TJX Options History — March 2013

In March 2013, TJX traded between $22.30 and $23.56. ATM implied volatility averaged 14.1%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.5% (HV 20d: 13.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-03-11: Highest Volume — 121,108 contracts
  • 2013-03-14: Largest IV spike — 32.6% change
  • 2013-03-18: Highest IV Rank — 13.2%
  • 2013-03-04: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.75$22.30$23.56$22.49$23.38
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV14.1%10.7%15.7%15.1%13.5%
Expected Move4.4%3.9%5.1%4.3%3.9%
HV 20d13.6%11.0%14.4%13.9%11.1%
HV 60d15.4%13.9%16.4%16.4%13.9%
IV Rank6.7%0.0%13.2%4.3%7.4%
IV Percentile3.4%0.0%9.9%2.4%1.6%
Term Structure2.4%1.8%3.3%2.2%2.2%
VWIV15.8%14.1%17.7%17.7%14.1%
Skew 25d2.9%1.5%6.5%6.5%1.7%
Skew 10d6.9%2.9%10.6%10.5%2.9%
Call IV 25d14.2%11.3%16.1%11.9%12.5%
Put IV 25d17.1%14.1%19.7%18.4%14.1%
Bid-Ask Spread %14.217.3919.6819.1014.12
Gamma HHI0.770.530.930.800.58
Net GEX17.0M7.3M36.6M16.1M8.6M
Net DEX-94.7M-153.7M-44.2M-74.9M-142.4M
Net VEX-420.9K-494.8K-321.8K-399.1K-417.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.004.031.030.40
Total Volume11,468.71,284121,1081,4061,284
Total OI160,638.1141,852209,702156,104160,264

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$22.49$22.5015.1%4.3%13.9%4.3%17.7%6.5%2.2%16.1M-74.9M-399.1K1.0319.10N/AN/A692714102,41453,690
2013-03-04$22.60$22.5015.5%5.1%14.0%5.5%17.7%3.6%2.3%17.7M-88.1M-375.4K0.2912.61N/AN/A1,716500102,64453,680
2013-03-05$22.59$22.5014.6%4.9%14.0%3.0%17.0%3.0%2.5%19.4M-88.2M-370.7K0.8516.32N/AN/A1,014860102,49253,824
2013-03-06$22.47$22.5015.5%4.9%13.8%5.5%17.4%3.3%2.6%19.1M-70.1M-362.6K0.6719.68N/AN/A3,3202,210102,43454,000
2013-03-07$22.31$22.5013.6%4.7%13.9%0.1%16.7%2.8%2.8%20.8M-44.2M-351.7K0.2815.59N/AN/A9,6142,686102,67454,434
2013-03-08$22.45$22.5012.1%4.6%14.1%0.0%15.9%3.0%3.1%28.9M-67.3M-351.8K0.507.39N/AN/A1,268628105,76454,862
2013-03-11$22.39$22.5012.5%4.5%13.9%1.0%15.6%2.8%3.3%34.1M-53.9M-321.8K0.0013.04N/AN/A120,702406105,76254,804
2013-03-12$22.30$22.5010.7%4.6%13.8%0.0%16.3%2.3%2.4%36.6M-86.5M-468.3K4.0316.98N/AN/A3,01612,160154,74654,956
2013-03-13$22.51$22.5011.5%4.4%14.3%2.0%15.9%2.9%2.4%15.8M-84.8M-492.2K2.1111.62N/AN/A1,3062,762115,43063,920
2013-03-14$22.60$22.5015.2%4.4%14.3%11.8%15.3%2.4%2.8%12.8M-92.5M-494.8K0.5313.70N/AN/A2,0261,064114,11262,852
2013-03-15$22.46$22.5015.3%4.4%14.3%12.0%15.5%2.5%2.8%31.6M-61.6M-482.9K0.7011.57N/AN/A2,3561,654114,81663,176
2013-03-18$22.48$22.5015.7%4.5%14.3%13.2%16.1%1.9%1.8%11.1M-74.2M-465.4K1.0113.74N/AN/A2,3822,41294,51247,340
2013-03-19$22.55$22.5015.7%4.5%14.3%13.1%17.0%2.6%2.0%11.3M-80.1M-474.6K0.6111.81N/AN/A1,6941,02895,67448,438
2013-03-20$22.70$22.5014.7%4.2%12.5%10.5%15.0%2.5%2.5%12.1M-92.1M-474.3K0.2614.57N/AN/A3,8761,00696,99449,092
2013-03-21$22.80$22.5014.9%4.3%12.5%11.0%14.8%2.9%2.4%12.3M-105.0M-470.0K0.4314.96N/AN/A4,4221,91699,20849,390
2013-03-22$23.31$22.5013.6%3.9%14.4%7.6%14.1%1.5%2.4%9.7M-138.4M-416.1K1.4814.37N/AN/A10,32215,30696,28850,504
2013-03-25$23.56$22.5014.1%4.0%13.2%8.9%14.5%3.7%1.8%7.3M-153.7M-405.1K0.8414.20N/AN/A3,3662,82099,73058,692
2013-03-26$23.51$22.5013.6%3.9%13.3%7.5%14.2%3.4%2.4%7.7M-151.3M-403.7K0.9014.77N/AN/A1,4921,33699,74659,334
2013-03-27$23.45$22.5014.1%4.1%11.0%9.0%14.6%2.6%1.8%7.9M-145.8M-420.1K0.1714.05N/AN/A1,744294100,18259,888
2013-03-28$23.38$22.5013.5%3.9%11.1%7.4%14.1%1.7%2.2%8.6M-142.4M-417.4K0.4014.12N/AN/A918366100,33659,928