TJX Options History — March 2014

In March 2014, TJX traded between $29.70 and $31.11. ATM implied volatility averaged 17.8%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.8% (HV 20d: 15.1%). Max pain ranged from $28.75 to $28.75. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-03-06: Highest Volume — 5,344 contracts
  • 2014-03-21: Largest IV drop — 10.9% change
  • 2014-03-03: Highest IV Rank — 62.9%
  • 2014-03-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.51$29.70$31.11$30.45$30.32
Max Pain$28.75$28.75$28.75$28.75$28.75
ATM IV17.8%16.2%20.1%20.1%16.5%
Expected Move6.2%6.1%6.4%6.4%6.2%
HV 20d15.1%11.9%19.1%19.1%16.8%
HV 60d16.9%16.2%17.8%16.2%17.8%
IV Rank49.9%40.8%62.9%62.9%42.4%
IV Percentile43.3%18.3%79.4%79.4%19.8%
Term Structure1.3%-0.2%3.0%0.1%1.7%
VWIV23.2%20.6%27.0%26.3%21.0%
Skew 25d2.6%1.8%3.4%1.9%2.9%
Skew 10d6.0%3.0%12.1%3.0%6.8%
Call IV 25d17.2%15.1%19.2%19.2%15.1%
Put IV 25d19.8%17.9%21.1%21.1%17.9%
Bid-Ask Spread %8.177.1110.577.967.80
Gamma HHI0.340.250.540.250.35
Net GEX1.1M-2.2M2.7M866.9K1.8M
Net DEX-36.2M-59.1M-12.4M-31.8M-27.9M
Net VEX-379.7K-432.3K-330.7K-432.3K-330.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.093.181.432.29
Total Volume2,370.2865645,3442,1223,330
Total OI100,339.42975,828113,102106,88677,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$30.45$28.7520.1%6.4%19.1%62.9%26.3%1.9%0.1%866.9K-31.8M-432.3K1.437.96N/AN/A8721,25055,25251,634
2014-03-04$30.77$28.7518.1%6.2%17.3%51.2%23.7%2.6%-0.2%1.5M-43.8M-426.8K0.357.56N/AN/A1,51253455,44851,832
2014-03-05$30.86$28.7517.7%6.2%17.1%49.1%27.0%2.2%0.6%1.7M-49.3M-421.0K0.478.19N/AN/A57827255,71851,842
2014-03-06$30.57$28.7519.0%6.3%14.8%56.4%22.1%3.3%-0.1%1.1M-34.7M-418.5K0.597.74N/AN/A3,3701,97455,63851,812
2014-03-07$30.86$28.7517.0%6.2%11.9%45.4%21.3%3.4%2.0%2.4M-50.7M-423.0K0.298.11N/AN/A2,84883858,24852,746
2014-03-10$31.11$28.7517.8%6.2%12.1%49.8%22.0%3.2%1.5%2.2M-58.9M-397.1K0.578.21N/AN/A1,03459455,15252,820
2014-03-11$30.92$28.7517.2%6.2%12.4%46.5%23.1%2.9%1.6%1.8M-51.4M-393.3K0.748.07N/AN/A1,25292655,19452,834
2014-03-12$30.75$28.7517.9%6.2%12.1%50.5%24.0%2.8%1.6%1.4M-42.2M-401.7K3.187.64N/AN/A6101,94255,81253,158
2014-03-13$30.53$28.7519.3%6.3%12.5%58.3%23.0%2.4%1.0%323.7K-33.1M-399.4K0.957.11N/AN/A32831055,81854,520
2014-03-14$30.68$28.7518.6%6.2%12.5%54.2%23.0%2.7%1.3%760.3K-41.0M-395.0K1.137.51N/AN/A33237655,77854,258
2014-03-17$31.02$28.7518.1%6.2%12.7%51.2%23.3%2.9%1.3%2.4M-59.1M-368.6K0.099.71N/AN/A4,00836055,79854,264
2014-03-18$30.40$28.7518.8%6.3%14.8%55.7%23.3%2.5%1.7%-564.2K-32.1M-373.8K0.858.46N/AN/A1,6081,37457,70654,306
2014-03-19$30.25$28.7518.3%6.3%14.7%52.6%24.4%2.8%2.0%-1.9M-24.3M-370.6K0.417.67N/AN/A2,29095058,21254,890
2014-03-20$30.34$28.7518.2%6.3%14.7%52.1%23.8%3.0%1.7%-2.2M-34.3M-364.7K0.618.07N/AN/A35021457,85254,660
2014-03-21$30.88$28.7516.2%6.1%15.9%40.8%20.6%2.4%3.0%2.7M-53.7M-351.8K1.9610.57N/AN/A1,5563,04257,88254,718
2014-03-24$30.29$28.7517.6%6.2%17.4%48.9%0.0%2.7%1.1%1.4M-25.6M-348.2K0.757.78N/AN/A1,04077840,72435,104
2014-03-25$30.03$28.7516.9%6.3%17.3%44.7%22.2%1.8%1.3%1.2M-18.8M-345.7K0.258.10N/AN/A87422241,00435,502
2014-03-26$29.83$28.7517.2%6.2%16.9%46.4%24.1%2.3%1.0%1.1M-14.5M-338.2K1.908.86N/AN/A1,1322,15241,28835,428
2014-03-27$29.70$28.7517.1%6.2%16.7%45.7%25.1%1.8%1.6%1.1M-12.4M-335.9K1.068.57N/AN/A92898241,81235,280
2014-03-28$30.05$28.7516.7%6.2%16.7%43.7%20.9%2.3%1.3%1.5M-20.9M-338.4K0.467.85N/AN/A57026442,14635,446
2014-03-31$30.32$28.7516.5%6.2%16.8%42.4%21.0%2.9%1.7%1.8M-27.9M-330.7K2.297.80N/AN/A1,0122,31842,14635,446