TJX Options History — December 2012

In December 2012, TJX traded between $20.61 and $22.02. ATM implied volatility averaged 22.6%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.0% (HV 20d: 19.6%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2012-12-19: Highest Volume — 9,886 contracts
  • 2012-12-26: Largest IV spike — 17.6% change
  • 2012-12-26: Highest IV Rank — 35.5%
  • 2012-12-26: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.38$20.61$22.02$22.02$21.23
Max Pain$20.25$20.00$21.25$21.25$20.00
ATM IV22.6%19.3%27.2%19.3%24.6%
Expected Move6.6%5.5%7.8%5.5%7.0%
HV 20d19.6%16.1%23.3%22.5%18.7%
HV 60d20.5%19.8%21.3%20.5%21.3%
IV Rank21.8%12.0%35.5%12.0%27.7%
IV Percentile54.0%20.2%84.9%20.2%65.9%
Term Structure0.3%-1.4%3.0%2.3%-1.0%
VWIV23.3%20.0%26.3%20.0%24.7%
Skew 25d4.1%2.9%5.3%5.3%4.0%
Skew 10d9.4%7.4%13.9%13.9%9.5%
Call IV 25d21.7%17.2%24.6%17.2%24.2%
Put IV 25d25.8%22.0%28.9%22.5%28.2%
Bid-Ask Spread %15.6610.5719.0914.8117.30
Gamma HHI0.350.280.410.400.33
Net GEX2.4M1.1M3.4M3.0M1.7M
Net DEX-35.0M-60.4M-11.4M-60.4M-26.2M
Net VEX-278.9K-316.2K-241.2K-302.6K-257.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.242.320.800.45
Total Volume4,165.51,0349,8865,1242,788
Total OI127,463.2112,872133,202126,962118,636

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$22.02$21.2519.3%5.5%22.5%12.0%20.0%5.3%2.3%3.0M-60.4M-302.6K0.8014.81N/AN/A2,8502,27467,86259,100
2012-12-04$21.68$21.2522.1%6.3%23.3%20.3%21.4%3.4%1.5%2.6M-44.4M-304.3K1.1819.04N/AN/A2,1722,56467,81459,986
2012-12-05$21.66$21.2521.5%6.2%22.8%18.6%20.8%3.3%2.0%2.6M-43.3M-304.0K0.8915.08N/AN/A2,6842,37668,61861,074
2012-12-06$21.77$21.2520.9%6.0%22.1%16.7%21.0%2.9%3.0%2.8M-49.4M-316.2K0.8619.09N/AN/A1,08693869,99860,798
2012-12-07$21.73$20.0020.9%6.8%21.1%16.9%22.5%4.4%-0.3%2.8M-46.4M-310.8K1.1716.26N/AN/A1,1301,32470,05860,802
2012-12-10$21.54$20.0021.4%6.8%21.4%18.2%23.7%4.1%-0.2%2.7M-39.9M-300.0K0.8614.89N/AN/A1,7761,53470,80260,958
2012-12-11$21.32$20.0020.7%6.7%21.8%16.1%23.7%4.4%-0.1%2.5M-31.1M-291.7K2.3216.78N/AN/A1,0042,33471,96661,172
2012-12-12$21.29$20.0020.4%6.7%19.9%15.3%23.4%4.3%-0.3%2.4M-30.5M-290.2K1.5514.37N/AN/A1,2381,91871,82860,812
2012-12-13$21.25$20.0023.1%6.6%19.9%23.4%23.3%3.5%0.1%2.6M-32.1M-281.2K1.2815.49N/AN/A8261,05471,93660,182
2012-12-14$21.30$20.0022.9%6.6%19.9%22.8%25.6%4.2%0.3%2.7M-33.5M-279.5K0.8514.46N/AN/A55847672,08660,422
2012-12-17$21.81$20.0023.4%6.7%21.2%24.4%23.6%3.6%-0.1%3.3M-54.3M-276.5K1.0014.91N/AN/A2,3062,31672,27060,226
2012-12-18$21.84$20.0023.2%6.6%16.3%23.5%22.3%3.3%-0.0%3.4M-55.3M-270.2K0.4715.29N/AN/A4,0841,93072,21660,038
2012-12-19$21.63$20.0022.4%6.4%16.1%21.4%22.2%3.7%0.3%2.7M-45.1M-267.2K0.2414.97N/AN/A7,9641,92272,01261,190
2012-12-20$21.18$20.0023.1%6.6%17.7%23.4%23.6%5.0%-0.0%2.5M-27.1M-263.9K1.3313.18N/AN/A3,5984,77471,65260,138
2012-12-21$20.98$20.0022.7%6.5%17.4%22.2%25.3%4.0%0.6%1.7M-14.8M-258.5K1.2914.75N/AN/A1,6722,16470,90861,206
2012-12-24$21.11$20.0023.1%6.6%17.4%23.4%24.0%4.5%0.2%1.6M-23.6M-251.1K0.8810.57N/AN/A1,1761,04058,23454,638
2012-12-26$20.61$20.0027.2%7.8%18.9%35.5%24.8%4.0%-1.4%1.1M-11.4M-241.2K0.6017.25N/AN/A4,2442,55858,76055,096
2012-12-27$20.77$20.0023.8%6.8%17.0%25.5%24.7%4.7%-0.5%1.2M-14.1M-252.2K0.5116.54N/AN/A2,5661,30659,39656,786
2012-12-28$20.81$20.0024.7%7.1%17.1%28.1%26.3%4.3%-0.5%1.4M-17.4M-260.3K1.0018.24N/AN/A1,3921,39460,21857,370
2012-12-31$21.23$20.0024.6%7.0%18.7%27.7%24.7%4.0%-1.0%1.7M-26.2M-257.1K0.4517.30N/AN/A1,92486460,75857,878