TJX Options History — September 2013

In September 2013, TJX traded between $26.57 and $28.42. ATM implied volatility averaged 17.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.0% (HV 20d: 22.0%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-09-06: Highest Volume — 5,328 contracts
  • 2013-09-04: Largest IV drop — 14.5% change
  • 2013-09-03: Highest IV Rank — 28.5%
  • 2013-09-23: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.60$26.57$28.42$26.57$28.20
Max Pain$25.69$25.00$27.50$26.25$26.25
ATM IV17.0%15.6%20.4%20.4%17.2%
Expected Move5.9%4.8%6.7%5.8%6.6%
HV 20d22.0%13.4%29.1%28.8%13.8%
HV 60d19.9%19.5%20.8%20.7%19.6%
IV Rank20.0%16.3%28.5%28.5%20.5%
IV Percentile35.5%19.8%71.4%71.4%39.7%
Term Structure2.2%-0.2%3.6%-0.2%1.4%
VWIV21.0%17.1%25.9%20.7%22.7%
Skew 25d3.3%2.4%4.9%3.5%4.9%
Skew 10d8.5%5.3%13.5%8.7%11.8%
Call IV 25d16.3%13.9%18.8%18.8%15.5%
Put IV 25d19.5%17.7%22.2%22.2%20.4%
Bid-Ask Spread %14.788.4934.8411.7510.36
Gamma HHI0.240.180.380.230.25
Net GEX1.1M596.9K2.3M1.1M917.7K
Net DEX-48.9M-73.6M-30.0M-30.0M-44.8M
Net VEX-342.8K-390.2K-306.6K-390.2K-327.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.053.220.580.29
Total Volume2,423.28785,3281,3201,864
Total OI101,29189,228108,772103,43692,318

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$26.57$26.2520.4%5.8%28.8%28.5%20.7%3.5%-0.2%1.1M-30.0M-390.2K0.5811.75N/AN/A83848240,82062,616
2013-09-04$26.93$26.2517.4%5.0%29.1%21.0%18.5%4.7%1.6%1.4M-41.1M-376.5K0.5712.50N/AN/A1,53888241,20262,788
2013-09-05$27.06$26.2517.3%5.0%28.4%20.6%18.2%4.5%1.7%1.4M-46.1M-370.7K1.168.49N/AN/A78491241,66463,310
2013-09-06$26.96$25.0016.7%5.3%28.5%19.0%19.4%3.6%2.0%1.5M-44.5M-357.5K0.0511.27N/AN/A5,09823041,66863,570
2013-09-09$26.98$25.0017.3%5.3%28.3%20.5%19.1%3.3%1.8%2.3M-50.5M-368.6K3.228.99N/AN/A3521,13245,13263,640
2013-09-10$26.96$25.0016.9%5.1%28.3%19.5%18.8%3.0%2.5%1.1M-38.2M-360.9K0.6011.80N/AN/A65039239,31064,450
2013-09-11$27.29$25.0016.5%5.1%28.5%18.7%19.4%2.4%2.5%1.3M-47.7M-345.6K1.789.43N/AN/A7621,35639,42064,554
2013-09-12$27.04$25.0017.3%4.9%28.2%20.6%17.7%3.0%2.9%1.3M-41.1M-356.7K0.879.68N/AN/A50243639,33465,292
2013-09-13$27.10$25.0016.9%4.8%26.6%19.6%17.1%2.6%3.1%1.3M-42.4M-350.9K0.4119.07N/AN/A1,39456639,23065,496
2013-09-16$27.64$0.0017.3%6.5%27.0%20.6%0.0%2.8%2.9%1.5M-57.0M-335.5K0.3034.84N/AN/A3,17695639,92065,692
2013-09-17$27.97$0.0017.8%6.6%27.1%21.8%23.0%2.8%2.5%1.5M-65.9M-332.4K0.4229.95N/AN/A2,35499240,91266,226
2013-09-18$28.42$27.5015.8%6.6%15.2%16.8%0.0%2.6%3.5%1.1M-73.6M-321.9K0.1934.51N/AN/A2,93456241,28066,746
2013-09-19$28.36$27.5016.1%6.5%15.2%17.7%23.5%2.6%3.4%720.7K-70.5M-317.5K0.1814.44N/AN/A2,64648840,72465,780
2013-09-20$28.30$26.2515.6%6.5%15.3%16.3%24.4%2.8%3.6%878.5K-70.4M-319.9K0.5510.47N/AN/A67237241,36866,110
2013-09-23$28.06$25.0017.8%6.7%15.7%21.8%0.0%2.8%1.4%715.3K-43.4M-317.0K2.2710.86N/AN/A8421,91431,85257,376
2013-09-24$27.93$25.0017.6%6.7%15.5%21.3%25.9%2.8%1.7%615.1K-39.8M-335.3K1.0612.12N/AN/A1,0001,06432,12058,774
2013-09-25$27.81$25.0017.5%6.6%13.4%21.2%23.7%2.6%1.3%596.9K-37.9M-337.8K0.4411.05N/AN/A61026832,40658,838
2013-09-26$28.23$25.0015.6%6.5%14.0%16.5%23.3%4.9%1.9%770.0K-44.7M-327.5K0.0711.60N/AN/A2,85220632,67058,960
2013-09-27$28.23$26.2516.0%6.6%14.0%17.5%0.0%3.0%2.2%971.2K-48.0M-306.6K0.5012.36N/AN/A2,9261,46033,34058,912
2013-09-30$28.20$26.2517.2%6.6%13.8%20.5%22.7%4.9%1.4%917.7K-44.8M-327.0K0.2910.36N/AN/A1,44042433,40658,912