TJX Options History — August 2013

In August 2013, TJX traded between $25.24 and $27.22. ATM implied volatility averaged 17.2%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.1% (HV 20d: 20.3%). Max pain ranged from $25.00 to $26.25. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2013-08-20: Highest Volume — 18,472 contracts
  • 2013-08-15: Largest IV spike — 52.0% change
  • 2013-08-19: Highest IV Rank — 38.3%
  • 2013-08-19: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.48$25.24$27.22$26.74$26.36
Max Pain$26.08$25.00$26.25$25.00$26.25
ATM IV17.2%14.3%24.3%16.6%19.3%
Expected Move5.3%4.1%7.0%4.7%5.5%
HV 20d20.3%11.8%30.5%12.3%28.7%
HV 60d18.0%15.6%20.8%16.1%20.7%
IV Rank20.5%13.1%38.3%18.8%25.8%
IV Percentile33.8%6.3%89.7%25.4%58.3%
Term Structure0.1%-2.9%3.8%1.3%0.4%
VWIV19.0%16.1%23.8%16.1%20.2%
Skew 25d3.1%2.2%3.9%3.1%3.6%
Skew 10d7.6%2.4%11.3%7.6%10.3%
Call IV 25d17.5%14.0%22.6%14.5%17.9%
Put IV 25d20.5%16.2%25.1%17.6%21.5%
Bid-Ask Spread %16.918.9829.5616.1615.73
Gamma HHI0.260.160.330.280.23
Net GEX1.2M-351.1K2.0M1.6M860.0K
Net DEX-33.5M-58.0M-5.9M-41.0M-24.9M
Net VEX-338.7K-388.5K-299.0K-315.2K-387.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.165.410.722.41
Total Volume4,414.5451,18618,4722,0241,574
Total OI90,43980,954102,71880,954102,718

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$26.74$25.0016.6%4.7%12.3%18.8%16.1%3.1%1.3%1.6M-41.0M-315.2K0.7216.16N/AN/A1,18084434,13446,820
2013-08-02$26.96$25.0014.3%4.1%12.0%13.1%16.1%2.2%3.8%1.7M-44.5M-311.8K0.7918.82N/AN/A1,04682234,11847,116
2013-08-05$27.13$25.0015.1%5.1%11.8%15.1%18.6%2.8%-0.6%1.7M-47.3M-299.0K0.9111.36N/AN/A1,1361,03434,39647,580
2013-08-06$26.88$26.2514.9%5.1%12.4%14.5%18.9%3.2%-0.1%1.6M-41.6M-311.5K1.4317.78N/AN/A1,0961,57034,65048,288
2013-08-07$26.45$26.2517.3%5.7%13.7%20.6%19.4%3.2%-0.9%1.3M-32.5M-325.4K1.0829.56N/AN/A2,8923,11235,03248,860
2013-08-08$26.39$26.2515.8%5.4%13.4%16.9%18.6%3.0%-0.3%1.4M-31.4M-331.1K0.5017.63N/AN/A4,0162,01036,12049,306
2013-08-09$26.20$26.2514.5%5.5%13.7%13.5%19.4%3.3%-0.4%1.3M-27.3M-323.3K0.1618.99N/AN/A1,54825036,44048,742
2013-08-12$26.20$26.2514.7%5.5%13.7%14.2%20.2%3.1%-0.6%1.4M-27.6M-321.0K0.2819.53N/AN/A2,13260436,81448,808
2013-08-13$26.34$26.2515.0%5.5%13.8%14.9%19.7%3.3%-0.7%1.6M-29.1M-326.7K0.308.98N/AN/A91227435,70248,776
2013-08-14$25.98$26.2514.5%5.7%14.6%13.6%21.4%3.4%-0.9%1.4M-21.3M-328.8K3.4919.49N/AN/A7442,59635,84848,676
2013-08-15$25.39$26.2522.1%6.3%16.7%32.7%21.2%3.9%-1.5%-148.2K-7.9M-332.2K0.4328.75N/AN/A1,32256235,73250,264
2013-08-16$25.24$26.2522.9%6.6%16.8%34.9%22.5%2.3%-2.1%-351.1K-5.9M-331.4K0.1814.89N/AN/A9,2961,68235,72650,326
2013-08-19$25.38$26.2524.3%7.0%16.9%38.3%23.8%2.5%-2.9%858.8K-13.0M-360.4K1.4912.53N/AN/A4,6706,95239,64049,862
2013-08-20$27.12$26.2516.0%4.6%29.4%17.4%17.9%3.0%0.8%2.0M-58.0M-319.3K0.8317.17N/AN/A10,0708,40241,01253,818
2013-08-21$27.06$26.2516.4%4.7%29.2%18.3%16.6%2.6%0.8%1.6M-51.1M-322.7K0.6018.09N/AN/A3,2941,97239,91853,784
2013-08-22$27.08$26.2516.6%4.8%29.2%18.8%17.5%2.8%0.9%1.6M-50.6M-332.9K5.4118.50N/AN/A1,0085,45040,46855,112
2013-08-23$27.22$26.2516.2%4.7%29.2%18.0%17.2%3.1%0.8%1.5M-51.8M-344.7K1.7617.84N/AN/A7361,29240,53659,266
2013-08-26$27.02$26.2516.4%4.7%29.4%18.3%17.5%3.1%1.1%1.3M-43.8M-367.2K1.9014.87N/AN/A8421,59840,55659,948
2013-08-27$26.48$26.2519.2%5.5%30.4%25.5%19.4%2.7%0.4%1.0M-29.3M-387.4K0.8910.75N/AN/A1,1881,05840,73660,868
2013-08-28$26.40$26.2518.4%5.3%30.5%23.4%18.3%3.5%1.0%989.6K-26.9M-388.5K1.0110.62N/AN/A91892640,67860,926
2013-08-29$26.50$26.2518.5%5.3%28.8%23.8%18.3%3.5%0.9%1.1M-30.0M-383.2K4.3013.97N/AN/A4702,02040,67860,860
2013-08-30$26.36$26.2519.3%5.5%28.7%25.8%20.2%3.6%0.4%860.0K-24.9M-387.1K2.4115.73N/AN/A4621,11240,72061,998