TJX Options History — November 2012 In November 2012, TJX traded between $20.18 and $22.17. ATM implied volatility averaged 28.2%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.3% (HV 20d: 23.9%). Max pain ranged from $21.25 to $22.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2012-11-12 : Highest Volume — 28,144 contracts2012-11-13 : Largest IV drop — 50.4% change2012-11-07 : Highest IV Rank — 100.0%2012-11-02 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $21.27 $20.18 $22.17 $21.15 $22.17 Max Pain $21.37 $21.25 $22.50 $22.50 $21.25 ATM IV 28.2% 18.9% 48.8% 32.9% 19.1% Expected Move 6.9% 5.4% 9.9% 9.4% 5.5% HV 20d 23.9% 21.3% 27.1% 21.3% 23.6% HV 60d 19.5% 17.9% 20.9% 17.9% 20.6% IV Rank 46.5% 10.9% 100.0% 75.8% 11.3% IV Percentile 61.8% 14.3% 100.0% 97.2% 16.7% Term Structure -0.3% -8.6% 2.9% -7.2% 2.9% VWIV 24.6% 20.1% 35.0% 33.2% 21.8% Skew 25d 4.3% 2.4% 6.7% 4.5% 6.7% Skew 10d 10.6% 4.9% 14.9% 14.1% 14.2% Call IV 25d 22.5% 15.3% 33.5% 31.3% 15.3% Put IV 25d 26.8% 21.9% 36.4% 35.8% 22.0% Bid-Ask Spread % 15.31 10.08 23.12 13.90 15.07 Gamma HHI 0.37 0.25 0.67 0.42 0.40 Net GEX 804.1K -2.5M 3.9M -2.3M 2.9M Net DEX 28.0M -63.5M 105.8M 60.5M -63.5M Net VEX -287.5K -359.2K -231.3K -359.2K -314.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.13 2.94 0.45 1.14 Total Volume 7,987.524 2,188 28,144 15,862 3,942 Total OI 159,776 95,588 197,688 194,850 126,676
Daily Data (21 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 2012-11-01 $21.15 $22.50 32.9% 9.4% 21.3% 75.8% 33.2% 4.5% -7.2% -2.3M 60.5M -359.2K 0.45 13.90 N/A N/A 10,958 4,904 81,538 113,312 2012-11-02 $20.76 $22.50 34.5% 9.9% 21.9% 82.5% 35.0% 2.8% -8.6% -1.5M 77.5M -336.2K 1.56 18.64 N/A N/A 1,680 2,614 83,062 114,626 2012-11-05 $21.00 $21.25 37.2% 7.5% 22.3% 94.1% 28.5% 5.0% -1.3% -2.5M 70.6M -324.6K 0.29 22.30 N/A N/A 5,870 1,706 77,546 113,650 2012-11-06 $20.78 $21.25 37.6% 7.6% 22.4% 95.8% 26.5% 5.1% -1.6% -2.1M 81.7M -305.9K 0.41 21.66 N/A N/A 5,196 2,156 76,068 113,608 2012-11-07 $20.51 $21.25 40.4% 8.2% 22.6% 100.0% 27.9% 4.6% -2.4% -1.5M 91.3M -295.0K 0.34 23.12 N/A N/A 1,636 552 78,426 114,092 2012-11-08 $20.18 $21.25 41.8% 8.1% 22.8% 100.0% 29.7% 4.1% -1.5% -853.5K 105.8M -270.8K 0.39 11.48 N/A N/A 1,836 710 78,826 114,234 2012-11-09 $20.36 $21.25 43.2% 8.2% 23.2% 100.0% 27.5% 5.1% -1.8% -922.6K 99.4M -274.3K 0.13 15.82 N/A N/A 4,452 572 79,698 114,330 2012-11-12 $20.48 $21.25 48.8% 8.4% 22.8% 100.0% 28.1% 4.9% -2.0% -626.6K 97.5M -265.7K 0.27 16.12 N/A N/A 22,222 5,922 80,664 114,434 2012-11-13 $21.03 $21.25 24.2% 6.4% 23.7% 26.6% 23.4% 3.6% 0.2% 941.7K 87.8M -248.7K 0.63 10.08 N/A N/A 6,804 4,260 78,410 114,532 2012-11-14 $21.05 $21.25 21.9% 6.5% 23.2% 19.8% 23.5% 3.8% 0.3% 1.3M 89.1M -246.7K 0.43 11.97 N/A N/A 2,258 962 77,822 114,574 2012-11-15 $21.00 $21.25 22.3% 6.4% 23.1% 20.9% 23.0% 3.6% 0.4% 1.3M 96.8M -240.3K 0.25 12.08 N/A N/A 5,132 1,262 77,564 114,708 2012-11-16 $21.23 $21.25 21.8% 6.3% 23.5% 19.5% 21.7% 2.4% 1.2% 3.9M 86.9M -243.4K 0.37 12.38 N/A N/A 6,348 2,328 77,598 114,616 2012-11-19 $22.04 $21.25 19.4% 5.6% 27.1% 12.3% 20.1% 3.7% 1.9% 1.4M -43.6M -231.3K 0.23 17.91 N/A N/A 15,924 3,640 46,926 48,662 2012-11-20 $21.77 $21.25 21.9% 6.3% 26.9% 19.7% 20.7% 4.7% 1.5% 2.4M -47.3M -285.2K 0.43 11.59 N/A N/A 3,862 1,660 58,582 50,692 2012-11-21 $21.73 $21.25 21.4% 6.1% 26.1% 18.4% 20.4% 3.8% 1.8% 2.3M -47.0M -289.3K 0.50 15.08 N/A N/A 3,140 1,568 59,864 51,408 2012-11-23 $21.95 $21.25 18.9% 5.4% 25.7% 10.9% 20.1% 2.9% 1.6% 2.6M -54.7M -288.6K 0.83 12.80 N/A N/A 2,154 1,784 61,708 51,938 2012-11-26 $21.75 $21.25 22.6% 6.5% 25.3% 21.9% 22.1% 4.4% 1.5% 2.5M -47.9M -297.4K 2.94 12.88 N/A N/A 1,306 3,846 63,004 53,066 2012-11-27 $21.55 $21.25 21.7% 6.2% 24.9% 19.1% 21.5% 4.4% 1.7% 2.2M -40.4M -296.9K 1.29 14.11 N/A N/A 1,916 2,466 63,436 55,484 2012-11-28 $22.02 $21.25 20.9% 6.0% 25.0% 16.7% 22.4% 5.5% 1.8% 2.6M -54.3M -311.0K 0.64 15.05 N/A N/A 6,120 3,946 64,412 57,284 2012-11-29 $22.06 $21.25 19.2% 5.5% 24.1% 11.7% 20.5% 5.8% 2.4% 2.8M -58.9M -312.2K 0.58 17.48 N/A N/A 5,130 2,994 66,162 58,054 2012-11-30 $22.17 $21.25 19.1% 5.5% 23.6% 11.3% 21.8% 6.7% 2.9% 2.9M -63.5M -314.0K 1.14 15.07 N/A N/A 1,846 2,096 67,552 59,124
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