TJX Options History — May 2014

In May 2014, TJX traded between $26.98 and $29.93. ATM implied volatility averaged 17.0%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 7.1% (HV 20d: 24.1%). Max pain ranged from $27.50 to $28.75. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2014-05-20: Highest Volume — 29,606 contracts
  • 2014-05-15: Largest IV spike — 105.3% change
  • 2014-05-19: Highest IV Rank — 78.7%
  • 2014-05-19: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.51$26.98$29.93$29.13$27.23
Max Pain$28.33$27.50$28.75$28.75$27.50
ATM IV17.0%9.5%23.0%17.9%15.8%
Expected Move5.9%5.8%6.1%6.1%5.8%
HV 20d24.1%14.9%37.6%16.5%37.5%
HV 60d19.9%15.4%25.8%17.6%25.5%
IV Rank44.2%2.6%78.7%50.4%36.8%
IV Percentile31.0%0.4%94.8%43.7%11.1%
Term Structure-0.4%-2.8%1.2%1.0%0.3%
VWIV21.3%18.9%26.2%18.9%21.1%
Skew 25d2.1%0.4%3.5%2.4%0.4%
Skew 10d4.6%-2.4%7.2%7.2%-2.4%
Call IV 25d17.4%15.1%20.7%16.9%16.8%
Put IV 25d19.5%16.5%24.2%19.2%17.2%
Bid-Ask Spread %10.298.3315.1310.029.70
Gamma HHI0.320.220.470.280.26
Net GEX-2.0M-4.7M852.9K-564.8K-3.8M
Net DEX25.4M-20.5M76.6M582.8K72.2M
Net VEX-357.0K-419.1K-287.3K-333.3K-419.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.109.801.700.30
Total Volume6,159.71472829,6067281,926
Total OI86,718.95267,276118,95467,276118,954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$29.13$28.7517.9%6.1%16.5%50.4%18.9%2.4%1.0%-564.8K582.8K-333.3K1.7010.02N/AN/A27045834,21633,060
2014-05-02$29.19$28.7517.5%6.0%16.5%48.1%0.0%2.1%1.2%-563.6K-602.1K-333.4K0.109.52N/AN/A8648834,30633,190
2014-05-05$29.05$28.7518.9%6.1%16.4%55.9%20.9%2.2%-1.0%-655.7K1.9M-327.6K2.939.43N/AN/A5681,66434,68633,214
2014-05-06$28.52$28.7517.9%6.0%16.0%50.1%21.6%2.6%-0.7%-1.1M14.4M-318.9K1.0910.21N/AN/A1,0741,16635,07434,296
2014-05-07$28.61$28.7517.5%6.0%15.5%48.1%19.8%3.3%-0.6%-1.2M14.0M-321.6K0.9910.12N/AN/A1,7001,67635,25434,810
2014-05-08$28.91$28.7517.2%6.0%16.2%46.3%26.2%3.0%-0.8%-1.1M6.2M-325.4K0.919.94N/AN/A82074636,29635,494
2014-05-09$29.23$28.7516.6%6.0%14.9%42.7%0.0%3.3%-0.7%-831.2K-2.2M-337.9K0.368.83N/AN/A96035036,60835,920
2014-05-12$29.93$28.7515.8%5.9%15.6%38.4%22.9%2.8%-0.7%852.9K-20.5M-330.3K0.249.12N/AN/A3,04271637,15436,008
2014-05-13$29.54$28.7515.8%5.9%16.3%38.2%24.2%2.3%-1.0%33.0K-9.8M-333.2K0.3110.09N/AN/A2,63082836,26236,172
2014-05-14$29.57$28.759.5%5.9%16.1%2.6%19.5%2.4%-1.0%233.8K-9.6M-336.2K0.689.98N/AN/A43429637,76836,606
2014-05-15$29.06$28.7519.6%6.1%17.1%58.9%19.2%3.3%-1.1%-2.3M1.9M-331.1K9.809.57N/AN/A7126,98037,57636,406
2014-05-16$29.28$28.7521.5%6.1%17.3%70.2%19.9%2.6%-2.7%-1.3M886.2K-357.7K5.198.33N/AN/A1,7549,10638,01242,168
2014-05-19$29.20$28.7523.0%6.1%16.7%78.7%22.3%3.5%-2.8%-1.6M8.3M-376.5K1.3013.21N/AN/A9,64012,53035,89643,700
2014-05-20$26.98$28.7517.3%5.9%32.3%45.2%21.4%1.2%-0.3%-2.7M73.6M-287.3K1.7815.13N/AN/A10,65818,94842,06851,688
2014-05-21$28.30$27.5015.4%5.8%37.1%34.2%21.0%1.0%0.7%-4.4M37.8M-396.7K1.7711.09N/AN/A4,9468,77444,50258,654
2014-05-22$27.73$27.5015.9%5.8%37.6%37.3%20.3%2.0%0.3%-4.5M59.6M-405.1K3.8810.10N/AN/A2,0247,84645,11862,206
2014-05-23$27.57$27.5015.4%5.8%37.6%34.4%22.4%0.9%0.7%-4.7M62.9M-410.8K0.3611.16N/AN/A2,73299646,06064,780
2014-05-27$27.33$27.5016.0%5.8%37.5%37.6%21.4%0.8%0.6%-4.1M72.5M-395.0K0.7510.08N/AN/A2,3061,73647,88665,332
2014-05-28$27.15$27.5016.0%5.8%37.5%38.0%20.2%0.5%0.5%-3.8M76.6M-402.6K0.3810.04N/AN/A2,7661,05449,22466,438
2014-05-29$27.23$27.5015.6%5.9%37.6%35.5%20.8%2.0%0.8%-3.7M73.0M-416.6K0.4810.46N/AN/A1,05851250,95867,078
2014-05-30$27.23$27.5015.8%5.8%37.5%36.8%21.1%0.4%0.3%-3.8M72.2M-419.1K0.309.70N/AN/A1,47645051,51267,442