TJX Options History — December 2014

In December 2014, TJX traded between $32.13 and $34.29. ATM implied volatility averaged 21.0%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.2% (HV 20d: 18.8%). Max pain ranged from $30.00 to $33.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2014-12-16: Highest Volume — 19,028 contracts
  • 2014-12-10: Largest IV spike — 10.1% change
  • 2014-12-15: Highest IV Rank — 61.9%
  • 2014-12-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.19$32.13$34.29$32.59$34.29
Max Pain$30.89$30.00$33.75$30.00$32.50
ATM IV21.0%18.9%24.0%19.6%21.7%
Expected Move6.4%6.0%7.1%6.1%6.2%
HV 20d18.8%17.1%21.3%17.8%18.5%
HV 60d18.5%18.0%19.1%18.4%18.2%
IV Rank49.0%40.2%61.9%42.8%52.2%
IV Percentile77.4%63.1%86.1%70.2%81.3%
Term Structure1.0%0.2%2.4%0.3%0.2%
VWIV23.1%20.7%26.6%22.3%20.7%
Skew 25d1.6%0.8%2.7%1.2%1.5%
Skew 10d3.9%0.1%6.2%2.7%0.1%
Call IV 25d20.4%18.1%23.4%19.1%20.6%
Put IV 25d22.0%20.3%25.6%20.3%22.1%
Bid-Ask Spread %17.6512.9622.1815.2219.34
Gamma HHI0.290.240.520.300.25
Net GEX5.9M4.3M8.9M5.7M4.9M
Net DEX-128.0M-144.6M-108.6M-119.9M-139.2M
Net VEX-448.3K-500.0K-384.3K-456.4K-384.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.123.200.510.14
Total Volume7,426.8181,80019,0286,58413,118
Total OI130,678.545115,564144,090129,984119,614

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$32.59$30.0019.6%6.1%17.8%42.8%22.3%1.2%0.3%5.7M-119.9M-456.4K0.5115.22N/AN/A4,3482,23669,54060,444
2014-12-02$32.59$30.0019.8%6.1%17.6%44.1%22.4%1.0%0.4%5.5M-122.1M-437.6K3.2016.72N/AN/A2,0126,44068,60460,374
2014-12-03$32.93$30.0019.7%6.1%17.9%43.3%21.7%2.2%0.4%6.0M-131.6M-457.3K0.9015.67N/AN/A7,7386,97871,61659,584
2014-12-04$32.95$30.0019.5%6.1%17.8%42.5%21.4%2.7%0.5%6.6M-136.4M-445.8K1.1815.34N/AN/A82697472,69660,438
2014-12-05$32.75$30.0018.9%6.1%17.5%40.2%23.1%1.7%1.5%6.7M-129.8M-448.6K0.3315.73N/AN/A6,8102,25272,95460,730
2014-12-08$32.66$30.0020.2%6.2%17.1%45.7%23.1%1.1%1.4%7.0M-133.0M-490.5K1.1315.02N/AN/A2,3822,69077,80860,772
2014-12-09$32.70$30.0020.2%6.2%17.1%45.4%23.7%2.3%1.6%7.1M-131.7M-494.9K1.2315.07N/AN/A2,3182,84877,88260,888
2014-12-10$32.13$30.0022.2%6.5%17.9%54.2%23.9%1.1%1.1%6.2M-108.6M-500.0K1.8017.41N/AN/A2,9485,29677,50060,972
2014-12-11$32.75$30.0021.6%6.5%18.8%51.5%24.1%1.2%1.0%6.7M-128.8M-492.9K0.4212.96N/AN/A7,2343,02476,71662,408
2014-12-12$32.81$30.0023.4%6.9%18.6%59.3%25.9%0.8%0.8%5.7M-123.6M-489.0K0.5515.56N/AN/A7,0223,84473,60262,770
2014-12-15$33.20$30.0024.0%7.0%17.3%61.9%26.6%2.6%0.3%7.1M-138.9M-499.4K0.7619.64N/AN/A4,5463,44277,74264,552
2014-12-16$32.54$30.0023.6%7.1%18.7%60.0%25.9%1.8%1.2%6.8M-117.4M-492.5K0.1221.81N/AN/A16,9722,05679,44064,650
2014-12-17$32.69$30.0022.4%7.0%18.7%55.2%25.5%2.1%1.8%6.6M-115.4M-470.5K0.4622.18N/AN/A3,8041,74275,68864,736
2014-12-18$33.49$30.0021.6%6.6%20.2%51.4%23.5%2.4%1.5%8.9M-144.6M-447.7K0.5520.18N/AN/A3,5621,95475,23264,338
2014-12-19$33.04$30.0020.8%6.7%20.1%48.0%24.2%1.5%2.4%4.9M-130.2M-437.2K0.2917.82N/AN/A2,55273275,43664,088
2014-12-22$33.63$0.0020.3%6.1%20.9%46.1%21.1%1.5%1.0%4.4M-117.4M-415.2K0.8317.47N/AN/A2,2521,86659,55656,008
2014-12-23$34.09$33.7520.1%6.1%21.2%45.1%20.7%1.5%0.9%4.5M-129.2M-406.0K0.5617.83N/AN/A3,7322,07859,83456,184
2014-12-24$33.94$33.7520.0%6.0%21.3%44.9%22.2%0.8%0.5%4.3M-124.4M-407.2K0.4920.59N/AN/A3,6861,79859,46256,304
2014-12-26$34.06$33.7520.3%6.0%21.2%46.1%21.8%0.9%0.7%4.5M-128.1M-400.7K0.5218.24N/AN/A3,1161,62860,09056,546
2014-12-29$34.20$32.5020.9%6.2%19.5%48.7%21.6%1.9%1.1%4.7M-132.6M-397.3K0.6119.80N/AN/A4,1442,52461,43456,808
2014-12-30$34.22$32.5021.1%6.1%18.5%49.3%22.0%2.4%0.4%5.1M-133.5M-392.1K0.3018.67N/AN/A1,43243462,23256,656
2014-12-31$34.29$32.5021.7%6.2%18.5%52.2%20.7%1.5%0.2%4.9M-139.2M-384.3K0.1419.34N/AN/A11,5061,61262,68256,932