TJX Options History — November 2014

In November 2014, TJX traded between $30.86 and $33.08. ATM implied volatility averaged 24.1%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.1% (HV 20d: 16.0%). Max pain ranged from $28.75 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-11-18: Highest Volume — 54,014 contracts
  • 2014-11-18: Largest IV drop — 28.9% change
  • 2014-11-11: Highest IV Rank — 100.0%
  • 2014-11-17: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.78$30.86$33.08$31.95$33.08
Max Pain$29.54$28.75$30.00$28.75$30.00
ATM IV24.1%17.0%32.9%27.2%17.9%
Expected Move6.2%5.9%6.6%6.1%6.0%
HV 20d16.0%13.7%19.3%19.3%16.7%
HV 60d19.8%16.8%24.3%24.3%18.1%
IV Rank65.4%31.9%100.0%84.9%35.9%
IV Percentile78.5%35.7%100.0%98.4%50.0%
Term Structure-1.4%-5.7%1.7%-4.6%1.2%
VWIV22.6%20.2%24.6%24.0%21.4%
Skew 25d3.0%0.9%5.2%4.9%1.6%
Skew 10d6.4%2.5%11.1%9.3%4.0%
Call IV 25d21.8%16.9%28.0%26.0%17.3%
Put IV 25d24.7%17.9%32.1%30.9%18.9%
Bid-Ask Spread %17.6714.1127.1615.2615.18
Gamma HHI0.300.230.550.260.31
Net GEX4.5M1.8M10.5M3.0M6.1M
Net DEX-87.8M-145.9M-47.1M-80.2M-145.9M
Net VEX-452.4K-540.5K-397.3K-426.1K-435.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.102.261.540.10
Total Volume12,135.0532,77454,0143,5148,512
Total OI126,023.053104,740164,780104,740131,020

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$31.95$28.7527.2%6.1%19.3%84.9%24.0%4.9%-4.6%3.0M-80.2M-426.1K1.5415.26N/AN/A1,3862,12852,60652,134
2014-11-04$31.93$28.7528.0%6.1%18.7%89.0%24.0%4.7%-5.7%2.9M-79.4M-423.3K2.1816.70N/AN/A1,4643,18652,66852,622
2014-11-05$31.86$28.7529.8%6.5%17.5%97.6%24.6%3.3%-5.2%2.8M-78.5M-413.1K1.0617.63N/AN/A1,8321,94452,99254,334
2014-11-06$32.30$28.7527.7%6.2%17.5%87.7%24.1%5.2%-4.3%3.1M-91.1M-397.3K1.2214.11N/AN/A2,6923,28053,96054,796
2014-11-07$32.01$28.7528.2%6.2%17.2%89.8%22.3%3.4%-2.0%2.9M-83.6M-413.7K0.6216.32N/AN/A3,0961,92255,03656,292
2014-11-10$31.95$28.7529.6%6.1%16.0%96.7%22.3%3.7%-2.0%2.9M-78.7M-425.2K1.2914.89N/AN/A2,0582,64854,92056,602
2014-11-11$31.60$28.7532.9%6.2%16.5%100.0%22.3%3.0%-2.7%2.9M-74.4M-406.0K1.7014.55N/AN/A1,8363,13055,20056,168
2014-11-12$31.91$30.0031.0%6.1%15.3%92.0%22.4%3.8%-2.4%2.9M-77.4M-421.6K2.0517.09N/AN/A1,6083,29855,29857,594
2014-11-13$31.75$30.0024.8%6.3%15.0%65.3%22.5%3.4%-2.5%2.8M-72.5M-424.9K2.2621.06N/AN/A1,7744,00655,57858,012
2014-11-14$31.16$30.0026.2%6.5%16.4%71.2%22.7%3.2%-2.3%2.0M-52.0M-443.2K0.2827.16N/AN/A22,0026,07855,83460,158
2014-11-17$30.86$30.0026.5%6.6%16.8%72.7%23.6%3.6%-2.6%2.9M-51.6M-472.5K2.1820.40N/AN/A9,21620,13268,00062,520
2014-11-18$30.91$30.0018.9%6.1%14.1%40.0%21.5%2.4%1.3%1.8M-47.1M-447.3K0.4117.51N/AN/A38,33615,67871,02870,944
2014-11-19$31.07$30.0018.9%6.1%13.7%39.9%21.5%2.3%1.4%10.5M-81.6M-534.2K0.4516.88N/AN/A5,3122,41491,02073,760
2014-11-20$31.68$30.0019.4%6.3%14.9%42.1%23.3%1.7%1.2%9.8M-120.5M-540.5K0.3016.11N/AN/A15,7764,72889,73873,940
2014-11-21$31.76$30.0018.5%6.1%14.8%38.3%21.9%2.1%1.3%7.9M-123.1M-505.9K0.7916.93N/AN/A7,2405,70689,16473,786
2014-11-24$31.75$30.0018.0%6.0%14.2%36.2%20.2%1.5%1.2%6.0M-101.2M-500.3K0.3616.36N/AN/A4,7621,72272,13658,860
2014-11-25$32.05$30.0017.0%5.9%14.5%31.9%21.8%1.8%1.7%7.0M-118.9M-493.1K0.1618.33N/AN/A14,5862,30475,92459,702
2014-11-26$32.26$30.0017.1%5.9%14.6%32.3%22.0%0.9%1.3%5.9M-111.4M-472.3K0.4823.25N/AN/A1,87490070,03260,060
2014-11-28$33.08$30.0017.9%6.0%16.7%35.9%21.4%1.6%1.2%6.1M-145.9M-435.0K0.1015.18N/AN/A7,72678670,88660,134