TJX Options History — October 2014 In October 2014, TJX traded between $29.61 and $31.68. ATM implied volatility averaged 24.2%, placing in the 75.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.7% (HV 20d: 20.5%). Max pain ranged from $28.75 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.89.
Notable Days 2014-10-08 : Highest Volume — 16,734 contracts2014-10-13 : Largest IV spike — 20.7% change2014-10-14 : Highest IV Rank — 100.0%2014-10-16 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $30.63 $29.61 $31.68 $29.61 $31.68 Max Pain $29.40 $28.75 $30.00 $30.00 $28.75 ATM IV 24.2% 17.7% 30.3% 18.0% 26.8% Expected Move 6.5% 5.8% 7.3% 5.8% 6.3% HV 20d 20.5% 16.5% 23.6% 16.5% 19.9% HV 60d 24.8% 24.3% 25.4% 24.3% 24.7% IV Rank 75.9% 47.9% 100.0% 49.8% 83.3% IV Percentile 89.1% 51.2% 100.0% 58.7% 97.2% Term Structure -2.0% -4.1% 4.2% 3.2% -4.1% VWIV 23.4% 20.4% 26.1% 21.0% 24.1% Skew 25d 3.7% 1.6% 5.0% 1.6% 3.6% Skew 10d 7.6% 1.8% 10.6% 4.6% 6.3% Call IV 25d 23.9% 16.4% 29.0% 18.0% 25.2% Put IV 25d 27.5% 18.5% 33.4% 19.6% 28.8% Bid-Ask Spread % 18.59 12.57 26.78 24.35 19.02 Gamma HHI 0.22 0.13 0.36 0.14 0.26 Net GEX 1.8M 40.0K 3.1M 40.0K 3.0M Net DEX -57.4M -79.3M -27.0M -27.0M -73.5M Net VEX -448.9K -524.5K -389.3K -415.1K -439.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.04 2.24 0.92 0.68 Total Volume 4,969.217 980 16,734 1,194 4,830 Total OI 112,105.304 92,090 134,992 110,946 104,548
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $29.61 $30.00 18.0% 5.8% 16.5% 49.8% 21.0% 1.6% 3.2% 40.0K -27.0M -415.1K 0.92 24.35 N/A N/A 622 572 45,870 65,076 2014-10-02 $29.98 $28.75 18.4% 5.9% 16.8% 52.1% 20.4% 2.1% 3.4% 234.3K -37.8M -410.8K 1.74 22.77 N/A N/A 558 972 46,072 65,200 2014-10-03 $30.54 $28.75 17.7% 5.9% 18.1% 47.9% 20.6% 2.1% 4.2% 763.0K -56.5M -389.3K 0.74 16.31 N/A N/A 2,510 1,856 46,214 64,888 2014-10-06 $30.15 $28.75 19.0% 5.8% 18.3% 55.3% 22.5% 2.6% -2.0% 526.1K -45.6M -399.1K 0.71 15.74 N/A N/A 574 406 47,600 66,138 2014-10-07 $29.84 $28.75 19.1% 6.0% 18.1% 55.9% 21.2% 2.8% -2.2% 262.4K -35.1M -413.6K 0.77 20.36 N/A N/A 880 680 47,870 66,348 2014-10-08 $30.50 $28.75 19.8% 6.1% 19.6% 60.3% 21.5% 3.5% -2.2% 752.3K -55.3M -395.6K 0.16 16.57 N/A N/A 14,460 2,274 48,206 66,738 2014-10-09 $30.25 $28.75 20.8% 6.4% 19.7% 65.7% 21.7% 3.1% -2.7% 2.6M -73.1M -524.5K 1.21 19.58 N/A N/A 966 1,164 68,348 66,644 2014-10-10 $30.79 $30.00 22.0% 6.6% 20.5% 73.0% 23.9% 3.4% -2.7% 1.8M -79.3M -474.4K 0.45 26.78 N/A N/A 2,578 1,148 58,558 67,244 2014-10-13 $30.32 $30.00 26.6% 7.1% 21.3% 99.6% 25.7% 4.1% -4.0% 1.4M -60.4M -478.5K 0.47 24.10 N/A N/A 5,094 2,408 58,888 67,392 2014-10-14 $30.57 $30.00 27.0% 6.9% 21.3% 100.0% 24.9% 4.2% -3.8% 2.0M -74.1M -473.5K 1.25 19.52 N/A N/A 3,298 4,130 60,944 67,114 2014-10-15 $30.07 $30.00 29.1% 7.3% 22.1% 100.0% 26.1% 4.3% -3.3% 1.3M -52.1M -493.8K 1.17 18.75 N/A N/A 3,688 4,306 60,948 67,268 2014-10-16 $29.81 $30.00 30.3% 7.3% 22.2% 100.0% 24.9% 4.4% -3.7% 1.3M -39.3M -485.2K 0.68 17.56 N/A N/A 2,310 1,582 59,520 67,398 2014-10-17 $30.20 $30.00 28.1% 7.0% 22.4% 89.2% 24.5% 5.0% -2.9% 1.5M -52.7M -477.5K 0.16 18.21 N/A N/A 7,198 1,128 60,400 67,358 2014-10-20 $30.34 $30.00 27.6% 6.8% 22.2% 87.0% 24.6% 4.4% -2.8% 1.5M -39.8M -452.6K 0.52 16.70 N/A N/A 4,598 2,408 44,604 47,486 2014-10-21 $31.13 $30.00 25.0% 6.5% 23.6% 74.3% 24.3% 4.7% -1.2% 2.3M -57.7M -460.7K 0.54 12.57 N/A N/A 5,308 2,852 48,104 47,898 2014-10-22 $30.81 $30.00 25.9% 6.5% 22.2% 78.7% 24.5% 4.0% -2.1% 2.6M -56.5M -460.2K 1.22 19.83 N/A N/A 2,002 2,436 51,520 48,672 2014-10-23 $31.14 $30.00 25.3% 6.4% 21.3% 75.9% 24.0% 4.1% -2.2% 2.8M -65.1M -451.9K 1.11 16.78 N/A N/A 1,950 2,162 51,658 49,084 2014-10-24 $31.02 $30.00 25.1% 6.4% 21.2% 74.9% 23.9% 3.6% -2.0% 2.8M -62.3M -454.2K 1.03 15.30 N/A N/A 1,908 1,960 52,062 49,192 2014-10-27 $31.41 $28.75 25.6% 6.4% 21.5% 77.4% 23.1% 4.5% -2.7% 3.1M -70.0M -448.3K 0.04 16.35 N/A N/A 3,826 168 52,244 49,246 2014-10-28 $31.35 $28.75 25.8% 6.3% 21.0% 78.4% 23.0% 4.5% -3.1% 3.0M -67.0M -447.2K 2.24 16.21 N/A N/A 780 1,744 51,814 49,342 2014-10-29 $31.37 $28.75 26.9% 6.4% 21.0% 83.7% 24.4% 3.9% -3.8% 3.0M -69.2M -432.2K 1.50 16.85 N/A N/A 1,784 2,682 52,096 50,356 2014-10-30 $31.64 $28.75 26.9% 6.3% 20.8% 83.8% 23.6% 4.3% -4.1% 2.8M -71.5M -446.8K 1.26 17.48 N/A N/A 1,566 1,966 52,632 51,620 2014-10-31 $31.68 $28.75 26.8% 6.3% 19.9% 83.3% 24.1% 3.6% -4.1% 3.0M -73.5M -439.6K 0.68 19.02 N/A N/A 2,872 1,958 52,714 51,834
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