5%15.2%0.0%22.7%4.3%-0.9%-12.3M-948.4K-367.9K0.4810.13N/AN/A4,9602,36699,128126,540
2012-10-11$21.94$22.5022.6%6.5%14.3%34.1%23.4%5.0%-1.1%-8.2M56.7M-317.7K3.0710.86N/AN/A2,9008,89098,546127,680
2012-10-12$21.41$22.5024.7%7.1%16.1%43.7%23.3%4.1%-1.8%-1.5M97.8M-266.1K20.7414.39N/AN/A5,420112,39898,622131,150
2012-10-15$21.68$22.5025.5%7.3%16.9%47.6%24.7%4.6%-2.5%-5.1M84.4M-376.5K0.4812.61N/AN/A4,1881,99499,182144,310
2012-10-16$21.55$22.5024.9%7.1%16.5%44.7%23.9%5.1%-2.3%-5.1M95.0M-346.2K1.0012.47N/AN/A1,8581,86299,860145,202
2012-10-17$21.52$22.5024.9%7.1%16.5%44.7%24.3%5.5%-2.4%-5.0M96.1M-340.6K5.3813.44N/AN/A3,41818,400100,626145,450
2012-10-18$21.61$22.5025.8%7.4%16.6%48.8%25.1%5.3%-3.1%-9.6M98.2M-358.1K0.6013.05N/AN/A4,2962,59099,454160,764
2012-10-19$21.27$22.5026.1%7.5%16.8%50.4%26.0%4.8%-3.5%-32.9M117.9M-346.4K2.2610.28N/AN/A4,1429,350101,520161,360
2012-10-22$20.93$22.5027.2%7.8%17.6%55.7%28.0%5.4%-3.3%-3.4M83.4M-301.4K0.6316.64N/AN/A5,2683,30457,262101,928
2012-10-23$21.29$22.5028.1%8.1%18.9%59.7%28.0%5.1%-3.9%-4.4M71.5M-330.9K0.6911.38N/AN/A2,7201,88458,972102,788
2012-10-24$21.00$22.5028.9%8.3%18.6%63.5%29.4%4.5%-4.7%-3.3M76.6M-316.2K6.4913.61N/AN/A1,2067,82860,416103,388
2012-10-25$20.68$22.5029.0%8.3%18.5%64.1%29.6%5.3%-4.7%-3.3M95.6M-310.4K0.3518.39N/AN/A3,7661,32260,586109,580
2012-10-26$20.36$22.5031.6%9.1%18.9%75.9%30.1%4.4%-5.4%-2.6M101.5M-293.9K0.4113.41N/AN/A8,5463,47863,134109,946
2012-10-31$20.82$22.5038.6%11.1%20.1%100.0%38.8%4.0%-10.7%-2.6M74.9M-346.5K0.2225.51N/AN/A17,4303,82470,178110,820