TJX Options History — July 2014

In July 2014, TJX traded between $26.11 and $27.24. ATM implied volatility averaged 16.4%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.2% (HV 20d: 15.2%). Max pain ranged from $26.25 to $27.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2014-07-18: Highest Volume — 6,804 contracts
  • 2014-07-07: Largest IV spike — 13.8% change
  • 2014-07-31: Highest IV Rank — 51.4%
  • 2014-07-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.62$26.11$27.24$26.75$26.64
Max Pain$27.05$26.25$27.50$27.50$26.25
ATM IV16.4%14.7%18.3%16.5%18.3%
Expected Move5.9%5.8%6.2%5.9%6.2%
HV 20d15.2%12.5%17.9%16.1%17.9%
HV 60d24.7%24.2%25.4%25.0%25.2%
IV Rank40.3%30.4%51.4%40.7%51.4%
IV Percentile26.6%3.2%62.7%25.4%62.7%
Term Structure2.4%0.9%3.3%1.0%2.1%
VWIV21.4%20.1%23.7%21.6%22.5%
Skew 25d1.6%0.8%2.4%1.6%2.2%
Skew 10d4.2%0.3%9.4%6.4%6.3%
Call IV 25d15.9%14.8%16.9%15.7%16.9%
Put IV 25d17.5%15.8%19.1%17.3%19.1%
Bid-Ask Spread %12.279.4616.8111.5612.79
Gamma HHI0.320.220.550.340.27
Net GEX-1.1M-4.3M915.7K-1.4M672.1K
Net DEX26.9M3.7M51.5M33.1M9.0M
Net VEX-393.9K-448.5K-360.7K-384.0K-448.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.093.070.880.74
Total Volume3,305.4553446,8041,7762,480
Total OI98,265.18280,348110,152100,68497,876

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$26.75$27.5016.5%5.9%16.1%40.7%21.6%1.6%1.0%-1.4M33.1M-384.0K0.8811.56N/AN/A94683049,57251,112
2014-07-02$26.86$27.5016.1%6.0%13.4%38.2%21.9%1.4%1.9%-1.3M30.0M-384.3K0.6910.45N/AN/A59040649,83251,358
2014-07-03$26.90$27.5014.7%5.8%12.9%30.4%0.0%1.0%0.9%-1.3M29.4M-385.4K0.619.46N/AN/A21413049,96051,548
2014-07-07$26.70$27.5016.8%6.0%12.5%42.4%20.1%1.4%1.9%-1.5M33.0M-373.1K3.0710.46N/AN/A5781,77649,98451,514
2014-07-08$26.93$27.5015.5%5.9%13.1%34.7%21.7%1.8%2.5%-1.5M28.6M-375.2K1.5410.94N/AN/A1,1161,72049,99852,752
2014-07-09$27.24$27.5015.6%5.9%14.0%35.4%21.2%1.8%2.2%-721.4K18.1M-382.2K0.8712.43N/AN/A94282050,11051,844
2014-07-10$26.89$27.5016.5%5.9%14.2%40.8%23.7%1.9%2.4%-1.4M26.9M-374.4K0.9010.14N/AN/A70063249,98651,930
2014-07-11$26.77$27.5017.3%6.0%13.5%45.2%22.6%1.8%2.1%-1.6M30.9M-368.9K1.5011.68N/AN/A8701,30650,02652,132
2014-07-14$26.73$27.5017.4%6.0%13.4%46.2%20.6%2.1%1.8%-1.8M31.3M-360.7K1.6611.68N/AN/A2,3063,82449,97251,694
2014-07-15$26.97$27.5016.2%5.8%13.9%39.0%20.2%2.2%2.3%-910.3K28.7M-376.5K0.7811.16N/AN/A2,1061,64451,14454,138
2014-07-16$26.29$27.5017.1%5.9%16.5%44.3%20.4%1.8%1.9%-3.8M44.3M-363.0K1.6912.95N/AN/A2,5144,25652,17054,278
2014-07-17$26.11$27.5017.3%6.0%15.3%45.4%20.8%1.3%2.2%-4.3M51.5M-378.4K1.0613.07N/AN/A2,7462,90652,18856,590
2014-07-18$26.49$27.5016.4%6.0%16.3%40.3%23.5%2.1%2.5%-2.2M37.8M-392.4K1.2613.55N/AN/A3,0143,79052,65257,500
2014-07-21$26.20$27.5016.4%5.9%16.6%40.3%20.6%1.9%3.3%-960.1K30.9M-386.0K0.9013.62N/AN/A2,7502,46234,39645,952
2014-07-22$26.24$26.2515.7%5.9%16.7%35.8%21.0%1.0%3.3%-999.0K29.1M-400.0K0.0912.91N/AN/A5,29248236,59647,960
2014-07-23$26.55$26.2516.2%5.9%16.3%38.8%21.3%2.4%3.2%202.4K15.4M-425.7K1.5114.37N/AN/A1,0721,61841,63048,220
2014-07-24$26.61$26.2516.1%5.9%15.7%38.6%20.5%1.5%3.0%370.6K13.5M-422.7K0.3813.02N/AN/A72627442,10448,212
2014-07-25$26.27$26.2515.7%6.0%16.2%36.0%20.9%1.8%3.3%83.5K22.3M-415.0K2.1312.35N/AN/A5721,21842,34448,248
2014-07-28$26.32$26.2516.1%5.9%16.2%38.5%22.7%0.8%3.3%-18.8K22.4M-413.6K0.2113.19N/AN/A3,97083442,47249,252
2014-07-29$26.25$26.2516.0%6.0%16.0%38.0%21.8%0.9%3.1%118.6K22.3M-416.6K0.5216.81N/AN/A2,1981,13444,45849,764
2014-07-30$26.84$26.2517.6%6.1%17.8%47.2%20.5%0.8%1.8%915.7K3.7M-438.3K0.5911.34N/AN/A1,8561,10046,12050,246
2014-07-31$26.64$26.2518.3%6.2%17.9%51.4%22.5%2.2%2.1%672.1K9.0M-448.5K0.7412.79N/AN/A1,4281,05247,05050,826