TJX Options History — May 2013

In May 2013, TJX traded between $24.18 and $25.86. ATM implied volatility averaged 17.5%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 16.3%). Max pain ranged from $23.75 to $25.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-05-08: Highest Volume — 11,966 contracts
  • 2013-05-16: Largest IV spike — 91.8% change
  • 2013-05-20: Highest IV Rank — 28.5%
  • 2013-05-20: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.22$24.18$25.86$24.18$25.30
Max Pain$24.20$23.75$25.00$23.75$25.00
ATM IV17.5%9.1%20.4%19.4%19.9%
Expected Move5.4%4.7%5.9%5.6%5.7%
HV 20d16.3%13.2%18.7%16.5%18.4%
HV 60d14.8%14.1%15.8%14.1%15.6%
IV Rank19.7%0.0%28.5%22.9%27.2%
IV Percentile29.2%0.0%51.2%37.3%47.2%
Term Structure-0.5%-1.8%1.6%0.7%-0.8%
VWIV18.9%17.2%20.9%18.0%18.4%
Skew 25d3.1%1.9%5.7%3.2%3.9%
Skew 10d7.8%1.7%11.2%8.5%11.1%
Call IV 25d17.9%14.1%20.5%17.7%18.0%
Put IV 25d21.0%18.1%22.9%20.9%21.9%
Bid-Ask Spread %18.3810.9228.4219.7115.09
Gamma HHI0.320.250.390.340.35
Net GEX-512.1K-2.0M1.4M-1.5M-1.5M
Net DEX-30.4M-55.2M-2.8M-2.8M-22.3M
Net VEX-446.3K-522.3K-374.7K-522.3K-455.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.081.990.751.03
Total Volume4,253.81842211,9668881,216
Total OI140,977.818129,428149,380137,420146,228

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$24.18$23.7519.4%5.6%16.5%22.9%18.0%3.2%0.7%-1.5M-2.8M-522.3K0.7519.71N/AN/A50638242,09295,328
2013-05-02$24.43$23.7517.2%4.9%16.7%17.0%19.7%1.9%1.3%-867.9K-11.4M-506.8K1.2817.73N/AN/A55671042,13495,558
2013-05-03$24.77$23.7517.1%4.9%17.1%16.7%17.7%5.7%1.6%-34.4K-24.9M-484.9K0.5619.98N/AN/A1,19867442,06495,958
2013-05-06$24.64$23.7518.3%5.4%17.2%19.8%19.0%3.3%-1.3%-165.8K-19.8M-477.7K0.2118.13N/AN/A1,28026842,13496,080
2013-05-07$25.02$23.7518.7%5.4%17.8%21.0%19.2%2.2%-1.2%536.7K-33.8M-450.2K0.6820.34N/AN/A1,39495042,53296,244
2013-05-08$25.20$23.7519.2%5.4%17.8%22.3%19.1%2.7%-1.0%637.7K-41.1M-437.1K0.3519.34N/AN/A8,8503,11642,57896,768
2013-05-09$25.34$23.7515.6%5.5%15.7%12.7%18.3%2.9%-1.2%833.0K-45.5M-442.2K0.5819.24N/AN/A6,7423,89245,75898,880
2013-05-10$25.48$23.7514.2%5.5%15.6%9.2%19.9%3.4%-1.4%1.4M-55.2M-431.1K0.4317.01N/AN/A3,4821,50249,300100,080
2013-05-13$25.32$23.7515.8%5.6%13.3%13.5%18.6%3.9%-1.1%739.1K-43.0M-441.1K0.0919.59N/AN/A8,73279046,936100,256
2013-05-14$25.73$23.759.1%5.4%14.0%0.0%19.5%2.8%-1.3%914.4K-48.3M-412.6K0.2010.92N/AN/A4,08081443,340100,540
2013-05-15$25.81$23.7510.6%5.5%13.2%3.8%19.4%2.9%-1.6%33.6K-51.7M-395.5K0.2218.26N/AN/A3,43074242,882100,890
2013-05-16$25.38$23.7520.3%5.8%13.9%28.3%19.6%3.1%-1.3%65.6K-40.6M-424.4K0.7016.14N/AN/A1,29691243,896100,410
2013-05-17$25.66$23.7519.2%5.5%14.1%25.4%19.8%4.1%-1.7%-937.1K-46.6M-413.3K0.2319.19N/AN/A1,77841644,380100,752
2013-05-20$25.68$23.7520.4%5.9%14.2%28.5%20.9%2.4%-1.8%-872.0K-35.4M-374.7K0.4028.42N/AN/A4,4581,77434,63494,794
2013-05-21$25.86$25.0016.3%4.7%14.2%18.0%17.2%2.4%0.9%-379.4K-39.7M-381.9K1.6319.34N/AN/A3,5765,84636,47695,612
2013-05-22$25.11$25.0018.2%5.2%18.6%22.8%18.1%2.9%0.3%-1.9M-15.1M-456.9K0.8617.86N/AN/A3,1042,65637,01699,558
2013-05-23$25.15$25.0018.2%5.2%17.7%22.8%18.0%2.1%0.6%-1.9M-15.9M-462.7K0.4519.94N/AN/A2,6001,18237,900100,120
2013-05-24$25.43$25.0018.9%5.4%17.9%24.7%17.7%3.7%-0.2%-1.2M-24.6M-456.0K0.4614.35N/AN/A1,09049639,516101,068
2013-05-28$25.34$25.0019.0%5.5%17.9%25.0%18.1%3.2%0.0%-1.3M-23.4M-447.6K1.7913.76N/AN/A1,2882,30839,896101,172
2013-05-29$25.00$25.0019.5%5.6%18.7%26.3%19.4%3.4%-0.0%-1.9M-13.3M-475.1K1.9920.27N/AN/A1,0282,04840,502103,186
2013-05-30$25.02$25.0019.4%5.6%18.4%26.1%19.4%2.5%0.1%-2.0M-13.7M-469.6K0.0819.83N/AN/A3903241,046105,018
2013-05-31$25.30$25.0019.9%5.7%18.4%27.2%18.4%3.9%-0.8%-1.5M-22.3M-455.7K1.0315.09N/AN/A60061641,214105,014