TJX Options History — January 2015

In January 2015, TJX traded between $32.67 and $34.27. ATM implied volatility averaged 21.5%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.7% (HV 20d: 18.8%). Max pain ranged from $33.75 to $33.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-01-16: Highest Volume — 9,738 contracts
  • 2015-01-22: Largest IV drop — 11.8% change
  • 2015-01-07: Highest IV Rank — 62.9%
  • 2015-01-14: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.60$32.67$34.27$34.02$32.97
Max Pain$33.75$33.75$33.75$33.75$33.75
ATM IV21.5%18.4%24.3%21.3%21.8%
Expected Move6.1%5.3%6.8%6.3%6.3%
HV 20d18.8%17.4%20.4%18.6%20.1%
HV 60d17.8%17.4%18.7%18.2%18.7%
IV Rank51.2%37.7%62.9%50.3%52.6%
IV Percentile74.3%52.4%87.7%78.2%78.2%
Term Structure1.8%0.7%3.2%0.7%2.1%
VWIV21.4%18.5%25.1%22.1%21.5%
Skew 25d3.1%2.0%3.7%2.6%2.8%
Skew 10d6.5%5.0%9.1%5.3%5.0%
Call IV 25d20.1%17.3%22.3%20.6%20.1%
Put IV 25d23.2%19.6%25.7%23.2%22.9%
Bid-Ask Spread %19.2113.7924.2917.7420.02
Gamma HHI0.200.130.330.200.14
Net GEX2.9M490.3K5.0M5.0M504.5K
Net DEX-73.3M-133.5M-16.5M-125.7M-16.5M
Net VEX-405.1K-418.8K-393.9K-405.9K-417.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.292.021.100.92
Total Volume5,201.65869,7384,6363,232
Total OI100,659.463,424132,928122,13671,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$34.02$33.7521.3%6.3%18.6%50.3%22.1%2.6%0.7%5.0M-125.7M-405.9K1.1017.74N/AN/A2,2082,42864,65657,480
2015-01-05$33.60$33.7523.5%6.5%19.3%59.6%24.1%3.0%0.7%4.7M-115.9M-398.6K1.3819.71N/AN/A1,9322,66664,64257,950
2015-01-06$33.44$33.7523.9%6.7%19.2%61.4%25.1%3.4%0.9%4.6M-110.3M-404.4K1.1618.34N/AN/A2,1062,45264,68659,264
2015-01-07$34.12$33.7524.3%6.6%20.3%62.9%23.6%3.3%0.8%4.8M-128.1M-404.7K0.6621.27N/AN/A2,3161,53664,77260,594
2015-01-08$34.27$33.7522.0%6.3%20.4%53.3%21.8%2.9%1.5%5.0M-133.5M-398.7K0.9622.79N/AN/A2,7882,67065,31061,760
2015-01-09$33.87$33.7521.8%6.3%19.7%52.2%22.4%3.1%1.6%4.9M-120.4M-403.3K1.2116.45N/AN/A4,2885,19065,72262,236
2015-01-12$33.77$33.7523.8%6.5%18.8%60.8%23.0%2.8%1.0%4.2M-118.2M-403.8K2.0221.88N/AN/A2,3984,83466,14264,620
2015-01-13$33.55$33.7523.0%6.3%19.0%57.4%21.6%3.0%1.6%4.4M-106.9M-403.2K0.8621.32N/AN/A3,4362,95664,83064,526
2015-01-14$33.12$33.7523.6%6.8%19.2%60.3%22.6%3.4%1.1%4.0M-90.1M-402.2K1.6722.25N/AN/A3,2365,39865,51664,924
2015-01-15$32.67$33.7522.9%6.6%18.4%57.1%22.3%2.9%1.2%3.5M-74.6M-393.9K0.4520.25N/AN/A5,4402,47265,39265,376
2015-01-16$33.38$33.7520.6%5.9%19.9%47.4%21.1%3.6%2.4%3.0M-94.5M-400.8K0.9317.06N/AN/A5,0344,70467,13465,794
2015-01-20$33.11$33.7522.1%6.3%18.1%53.9%21.4%3.7%1.7%675.9K-19.4M-407.7K1.2814.97N/AN/A1,1661,49633,26830,156
2015-01-21$33.01$33.7521.2%6.1%17.5%50.1%19.6%3.5%1.9%490.3K-18.1M-402.9K0.5518.35N/AN/A1,26669833,81631,510
2015-01-22$33.73$33.7518.7%5.4%18.1%39.3%19.1%2.7%2.9%1.1M-29.5M-411.3K0.8924.29N/AN/A2,6622,36834,68231,856
2015-01-23$33.84$33.7518.4%5.3%17.4%37.7%19.7%2.0%3.2%1.2M-31.6M-404.5K0.5014.79N/AN/A3,1801,57834,71631,974
2015-01-26$34.07$33.7518.6%5.3%17.5%38.8%18.5%2.8%2.9%1.5M-35.8M-403.4K0.7413.79N/AN/A33625035,83632,034
2015-01-27$34.13$33.7519.3%5.5%17.5%41.6%18.9%3.3%2.9%1.6M-37.1M-406.9K1.3820.39N/AN/A9921,37035,97032,140
2015-01-28$33.65$33.7519.9%5.7%18.1%44.2%19.7%3.2%2.5%1.1M-28.5M-408.7K0.2921.39N/AN/A5,2401,51036,45232,954
2015-01-29$33.80$33.7519.8%5.7%18.2%43.9%20.2%3.7%2.4%1.3M-31.0M-418.8K0.3417.16N/AN/A3,1281,07237,84633,116
2015-01-30$32.97$33.7521.8%6.3%20.1%52.6%21.5%2.8%2.1%504.5K-16.5M-417.6K0.9220.02N/AN/A1,6861,54638,28633,250