TJX Options History — January 2013

In January 2013, TJX traded between $21.59 and $22.76. ATM implied volatility averaged 16.9%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.4% (HV 20d: 20.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-01-11: Highest Volume — 77,080 contracts
  • 2013-01-03: Largest IV drop — 28.1% change
  • 2013-01-02: Highest IV Rank — 28.2%
  • 2013-01-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.22$21.59$22.76$21.59$22.59
Max Pain$21.90$20.00$22.50$20.00$22.50
ATM IV16.9%13.6%24.7%24.7%15.8%
Expected Move5.0%3.9%7.1%7.1%4.5%
HV 20d20.3%15.4%23.2%19.8%15.4%
HV 60d21.4%19.3%22.7%21.6%19.3%
IV Rank6.6%0.0%28.2%28.2%6.4%
IV Percentile9.9%0.0%67.5%67.5%4.4%
Term Structure3.0%-1.9%5.3%-1.9%3.9%
VWIV17.5%13.8%24.9%24.9%16.0%
Skew 25d5.3%3.0%7.5%5.5%6.9%
Skew 10d9.4%3.6%14.0%14.0%10.9%
Call IV 25d14.6%10.0%22.6%22.6%11.6%
Put IV 25d19.9%16.8%28.1%28.1%18.5%
Bid-Ask Spread %16.318.5126.1715.2016.77
Gamma HHI0.710.330.950.330.90
Net GEX12.0M2.0M23.6M2.0M18.3M
Net DEX-82.9M-157.7M-37.6M-37.6M-95.8M
Net VEX-348.8K-518.4K-226.6K-258.2K-413.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.032.621.631.58
Total Volume11,221.14398877,08013,6022,696
Total OI149,768.667118,790246,214118,790144,792

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$21.59$20.0024.7%7.1%19.8%28.2%24.9%5.5%-1.9%2.0M-37.6M-258.2K1.6315.20N/AN/A5,1708,43260,53658,254
2013-01-03$22.29$20.0017.8%5.1%22.2%7.5%18.1%4.1%2.3%2.8M-63.0M-252.6K0.7416.31N/AN/A7,5065,57662,03463,784
2013-01-04$22.28$21.2517.2%5.7%22.2%5.8%21.3%3.4%1.8%2.6M-59.8M-243.9K0.418.51N/AN/A3,8781,58660,26662,898
2013-01-07$22.13$21.2517.8%5.8%22.3%7.4%21.5%3.2%1.5%2.6M-55.7M-243.8K0.659.70N/AN/A1,39890461,58063,484
2013-01-08$21.75$21.2520.2%6.1%23.2%14.8%22.9%3.0%1.2%2.3M-43.3M-239.2K2.6217.70N/AN/A1,3283,48261,64463,482
2013-01-09$21.84$21.2520.2%6.2%23.0%14.6%21.1%3.7%0.6%2.4M-46.2M-233.5K0.5316.02N/AN/A1,9881,05461,51663,466
2013-01-10$21.86$21.2521.4%6.1%22.7%18.2%19.4%3.3%0.8%2.4M-48.0M-231.1K0.319.10N/AN/A1,54847861,39863,532
2013-01-11$21.98$21.2517.1%4.9%22.7%5.4%16.9%5.6%3.4%2.5M-53.0M-226.6K0.0312.66N/AN/A74,8562,22461,94463,692
2013-01-14$21.96$22.5017.9%5.1%22.7%7.7%17.8%5.3%3.0%11.7M-102.8M-377.6K0.2511.19N/AN/A1,980486134,45665,354
2013-01-15$22.18$22.5016.8%4.8%22.8%4.6%16.8%6.3%3.6%23.6M-157.7M-518.4K0.0919.64N/AN/A36,6683,238180,80265,412
2013-01-16$22.16$22.5016.5%4.7%21.4%3.5%17.4%6.1%3.8%15.7M-123.4M-419.4K0.2718.60N/AN/A2,216608140,82067,376
2013-01-17$22.30$22.5015.4%4.4%21.5%0.3%15.3%5.8%4.4%19.6M-125.4M-414.9K0.0418.64N/AN/A16,250594134,30267,434
2013-01-18$22.38$22.5014.8%4.2%21.1%0.0%14.9%3.0%5.3%22.9M-126.8M-411.4K1.1412.94N/AN/A3,2623,704135,74667,882
2013-01-22$22.34$22.5014.4%4.1%19.4%0.0%14.4%6.4%4.1%15.4M-72.3M-401.8K0.2715.73N/AN/A4,7881,31095,94832,250
2013-01-23$22.21$22.5014.0%4.0%19.1%0.0%14.3%5.0%4.2%15.4M-59.4M-393.1K0.2118.49N/AN/A81417497,35433,282
2013-01-24$22.43$22.5014.0%4.0%19.3%0.0%14.0%5.8%4.9%17.5M-81.5M-403.5K0.5117.07N/AN/A3,3121,68097,69433,416
2013-01-25$22.56$22.5013.6%3.9%16.5%0.0%13.8%6.9%4.5%18.5M-92.2M-409.0K0.8117.29N/AN/A3,3862,74898,74834,868
2013-01-28$22.47$22.5015.5%4.4%16.8%5.4%15.5%7.0%3.8%17.4M-84.9M-410.6K0.7126.17N/AN/A5,7064,034100,86437,406
2013-01-29$22.63$22.5015.5%4.5%16.8%5.5%16.0%7.5%3.8%17.7M-99.0M-416.8K0.3125.43N/AN/A1,832564101,41440,952
2013-01-30$22.76$22.5014.8%4.2%15.8%3.5%14.8%7.5%4.5%18.7M-113.5M-406.2K0.2319.23N/AN/A9,8942,292101,94641,114
2013-01-31$22.59$22.5015.8%4.5%15.4%6.4%16.0%6.9%3.9%18.3M-95.8M-413.8K1.5816.77N/AN/A1,0441,652102,69642,096