TJX Options History — July 2013

In July 2013, TJX traded between $25.12 and $26.21. ATM implied volatility averaged 16.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.7% (HV 20d: 13.9%). Max pain ranged from $23.75 to $25.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-07-19: Highest Volume — 6,718 contracts
  • 2013-07-08: Largest IV drop — 13.2% change
  • 2013-07-02: Highest IV Rank — 24.3%
  • 2013-07-05: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.86$25.12$26.21$25.23$26.02
Max Pain$24.83$23.75$25.00$23.75$25.00
ATM IV16.6%15.2%18.7%18.7%16.1%
Expected Move4.8%4.4%5.4%5.4%4.6%
HV 20d13.9%8.4%18.7%18.5%8.4%
HV 60d16.4%15.4%17.7%17.6%15.4%
IV Rank18.9%15.4%24.3%24.2%17.7%
IV Percentile22.5%10.7%38.5%37.7%21.8%
Term Structure2.1%0.0%3.0%0.7%2.4%
VWIV17.3%15.8%20.0%18.7%16.1%
Skew 25d2.7%0.9%4.8%4.3%4.2%
Skew 10d5.7%-1.6%9.6%9.6%5.0%
Call IV 25d16.2%13.6%17.8%16.4%13.6%
Put IV 25d18.9%17.3%22.0%20.7%17.8%
Bid-Ask Spread %15.5110.9124.1614.6817.37
Gamma HHI0.340.190.830.250.28
Net GEX1.6M-1.3M12.6M-1.2M1.1M
Net DEX-35.6M-56.5M-20.7M-24.0M-27.7M
Net VEX-320.2K-366.5K-295.6K-366.5K-330.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.042.510.130.49
Total Volume2,301.9093926,7181,0721,198
Total OI121,559.18271,688152,554144,28880,364

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$25.23$23.7518.7%5.4%18.5%24.2%18.7%4.3%0.7%-1.2M-24.0M-366.5K0.1314.68N/AN/A94612637,182107,106
2013-07-02$25.12$23.7518.7%5.4%18.5%24.3%18.9%4.2%0.0%-1.3M-22.1M-364.9K0.6213.37N/AN/A59637237,492107,176
2013-07-03$25.14$23.7518.6%5.3%18.2%24.0%19.5%4.8%0.4%-1.2M-22.9M-362.1K1.1915.89N/AN/A30636437,714107,302
2013-07-05$25.46$25.0018.3%5.4%18.6%23.2%20.0%4.1%1.6%-246.4K-32.2M-341.7K0.9018.94N/AN/A20618637,904107,432
2013-07-08$25.70$25.0015.9%4.9%18.6%17.1%17.7%3.5%2.9%463.5K-38.6M-323.7K0.8920.13N/AN/A1,2701,13637,966107,452
2013-07-09$25.63$25.0015.5%4.9%18.6%16.1%17.9%3.6%2.6%376.8K-37.0M-322.6K0.1724.16N/AN/A2,49441438,196107,694
2013-07-10$25.89$25.0015.2%4.8%18.5%15.4%17.5%3.5%2.4%705.3K-44.6M-320.3K0.1113.92N/AN/A1,21413838,982107,766
2013-07-11$26.12$25.0016.7%4.8%18.7%19.2%17.9%3.0%2.3%1.5M-51.4M-304.9K0.2315.97N/AN/A1,17627639,680107,882
2013-07-12$26.16$25.0016.6%4.8%16.9%18.9%16.9%3.0%2.7%1.4M-52.0M-303.5K0.1113.47N/AN/A3,31237439,376107,928
2013-07-15$26.09$25.0017.3%5.0%15.8%20.6%17.5%1.6%2.3%2.3M-52.7M-302.2K0.1512.31N/AN/A2,52838641,064108,162
2013-07-16$26.13$25.0017.2%4.9%14.9%20.4%17.1%2.3%1.9%3.1M-53.8M-303.9K0.3516.94N/AN/A2,76096242,636108,318
2013-07-17$26.21$25.0016.7%4.8%14.1%19.2%16.7%3.2%2.4%4.8M-56.5M-301.7K0.0419.12N/AN/A1,3665443,576108,978
2013-07-18$26.20$25.0016.0%4.6%12.9%17.3%16.1%1.8%3.0%6.0M-55.5M-298.6K0.2911.66N/AN/A1,90454643,072108,732
2013-07-19$26.20$25.0016.0%4.6%10.5%17.4%16.5%2.3%2.6%12.6M-51.9M-295.6K0.1819.47N/AN/A5,6801,03842,766108,758
2013-07-22$26.08$25.0016.0%4.6%10.5%17.4%16.4%1.4%2.5%482.2K-23.1M-302.2K0.3511.60N/AN/A1,62857227,36444,324
2013-07-23$25.97$25.0016.0%4.6%9.2%17.3%16.7%1.6%2.3%559.5K-23.1M-307.5K2.5118.01N/AN/A6501,63228,57044,596
2013-07-24$25.80$25.0016.3%4.7%9.6%18.2%16.5%1.1%2.0%460.8K-20.7M-313.9K0.7713.15N/AN/A1,05481428,96444,592
2013-07-25$25.89$25.0015.4%4.4%9.5%15.8%17.5%1.6%2.6%499.1K-21.8M-308.2K0.2111.17N/AN/A4,41091829,01845,146
2013-07-26$25.82$25.0015.4%4.4%8.9%15.8%15.8%1.5%2.6%570.5K-21.5M-323.9K0.7215.53N/AN/A39828830,74445,958
2013-07-29$25.90$25.0016.2%4.6%8.9%17.9%17.1%1.2%2.5%628.9K-22.7M-319.8K0.2113.57N/AN/A2,38450030,91846,128
2013-07-30$26.05$25.0016.4%4.7%8.7%18.3%16.2%0.9%2.3%1.0M-27.8M-326.0K0.5210.91N/AN/A1,35870833,02446,300
2013-07-31$26.02$25.0016.1%4.6%8.4%17.7%16.1%4.2%2.4%1.1M-27.7M-330.3K0.4917.37N/AN/A80639233,70046,664