TJX Options History — January 2014

In January 2014, TJX traded between $28.63 and $32.02. ATM implied volatility averaged 19.2%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.0% (HV 20d: 13.2%). Max pain ranged from $28.75 to $28.75. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2014-01-17: Highest Volume — 35,182 contracts
  • 2014-01-13: Largest IV spike — 18.0% change
  • 2014-01-29: Highest IV Rank — 65.9%
  • 2014-01-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.48$28.63$32.02$31.74$28.68
Max Pain$28.75$28.75$28.75$28.75$28.75
ATM IV19.2%16.4%22.0%19.4%21.7%
Expected Move6.7%6.5%6.8%6.8%6.7%
HV 20d13.2%10.6%15.8%10.7%15.6%
HV 60d14.6%13.3%15.3%15.3%14.8%
IV Rank51.8%37.2%65.9%52.9%64.3%
IV Percentile69.8%32.1%97.2%74.6%96.4%
Term Structure1.8%-0.4%3.0%-0.4%1.8%
VWIV24.2%21.3%25.8%24.4%23.9%
Skew 25d2.2%1.2%3.2%2.5%1.3%
Skew 10d4.4%2.7%5.7%3.9%2.7%
Call IV 25d18.3%15.9%22.2%18.3%22.2%
Put IV 25d20.6%18.5%23.8%20.8%23.5%
Bid-Ask Spread %16.2510.6226.0011.1820.30
Gamma HHI0.360.190.650.300.23
Net GEX748.3K-1.6M3.9M1.9M-1.6M
Net DEX-27.2M-92.3M45.6M-80.9M45.6M
Net VEX-390.6K-472.4K-338.0K-338.0K-472.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.262.280.970.35
Total Volume8,471.6192,76435,1823,8985,470
Total OI117,646.66792,280134,638110,206133,406

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$31.74$28.7519.4%6.8%10.7%52.9%24.4%2.5%-0.4%1.9M-80.9M-338.0K0.9711.18N/AN/A1,9801,91845,70264,504
2014-01-03$31.80$28.7519.0%6.8%10.7%50.6%0.0%2.2%-0.0%1.8M-80.6M-344.1K0.2711.72N/AN/A2,73875045,98265,780
2014-01-06$31.45$28.7519.5%6.7%11.2%53.1%23.7%2.2%1.3%1.7M-73.2M-342.4K0.2711.94N/AN/A3,9441,08046,87066,136
2014-01-07$31.59$28.7519.0%6.7%11.3%50.4%23.3%2.3%1.7%2.1M-77.9M-345.9K0.5412.57N/AN/A3,7802,04249,01266,836
2014-01-08$31.75$28.7519.6%6.8%11.2%53.7%24.9%3.2%1.6%2.6M-82.2M-356.7K0.4513.40N/AN/A1,96888650,88067,666
2014-01-09$31.66$28.7519.4%6.7%11.3%52.7%24.6%3.1%1.6%2.8M-81.3M-352.7K0.7310.62N/AN/A2,2461,63451,87467,670
2014-01-10$32.02$28.7517.0%6.6%10.6%40.3%21.3%2.7%1.9%3.9M-92.3M-355.2K0.6512.65N/AN/A2,8721,87253,15268,548
2014-01-13$31.45$28.7520.0%6.7%12.7%55.9%23.7%2.7%1.5%2.5M-74.6M-350.6K1.9113.17N/AN/A2,4284,64253,43469,290
2014-01-14$31.43$28.7518.8%6.6%12.7%49.7%25.6%1.8%2.1%2.0M-68.5M-366.5K1.4913.08N/AN/A2,6924,01454,03273,044
2014-01-15$31.27$28.7516.5%6.7%12.7%37.9%25.8%2.0%2.7%887.2K-60.0M-366.2K0.4812.92N/AN/A1,86490053,44874,690
2014-01-16$31.07$28.7517.5%6.6%12.8%42.9%24.4%2.6%2.4%765.8K-50.4M-372.5K1.6116.03N/AN/A4,1166,63654,61875,278
2014-01-17$30.93$28.7516.4%6.5%11.1%37.2%25.5%2.6%3.0%16.2K-40.1M-386.3K0.7617.73N/AN/A20,04015,14255,93478,704
2014-01-21$30.11$28.7517.6%6.6%14.5%43.3%23.6%2.9%2.9%-908.7K12.5M-424.7K1.7021.66N/AN/A6,49211,06447,85444,426
2014-01-22$29.59$28.7517.8%6.6%15.5%44.5%23.8%1.8%2.7%-1.0M21.4M-401.9K0.9718.23N/AN/A6,9826,79449,27843,222
2014-01-23$29.20$28.7519.3%6.8%15.7%52.1%0.0%1.8%2.2%-1.3M32.8M-413.6K0.2625.66N/AN/A8,6122,21854,94847,508
2014-01-24$28.88$28.7520.2%6.7%15.6%56.5%24.2%1.2%2.0%-157.7K33.2M-426.7K0.4012.91N/AN/A3,7661,50262,43248,644
2014-01-27$29.05$28.7520.5%6.7%15.2%58.5%0.0%1.5%2.1%-32.0K28.6M-439.0K0.3817.75N/AN/A3,5621,36864,70249,834
2014-01-28$29.07$28.7521.2%6.7%15.3%62.1%24.5%3.0%1.0%36.4K28.8M-440.5K2.2219.23N/AN/A3,8908,63265,72050,014
2014-01-29$28.63$28.7522.0%6.8%15.8%65.9%24.6%2.1%0.9%-987.4K44.6M-443.9K2.2826.00N/AN/A2,7866,34667,42457,394
2014-01-30$28.75$28.7521.6%6.7%15.6%64.2%23.9%1.7%1.5%-1.4M43.5M-462.7K2.1222.48N/AN/A1,9964,24068,63262,058
2014-01-31$28.68$28.7521.7%6.7%15.6%64.3%0.0%1.3%1.8%-1.6M45.6M-472.4K0.3520.30N/AN/A4,0621,40869,80063,606