TJX Options History — September 2014

In September 2014, TJX traded between $29.38 and $30.57. ATM implied volatility averaged 16.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 7.9% (HV 20d: 24.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2014-09-04: Highest Volume — 8,134 contracts
  • 2014-09-08: Largest IV spike — 8.2% change
  • 2014-09-30: Highest IV Rank — 47.8%
  • 2014-09-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.98$29.38$30.57$30.22$29.59
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV16.2%14.8%17.7%15.4%17.7%
Expected Move5.6%5.5%5.7%5.5%5.7%
HV 20d24.0%11.8%34.2%34.2%16.5%
HV 60d23.8%23.3%24.4%23.8%24.4%
IV Rank38.8%30.8%47.8%34.6%47.8%
IV Percentile22.4%4.0%51.6%7.1%51.6%
Term Structure2.5%0.4%4.0%0.6%3.1%
VWIV20.1%18.9%22.9%20.5%20.9%
Skew 25d2.0%1.3%2.7%2.1%1.3%
Skew 10d5.8%3.5%8.7%7.1%4.2%
Call IV 25d15.9%14.6%17.7%15.5%17.7%
Put IV 25d17.9%16.6%18.9%17.6%18.9%
Bid-Ask Spread %16.4913.9223.9316.2519.16
Gamma HHI0.190.140.270.260.14
Net GEX1.5M34.8K2.7M2.7M34.8K
Net DEX-75.9M-115.6M-23.3M-102.0M-27.1M
Net VEX-412.9K-435.8K-389.3K-431.5K-406.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.045.390.780.68
Total Volume2,832.9526288,1343,9641,844
Total OI125,499.71499,932137,204132,020109,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$30.22$30.0015.4%5.5%34.2%34.6%20.5%2.1%0.6%2.7M-102.0M-431.5K0.7816.25N/AN/A2,2261,73861,35670,664
2014-09-03$30.18$30.0015.6%5.5%33.8%35.5%19.0%1.5%0.4%2.6M-101.4M-431.2K0.6014.56N/AN/A3,4842,07862,11671,496
2014-09-04$30.45$30.0015.7%5.5%33.6%36.1%18.9%1.5%0.5%2.0M-109.6M-415.4K0.5514.83N/AN/A5,2342,90061,49072,072
2014-09-05$30.57$30.0014.8%5.5%33.2%30.8%20.2%2.7%2.7%2.2M-115.6M-406.0K0.6915.46N/AN/A1,06073262,96871,970
2014-09-08$30.27$30.0016.0%5.5%32.9%38.0%21.1%2.7%2.2%2.4M-107.5M-405.7K0.0415.42N/AN/A3,69615463,46871,910
2014-09-09$29.86$30.0016.1%5.5%33.3%38.2%19.0%2.4%2.2%2.7M-92.0M-428.3K0.7614.81N/AN/A1,6341,24863,31471,994
2014-09-10$29.85$30.0015.9%5.5%33.1%37.1%19.0%2.1%2.2%2.5M-91.3M-432.0K1.1013.92N/AN/A1,3661,50263,11072,330
2014-09-11$30.09$30.0016.3%5.6%32.2%39.7%19.2%2.3%2.4%2.2M-100.0M-435.8K1.4017.79N/AN/A49268863,66273,020
2014-09-12$29.95$30.0016.6%5.6%32.4%41.4%19.9%1.9%2.1%2.3M-95.5M-427.1K0.7314.90N/AN/A53238863,73273,472
2014-09-15$29.85$30.0017.0%5.6%31.6%43.6%20.3%2.0%2.1%2.2M-89.7M-429.8K0.7216.42N/AN/A36626263,69273,326
2014-09-16$30.11$30.0016.6%5.6%31.5%41.5%19.0%2.4%2.2%1.7M-101.9M-409.9K1.4114.31N/AN/A7741,09063,65473,348
2014-09-17$29.96$30.0016.1%5.6%12.7%38.5%21.0%1.8%2.6%1.7M-95.1M-405.4K0.6217.31N/AN/A45628463,67073,514
2014-09-18$30.11$30.0015.9%5.5%11.8%37.5%20.1%2.7%2.6%1.4M-94.4M-389.3K1.1419.48N/AN/A1,8382,09860,35872,540
2014-09-19$29.82$30.0015.3%5.5%12.0%33.7%20.8%1.8%3.3%969.0K-73.9M-392.1K0.2518.62N/AN/A3,50288460,22073,884
2014-09-22$29.59$30.0015.3%5.6%12.0%33.9%0.0%1.7%4.0%691.0K-28.5M-400.0K2.4614.46N/AN/A7161,75842,97256,960
2014-09-23$29.38$30.0015.9%5.5%12.1%37.0%22.9%2.1%3.5%492.9K-23.3M-401.6K5.3917.84N/AN/A1,0505,65843,35057,764
2014-09-24$30.18$30.0016.2%5.6%15.2%39.2%19.5%2.0%3.3%400.2K-42.8M-402.8K0.5216.07N/AN/A1,13458644,06062,910
2014-09-25$29.65$30.0017.2%5.7%16.5%44.8%21.1%1.3%3.0%103.6K-29.3M-409.4K0.9723.93N/AN/A45243844,52663,180
2014-09-26$29.96$30.0016.6%5.6%16.9%41.1%19.8%1.6%3.5%276.9K-37.0M-409.4K1.8116.10N/AN/A7241,31244,70263,306
2014-09-29$29.90$30.0017.1%5.7%16.9%44.4%0.0%2.1%3.4%226.9K-36.5M-402.1K0.7614.71N/AN/A63248245,19264,230
2014-09-30$29.59$30.0017.7%5.7%16.5%47.8%20.9%1.3%3.1%34.8K-27.1M-406.7K0.6819.16N/AN/A1,09874645,41064,582