TJX Options History — December 2013

In December 2013, TJX traded between $30.59 and $31.86. ATM implied volatility averaged 19.6%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.1% (HV 20d: 12.5%). Max pain ranged from $28.75 to $28.75. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-12-02: Highest Volume — 7,524 contracts
  • 2013-12-18: Largest IV drop — 5.3% change
  • 2013-12-02: Highest IV Rank — 65.2%
  • 2013-12-12: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.21$30.59$31.86$31.36$31.86
Max Pain$28.75$28.75$28.75$28.75$28.75
ATM IV19.6%17.9%21.9%21.9%18.5%
Expected Move6.8%6.7%6.9%6.8%6.8%
HV 20d12.5%10.0%16.0%15.9%10.7%
HV 60d16.0%15.8%16.5%16.5%15.8%
IV Rank53.7%44.9%65.2%65.2%48.2%
IV Percentile71.6%52.4%91.7%91.7%61.5%
Term Structure0.5%-1.9%2.3%-1.9%0.4%
VWIV25.4%22.3%33.2%25.3%25.4%
Skew 25d2.3%1.6%3.0%2.1%2.1%
Skew 10d6.0%3.0%10.3%3.2%4.8%
Call IV 25d19.1%16.9%21.5%21.5%17.9%
Put IV 25d21.4%19.5%23.6%23.6%20.0%
Bid-Ask Spread %12.269.6917.8310.7213.32
Gamma HHI0.340.210.890.440.30
Net GEX-103.3K-20.3M2.0M1.9M2.0M
Net DEX-60.6M-84.2M-36.4M-66.5M-84.2M
Net VEX-371.8K-413.5K-330.7K-412.3K-338.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.242.100.650.49
Total Volume3,173.6199347,5247,524934
Total OI124,683.143103,266132,442128,342110,036

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$31.36$28.7521.9%6.8%15.9%65.2%25.3%2.1%-1.9%1.9M-66.5M-412.3K0.6510.72N/AN/A4,5682,95654,62073,722
2013-12-03$31.23$28.7521.2%6.8%16.0%61.8%0.0%2.2%-1.4%1.7M-62.1M-413.5K0.439.84N/AN/A2,7641,19855,87474,558
2013-12-04$31.30$28.7521.5%6.7%15.8%63.5%25.0%2.5%-1.2%1.8M-65.1M-412.8K0.4611.41N/AN/A3,3121,51655,56874,554
2013-12-05$31.11$28.7521.3%6.8%15.9%62.1%0.0%2.1%-0.9%1.5M-60.0M-411.6K0.5313.80N/AN/A1,61885256,62474,900
2013-12-06$31.17$28.7520.2%6.8%14.3%56.9%25.4%2.3%1.0%1.5M-60.6M-408.0K0.3612.25N/AN/A1,96071456,94474,912
2013-12-09$31.03$28.7520.4%6.8%12.9%57.6%24.8%2.8%1.0%969.7K-54.4M-396.9K0.7510.87N/AN/A2,0701,55456,93275,230
2013-12-10$31.09$28.7519.4%6.8%12.9%52.9%22.3%2.9%1.1%940.9K-56.5M-394.8K0.9913.41N/AN/A1,6641,64656,77675,514
2013-12-11$30.68$28.7519.7%6.8%13.8%54.0%0.0%2.4%1.1%30.9K-41.5M-385.2K0.6311.27N/AN/A1,9641,24256,87875,084
2013-12-12$30.63$28.7520.7%6.9%12.1%59.3%0.0%2.3%0.7%-9.3K-38.3M-387.2K2.1012.51N/AN/A7841,64856,70674,836
2013-12-13$30.59$28.7520.8%6.8%11.9%59.6%0.0%2.8%0.7%-346.1K-36.4M-373.6K2.0510.80N/AN/A40282656,69674,888
2013-12-16$30.81$28.7520.0%6.8%11.8%55.4%0.0%2.2%1.0%-146.7K-46.3M-361.7K0.559.69N/AN/A2,2981,27056,79474,892
2013-12-17$30.68$28.7519.6%6.8%10.5%53.7%23.6%2.1%1.3%-537.7K-40.8M-356.6K1.599.83N/AN/A7701,22257,29875,034
2013-12-18$31.25$28.7518.6%6.7%12.0%48.5%0.0%1.9%2.0%21.4K-64.0M-354.1K0.5715.74N/AN/A2,3681,34257,47474,968
2013-12-19$31.27$28.7518.5%6.7%12.0%48.1%0.0%1.6%2.0%-1.5M-64.6M-346.0K0.6812.94N/AN/A1,6541,12256,95274,530
2013-12-20$31.25$28.7518.1%6.8%11.1%46.1%33.2%1.9%2.3%-20.3M-61.5M-337.8K0.4511.86N/AN/A4,1761,86457,14274,962
2013-12-23$31.36$28.7518.3%6.8%10.0%47.0%23.5%2.5%0.2%1.3M-64.4M-330.7K0.4413.54N/AN/A4,1321,80440,56062,706
2013-12-24$31.52$28.7518.1%6.7%10.2%46.1%0.0%1.9%0.7%1.6M-72.0M-353.5K0.3817.83N/AN/A73027843,57263,744
2013-12-26$31.82$28.7518.5%6.7%10.7%48.2%25.4%2.1%0.2%1.7M-79.1M-344.4K0.2411.99N/AN/A1,44835243,91463,856
2013-12-27$31.69$28.7517.9%6.7%10.8%44.9%0.0%3.0%0.4%1.7M-77.2M-346.0K0.2612.01N/AN/A1,52640444,45664,024
2013-12-30$31.66$28.7518.4%6.8%10.6%47.3%0.0%2.9%0.3%1.9M-77.5M-341.9K0.4511.89N/AN/A1,16652845,44664,170
2013-12-31$31.86$28.7518.5%6.8%10.7%48.2%0.0%2.1%0.4%2.0M-84.2M-338.2K0.4913.32N/AN/A62630845,75064,286