TJX Options History — October 2013

In October 2013, TJX traded between $27.34 and $30.39. ATM implied volatility averaged 18.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.5% (HV 20d: 17.3%). Max pain ranged from $25.00 to $26.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2013-10-22: Highest Volume — 9,584 contracts
2013-10-03: Largest IV spike — 17.7% change
2013-10-08: Highest IV Rank — 30.9%
2013-10-08: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.69	$27.34	$30.39	$28.39	$30.39
Max Pain	$25.27	$25.00	$26.25	$26.25	$25.00
ATM IV	18.8%	16.5%	21.4%	17.2%	17.9%
Expected Move	6.7%	6.5%	6.8%	6.6%	6.6%
HV 20d	17.3%	13.3%	20.3%	13.7%	19.8%
HV 60d	20.8%	19.5%	21.9%	19.5%	21.3%
IV Rank	24.4%	18.7%	30.9%	20.5%	22.3%
IV Percentile	55.0%	31.0%	79.4%	40.1%	48.4%
Term Structure	1.4%	-0.2%	2.9%	1.1%	1.8%
VWIV	24.4%	19.4%	26.6%	23.7%	19.4%
Skew 25d	3.4%	1.9%	4.6%	1.9%	2.6%
Skew 10d	8.6%	4.6%	12.3%	4.6%	8.4%
Call IV 25d	17.3%	14.7%	21.0%	17.3%	16.5%
Put IV 25d	20.7%	18.5%	24.6%	19.2%	19.1%
Bid-Ask Spread %	11.93	7.88	19.29	10.16	7.88
Gamma HHI	0.35	0.21	0.69	0.34	0.23
Net GEX	1.6M	660.7K	4.3M	1.4M	1.7M
Net DEX	-52.4M	-73.7M	-32.1M	-51.0M	-71.6M
Net VEX	-327.4K	-351.0K	-302.3K	-339.1K	-305.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.12	2.06	0.26	2.06
Total Volume	3,075.739	664	9,584	1,174	3,154
Total OI	94,526.783	84,090	103,938	95,804	93,014

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$28.39	$26.25	17.2%	6.6%	13.7%	20.5%	23.7%	1.9%	1.1%	1.4M	-51.0M	-339.1K	0.26	10.16	N/A	N/A	932	242	36,416	59,388
2013-10-02	$28.36	$26.25	17.2%	6.6%	13.3%	20.5%	0.0%	4.6%	1.1%	1.4M	-50.3M	-335.5K	0.61	11.43	N/A	N/A	832	504	36,292	59,438
2013-10-03	$28.09	$26.25	20.3%	6.8%	13.9%	28.2%	26.2%	4.0%	-0.2%	1.3M	-46.3M	-333.5K	0.62	11.44	N/A	N/A	1,252	774	36,402	59,720
2013-10-04	$28.18	$26.25	17.2%	6.6%	13.7%	20.4%	24.8%	3.6%	1.5%	1.4M	-47.8M	-335.2K	0.87	11.39	N/A	N/A	356	308	36,876	59,644
2013-10-07	$27.68	$26.25	20.2%	6.8%	15.4%	28.1%	24.7%	3.1%	1.2%	978.9K	-38.2M	-339.4K	0.76	13.35	N/A	N/A	984	744	36,920	59,806
2013-10-08	$27.34	$25.00	21.4%	6.8%	16.2%	30.9%	0.0%	3.3%	1.0%	660.7K	-32.1M	-335.4K	0.12	15.26	N/A	N/A	3,220	402	36,922	60,344
2013-10-09	$27.45	$25.00	21.3%	6.8%	15.7%	30.7%	0.0%	3.6%	0.4%	731.0K	-34.1M	-350.9K	0.69	19.29	N/A	N/A	736	506	37,276	60,460
2013-10-10	$27.86	$25.00	20.6%	6.8%	16.1%	29.1%	24.7%	4.0%	0.6%	1.3M	-42.4M	-351.0K	0.67	12.31	N/A	N/A	1,642	1,108	38,602	60,752
2013-10-11	$27.79	$25.00	20.0%	6.8%	16.2%	27.4%	0.0%	4.1%	1.0%	1.1M	-43.8M	-327.9K	0.88	12.87	N/A	N/A	416	366	38,426	61,188
2013-10-14	$28.09	$25.00	20.7%	6.7%	15.1%	29.2%	0.0%	3.7%	0.5%	1.4M	-48.6M	-331.5K	0.13	12.05	N/A	N/A	3,172	416	38,478	61,252
2013-10-15	$27.82	$25.00	20.9%	6.8%	15.0%	29.7%	0.0%	3.4%	0.5%	1.3M	-44.8M	-345.9K	0.27	11.81	N/A	N/A	1,808	486	40,838	61,498
2013-10-16	$28.86	$25.00	18.6%	6.6%	19.2%	24.0%	0.0%	3.6%	1.5%	3.1M	-70.3M	-325.4K	0.43	13.30	N/A	N/A	2,110	908	41,560	61,604
2013-10-17	$28.78	$25.00	18.0%	6.6%	19.2%	22.4%	26.1%	3.0%	2.0%	3.8M	-65.8M	-321.4K	0.22	11.28	N/A	N/A	4,038	876	40,144	60,864
2013-10-18	$28.89	$25.00	17.9%	6.5%	19.2%	22.1%	0.0%	3.4%	1.8%	4.3M	-73.7M	-321.1K	0.27	11.88	N/A	N/A	3,984	1,088	42,528	61,410
2013-10-21	$28.79	$25.00	20.2%	6.6%	19.0%	27.9%	23.4%	3.4%	0.3%	1.4M	-46.0M	-324.4K	0.62	13.75	N/A	N/A	2,804	1,736	33,110	50,980
2013-10-22	$29.30	$25.00	19.0%	6.7%	19.7%	24.8%	26.6%	4.2%	1.8%	1.8M	-57.0M	-329.8K	0.24	14.58	N/A	N/A	7,700	1,884	35,432	51,938
2013-10-23	$29.35	$25.00	18.5%	6.7%	19.5%	23.7%	0.0%	2.9%	2.3%	1.2M	-52.5M	-321.0K	0.41	11.21	N/A	N/A	2,940	1,194	33,352	53,078
2013-10-24	$29.39	$25.00	16.9%	6.5%	18.9%	19.5%	24.1%	4.5%	2.4%	1.1M	-51.7M	-319.4K	0.76	8.07	N/A	N/A	1,144	870	32,706	53,262
2013-10-25	$29.55	$25.00	16.5%	6.6%	19.0%	18.7%	23.4%	2.4%	2.9%	1.1M	-55.2M	-312.9K	0.39	11.16	N/A	N/A	1,264	490	32,992	53,730
2013-10-28	$29.38	$25.00	16.7%	6.6%	19.1%	19.2%	25.3%	4.1%	2.8%	1.2M	-52.7M	-314.2K	0.84	11.05	N/A	N/A	1,490	1,252	33,378	54,004
2013-10-29	$30.02	$25.00	16.9%	6.6%	20.3%	19.6%	24.3%	2.2%	2.7%	1.2M	-63.1M	-306.6K	0.23	10.24	N/A	N/A	2,538	594	34,124	54,402
2013-10-30	$30.12	$25.00	17.8%	6.6%	20.2%	21.9%	24.5%	2.7%	1.7%	1.4M	-66.4M	-302.3K	0.20	8.64	N/A	N/A	4,554	924	34,972	54,594
2013-10-31	$30.39	$25.00	17.9%	6.6%	19.8%	22.3%	19.4%	2.6%	1.8%	1.7M	-71.6M	-305.9K	2.06	7.88	N/A	N/A	1,030	2,124	37,556	55,458