TJX Options History — November 2013

In November 2013, TJX traded between $30.30 and $32.00. ATM implied volatility averaged 17.7%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.9% (HV 20d: 16.9%). Max pain ranged from $25.00 to $28.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2013-11-18: Highest Volume — 21,844 contracts
  • 2013-11-13: Largest IV spike — 35.9% change
  • 2013-11-18: Highest IV Rank — 71.9%
  • 2013-11-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.20$30.30$32.00$30.44$31.44
Max Pain$27.38$25.00$28.75$25.00$28.75
ATM IV17.7%11.4%23.2%17.5%21.6%
Expected Move6.7%6.5%6.9%6.7%6.9%
HV 20d16.9%14.8%19.8%19.8%15.8%
HV 60d18.3%16.2%21.4%21.2%16.5%
IV Rank36.9%5.8%71.9%21.2%63.7%
IV Percentile48.3%1.2%96.4%44.4%91.7%
Term Structure-0.4%-2.7%2.2%2.2%-1.7%
VWIV24.8%22.2%28.0%27.0%25.8%
Skew 25d2.8%1.3%3.8%2.6%1.3%
Skew 10d6.4%3.7%8.4%8.4%4.3%
Call IV 25d18.3%16.0%22.2%16.4%21.7%
Put IV 25d21.1%18.7%25.4%19.1%23.0%
Bid-Ask Spread %8.935.8922.479.6522.47
Gamma HHI0.280.180.540.200.25
Net GEX1.3M262.0K2.9M1.3M566.3K
Net DEX-68.3M-80.1M-57.0M-69.7M-63.5M
Net VEX-338.3K-386.5K-292.4K-317.6K-386.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.133.520.970.28
Total Volume6,034.81,01421,8441,01419,402
Total OI103,089.494,672115,38895,072115,388

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$30.44$25.0017.5%6.7%19.8%21.2%27.0%2.6%2.2%1.3M-69.7M-317.6K0.979.65N/AN/A51649837,78657,286
2013-11-04$30.41$25.0019.2%6.7%18.2%25.4%24.2%3.3%-1.0%1.2M-68.5M-316.2K0.858.95N/AN/A1,3941,18237,75457,450
2013-11-05$30.64$27.5016.9%6.5%17.1%19.5%22.6%3.5%-0.5%1.4M-72.8M-315.0K3.528.75N/AN/A7682,70238,37057,720
2013-11-06$30.86$27.5016.9%6.6%17.1%19.7%27.0%3.8%-0.7%1.4M-78.4M-292.4K0.388.01N/AN/A2,53296238,57059,570
2013-11-07$30.30$27.5017.5%6.6%18.7%21.1%24.1%2.9%-0.8%1.3M-66.3M-328.3K0.217.74N/AN/A4,25891239,33660,068
2013-11-08$30.86$27.5014.2%6.6%19.1%12.8%28.0%3.1%-1.2%1.9M-80.1M-317.5K0.178.29N/AN/A3,10451441,05260,152
2013-11-11$30.84$27.5015.6%6.5%19.1%16.4%0.0%3.2%-0.7%2.3M-77.7M-312.3K0.136.87N/AN/A5,72273041,75660,398
2013-11-12$30.81$27.5011.4%6.6%18.4%5.8%22.2%3.0%-0.6%1.9M-57.0M-318.1K0.347.36N/AN/A1,66856035,80260,766
2013-11-13$31.36$27.5015.5%6.6%15.0%32.5%25.6%3.0%-1.3%2.9M-68.4M-314.0K1.078.66N/AN/A1,5361,64636,16861,000
2013-11-14$31.50$27.5020.0%6.5%14.8%55.9%24.1%2.7%-1.2%2.9M-71.2M-308.9K0.5812.69N/AN/A2,9321,69636,10061,222
2013-11-15$31.76$27.5020.7%6.6%14.8%59.3%25.3%2.7%-1.0%1.6M-75.9M-323.5K0.277.92N/AN/A3,37491437,73862,680
2013-11-18$31.25$27.5023.2%6.7%16.4%71.9%23.5%3.2%-2.7%1.2M-61.5M-337.6K1.9212.69N/AN/A7,47614,36836,31658,356
2013-11-19$31.56$27.5018.4%6.7%15.8%47.4%22.6%2.2%-0.0%262.0K-59.9M-359.4K1.417.92N/AN/A5,0567,13838,36867,662
2013-11-20$31.64$27.5018.3%6.8%15.8%47.1%26.1%2.5%0.0%368.0K-62.4M-369.3K0.868.02N/AN/A2,1381,84439,64268,344
2013-11-21$32.00$27.5016.2%6.6%16.0%36.5%23.9%2.7%0.8%565.3K-71.3M-358.0K1.525.89N/AN/A1,8282,77040,22468,986
2013-11-22$31.53$27.5017.6%6.8%17.3%43.3%25.9%2.6%0.5%423.3K-61.7M-365.8K1.026.95N/AN/A4,4324,51240,53068,434
2013-11-25$31.58$27.5018.6%6.7%17.0%48.8%24.5%2.3%-0.1%483.4K-65.1M-374.2K0.596.05N/AN/A2,7501,63242,79069,910
2013-11-26$31.52$27.5017.9%6.7%15.7%45.1%22.3%2.5%0.4%581.9K-65.7M-371.6K1.226.73N/AN/A1,3921,69643,50069,936
2013-11-27$31.63$28.7517.8%6.7%15.7%44.5%26.5%2.4%0.6%751.0K-68.2M-379.3K2.287.04N/AN/A6541,48844,44470,214
2013-11-29$31.44$28.7521.6%6.9%15.8%63.7%25.8%1.3%-1.7%566.3K-63.5M-386.5K0.2822.47N/AN/A15,1884,21444,51870,870