TJX Options History — June 2014

In June 2014, TJX traded between $26.39 and $28.21. ATM implied volatility averaged 16.1%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 12.2% (HV 20d: 28.3%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2014-06-06: Highest Volume — 14,230 contracts
  • 2014-06-09: Largest IV spike — 16.7% change
  • 2014-06-16: Highest IV Rank — 42.6%
  • 2014-06-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.36$26.39$28.21$27.07$26.57
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV16.1%14.3%16.8%16.2%16.2%
Expected Move5.9%5.8%6.0%5.9%6.0%
HV 20d28.3%14.1%38.4%37.5%15.8%
HV 60d25.5%25.0%25.9%25.4%25.0%
IV Rank38.4%27.8%42.6%38.8%39.2%
IV Percentile18.0%1.2%30.2%16.3%20.6%
Term Structure1.6%0.1%3.4%0.2%1.5%
VWIV21.5%20.6%22.9%20.6%21.9%
Skew 25d1.8%0.1%2.9%0.8%1.4%
Skew 10d4.8%-4.3%9.9%-4.3%5.3%
Call IV 25d15.9%15.1%16.8%16.8%16.3%
Put IV 25d17.7%16.9%18.3%17.6%17.7%
Bid-Ask Spread %10.148.0912.999.0611.05
Gamma HHI0.380.240.870.250.33
Net GEX-4.7M-25.3M-857.7K-3.5M-1.6M
Net DEX53.8M20.0M77.3M77.3M38.6M
Net VEX-393.6K-443.8K-345.9K-406.8K-370.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.307.390.300.35
Total Volume3,505.23875814,2302,8304,234
Total OI112,767.04887,962121,904119,70296,548

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$27.07$27.5016.2%5.9%37.5%38.8%20.6%0.8%0.2%-3.5M77.3M-406.8K0.309.06N/AN/A2,17465652,13267,570
2014-06-03$27.11$27.5015.8%5.8%37.6%36.7%21.3%1.0%0.1%-3.4M77.0M-406.3K1.6410.52N/AN/A6581,07852,52268,002
2014-06-04$27.77$27.5016.7%5.9%38.3%41.8%21.1%2.9%0.2%-4.8M56.5M-437.8K0.979.41N/AN/A1,7041,65652,60868,186
2014-06-05$28.01$27.5016.5%5.9%38.4%40.5%22.1%1.7%0.3%-5.5M46.7M-443.8K1.178.09N/AN/A1,3361,56652,86268,118
2014-06-06$28.21$27.5014.3%5.8%38.3%27.8%21.6%1.6%2.4%-6.3M39.5M-442.2K7.399.11N/AN/A1,69612,53452,53468,746
2014-06-09$28.11$27.5016.7%5.9%38.0%41.8%22.9%2.3%1.8%-5.7M41.0M-427.8K4.788.37N/AN/A1,3206,31252,39867,038
2014-06-10$28.03$27.5015.5%5.9%36.8%35.0%22.5%2.4%2.2%-5.6M45.1M-424.7K0.578.87N/AN/A69840052,88467,362
2014-06-11$27.73$27.5015.2%5.9%36.7%33.2%22.8%2.1%2.4%-4.8M56.6M-412.9K1.528.45N/AN/A59490452,92067,458
2014-06-12$27.34$27.5016.6%5.9%36.9%41.2%21.2%2.3%2.3%-3.8M71.2M-396.6K1.019.15N/AN/A58258653,15867,954
2014-06-13$27.39$27.5016.7%6.0%36.6%41.7%0.0%1.9%2.2%-3.7M70.3M-394.7K0.9510.12N/AN/A38837053,28667,954
2014-06-16$27.36$27.5016.8%5.9%36.4%42.6%21.9%1.6%2.0%-3.8M71.6M-384.1K0.899.13N/AN/A1,06494453,31068,036
2014-06-17$27.37$27.5016.5%6.0%36.4%40.8%20.7%2.0%2.6%-4.1M71.5M-383.1K0.9510.21N/AN/A75071053,57068,268
2014-06-18$27.78$27.5016.4%5.9%23.4%40.1%21.0%2.6%2.8%-4.1M56.3M-388.7K1.1310.48N/AN/A54261453,79268,112
2014-06-19$27.56$27.5015.8%5.9%15.8%36.9%21.0%1.8%3.1%-5.9M62.3M-375.0K1.4410.18N/AN/A44664252,62466,842
2014-06-20$27.48$27.5015.3%5.9%14.2%34.0%20.7%1.7%3.4%-25.3M70.2M-372.0K3.4711.61N/AN/A9263,21652,75267,172
2014-06-23$27.41$27.5016.0%5.8%14.1%37.7%20.8%1.7%0.8%-857.7K20.0M-361.4K2.1910.18N/AN/A1,2262,69043,43844,524
2014-06-24$26.92$27.5016.1%5.9%15.1%38.2%22.0%0.1%0.7%-1.5M31.6M-353.8K0.8711.10N/AN/A1,2001,04244,26446,462
2014-06-25$26.57$27.5016.7%6.0%15.6%41.8%21.1%1.7%1.1%-1.8M39.7M-345.9K1.5212.91N/AN/A3,7965,77444,35446,844
2014-06-26$26.41$27.5016.4%6.0%15.7%40.0%21.8%1.8%0.9%-1.8M43.3M-366.1K0.6412.99N/AN/A2,2401,43845,48249,474
2014-06-27$26.39$27.5015.9%5.9%15.6%37.0%21.0%1.9%1.5%-1.7M42.5M-370.8K0.6212.02N/AN/A1,7901,11446,70049,848
2014-06-30$26.57$27.5016.2%6.0%15.8%39.2%21.9%1.4%1.5%-1.6M38.6M-370.9K0.3511.05N/AN/A3,1301,10446,70049,848