TJX Options History — February 2015

In February 2015, TJX traded between $32.94 and $34.67. ATM implied volatility averaged 20.9%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.1% (HV 20d: 19.8%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.46.

Notable Days

  • 2015-02-25: Highest Volume — 23,994 contracts
  • 2015-02-25: Largest IV drop — 26.0% change
  • 2015-02-24: Highest IV Rank — 60.5%
  • 2015-02-24: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.06$32.94$34.67$32.94$34.30
Max Pain$33.95$33.75$35.00$33.75$35.00
ATM IV20.9%17.5%23.7%22.0%18.2%
Expected Move6.2%5.0%6.8%6.3%5.2%
HV 20d19.8%17.3%22.2%20.0%22.2%
HV 60d19.0%18.4%19.9%18.7%19.5%
IV Rank48.5%34.3%60.5%53.1%37.2%
IV Percentile70.1%42.1%86.9%78.2%51.6%
Term Structure-0.4%-2.7%3.9%2.0%0.6%
VWIV21.7%17.9%23.9%21.0%17.9%
Skew 25d3.0%1.5%3.9%3.9%1.5%
Skew 10d6.4%2.9%9.1%7.8%2.9%
Call IV 25d20.4%16.9%22.3%19.9%17.6%
Put IV 25d23.4%18.8%25.7%23.8%19.1%
Bid-Ask Spread %18.1210.7624.8519.0014.31
Gamma HHI0.190.140.240.140.20
Net GEX-274.6K-2.5M1.9M368.4K-1.7M
Net DEX-29.7M-43.5M-9.6M-15.3M-29.0M
Net VEX-439.6K-467.6K-407.5K-407.5K-446.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.227.380.221.14
Total Volume7,411.5793,05623,9944,7226,444
Total OI87,331.26371,92897,65471,92897,000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$32.94$33.7522.0%6.3%20.0%53.1%21.0%3.9%2.0%368.4K-15.3M-407.5K0.2219.00N/AN/A3,85886438,34633,582
2015-02-03$33.69$33.7519.3%5.5%21.3%41.9%19.1%3.1%3.2%1.1M-31.1M-412.4K0.9414.62N/AN/A1,7161,62039,12034,070
2015-02-04$33.90$33.7519.2%5.5%21.3%41.3%19.4%2.3%3.9%1.5M-35.2M-416.9K0.4621.38N/AN/A4,1981,91639,32634,186
2015-02-05$34.20$33.7519.3%6.5%20.3%41.6%22.9%3.3%-0.6%1.9M-42.3M-417.9K0.7721.47N/AN/A2,2421,72440,04034,712
2015-02-06$34.09$33.7519.2%6.6%20.3%41.2%23.7%3.3%-0.8%1.7M-39.6M-415.6K7.3823.05N/AN/A1,99614,72640,51234,988
2015-02-09$33.78$33.7519.4%6.6%20.1%42.1%22.6%3.6%-0.9%-655.9K-17.9M-460.4K1.5018.54N/AN/A1,8542,77840,59248,052
2015-02-10$34.15$33.7519.1%6.7%20.4%40.7%23.9%3.1%-1.4%-167.9K-27.5M-467.6K1.3818.87N/AN/A1,7862,46640,68649,160
2015-02-11$34.15$33.7523.3%6.7%20.2%58.8%22.6%3.3%-0.8%-384.8K-27.9M-457.8K1.7224.85N/AN/A1,9663,37240,73649,202
2015-02-12$34.42$33.7521.6%6.2%19.7%51.8%22.6%3.6%-0.8%-99.4K-33.5M-456.8K0.7316.86N/AN/A3,4842,52841,01850,326
2015-02-13$34.60$33.7521.6%6.2%18.8%51.7%22.1%3.8%-0.8%266.8K-43.5M-452.6K1.0816.74N/AN/A2,4362,63442,60450,534
2015-02-17$34.27$33.7523.5%6.7%18.0%59.9%23.2%2.4%-1.5%-376.2K-35.5M-439.9K0.9918.94N/AN/A2,6342,62043,23250,906
2015-02-18$33.84$33.7522.9%6.6%18.4%57.1%22.9%2.7%-1.5%-1.2M-23.4M-438.4K0.7422.79N/AN/A3,0222,22243,62850,940
2015-02-19$33.91$33.7522.4%6.4%18.3%55.1%22.3%2.8%-1.5%-1.4M-24.7M-437.7K2.0320.57N/AN/A1,3022,64643,99651,504
2015-02-20$34.37$33.7522.8%6.5%17.3%56.7%22.0%3.0%-2.0%-685.5K-38.2M-443.4K0.3012.40N/AN/A2,35270444,43853,216
2015-02-23$34.20$33.7523.2%6.6%17.4%58.4%22.9%3.3%-2.1%-850.8K-28.9M-434.4K0.9320.18N/AN/A5,6865,30236,06445,430
2015-02-24$33.59$35.0023.7%6.8%18.4%60.5%23.7%3.9%-2.7%-1.7M-9.6M-453.8K1.0710.76N/AN/A5,3765,74239,63449,380
2015-02-25$34.67$33.7517.5%5.0%21.6%34.3%18.5%1.9%0.2%-334.6K-43.3M-442.2K2.5014.03N/AN/A6,85617,13841,13850,666
2015-02-26$34.03$35.0018.5%5.3%22.1%38.2%18.4%1.9%0.2%-2.5M-18.7M-451.5K1.9314.93N/AN/A3,6166,99441,23855,092
2015-02-27$34.30$35.0018.2%5.2%22.2%37.2%17.9%1.5%0.6%-1.7M-29.0M-446.5K1.1414.31N/AN/A3,0063,43841,69255,308