TJX Options History — March 2015

In March 2015, TJX traded between $33.58 and $35.23. ATM implied volatility averaged 17.4%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.3% (HV 20d: 19.7%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-03-03: Highest Volume — 11,520 contracts
  • 2015-03-20: Largest IV drop — 11.0% change
  • 2015-03-10: Highest IV Rank — 40.0%
  • 2015-03-16: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.40$33.58$35.23$34.73$35.05
Max Pain$32.78$32.50$35.00$35.00$32.50
ATM IV17.4%15.8%18.9%16.9%17.4%
Expected Move5.0%4.5%5.4%4.8%5.0%
HV 20d19.7%15.7%21.6%20.3%15.7%
HV 60d19.3%18.6%19.9%19.6%18.9%
IV Rank33.6%26.7%40.0%31.4%33.5%
IV Percentile39.2%11.5%58.3%33.7%41.3%
Term Structure1.9%0.4%3.5%0.6%1.1%
VWIV17.6%16.1%20.0%17.8%17.2%
Skew 25d2.4%1.7%3.3%2.1%2.2%
Skew 10d5.9%1.5%8.8%5.2%7.9%
Call IV 25d16.6%15.1%17.5%16.4%16.5%
Put IV 25d18.9%17.5%20.5%18.5%18.7%
Bid-Ask Spread %13.1910.2117.0614.9610.21
Gamma HHI0.260.190.340.190.28
Net GEX208.7K-3.3M3.9M-683.0K3.6M
Net DEX-39.6M-65.6M-10.7M-45.0M-60.6M
Net VEX-396.2K-433.8K-358.3K-431.5K-384.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.104.591.110.93
Total Volume3,966.90974011,5206,3806,028
Total OI90,69270,67298,86896,46477,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$34.73$35.0016.9%4.8%20.3%31.4%17.8%2.1%0.6%-683.0K-45.0M-431.5K1.1114.96N/AN/A3,0303,35041,85054,614
2015-03-03$34.30$35.0018.2%5.2%21.0%37.0%18.1%1.7%0.4%-1.6M-30.5M-426.3K0.9312.83N/AN/A5,9845,53642,03454,522
2015-03-04$34.16$33.7518.1%5.2%19.6%36.6%17.0%1.9%0.4%-1.7M-29.6M-433.0K0.7215.48N/AN/A4,1462,99643,16055,290
2015-03-05$34.38$32.5016.5%5.0%19.6%29.7%18.4%2.5%2.4%-1.1M-35.8M-433.8K0.9416.10N/AN/A2,6582,49643,32454,286
2015-03-06$33.98$32.5017.7%5.2%19.9%35.0%17.8%2.2%2.4%-2.0M-24.5M-424.2K1.1117.06N/AN/A2,4982,77043,29254,250
2015-03-09$34.12$32.5017.8%5.3%19.9%35.2%17.5%2.5%1.9%-1.7M-28.1M-412.7K0.1014.34N/AN/A3,61434843,29654,916
2015-03-10$33.80$32.5018.9%5.3%19.9%40.0%18.2%2.5%2.3%-2.3M-20.2M-409.8K0.5611.82N/AN/A70840044,50654,186
2015-03-11$33.58$32.5018.5%5.3%19.6%38.3%20.0%3.3%1.9%-3.3M-10.7M-408.5K0.8413.03N/AN/A1,8181,53444,52054,348
2015-03-12$34.34$32.5018.1%5.2%21.3%36.6%18.8%3.0%2.2%-614.7K-38.9M-407.8K0.5312.78N/AN/A90247444,51853,834
2015-03-13$33.99$32.5018.0%5.2%21.4%36.2%17.8%2.6%2.5%-2.0M-26.1M-403.1K4.5913.79N/AN/A4482,05844,60653,928
2015-03-16$34.33$32.5018.7%5.4%21.6%39.3%18.7%2.6%1.8%-243.5K-40.0M-389.9K0.8012.66N/AN/A41033044,55853,430
2015-03-17$34.16$32.5018.5%5.3%21.5%38.3%18.7%2.3%2.1%-706.4K-34.2M-379.0K0.7610.40N/AN/A64248844,51053,492
2015-03-18$33.98$32.5018.0%5.2%21.1%36.4%18.0%2.0%2.0%-1.7M-28.0M-371.9K0.3016.98N/AN/A1,68850844,51453,866
2015-03-19$34.08$32.5017.8%5.1%21.1%35.2%17.5%2.6%2.6%-1.4M-32.8M-370.6K0.3913.67N/AN/A1,35052244,67453,914
2015-03-20$34.73$32.5015.8%4.5%21.6%26.8%16.6%2.9%3.5%2.5M-49.8M-367.0K0.4112.43N/AN/A3,3161,34444,47053,882
2015-03-23$34.74$32.5016.1%4.6%21.5%28.0%16.5%2.8%1.7%2.9M-51.0M-358.3K0.3810.85N/AN/A3,3281,25438,42032,252
2015-03-24$35.04$32.5015.8%4.5%20.5%26.7%16.1%2.0%2.1%3.5M-60.6M-373.7K0.3712.59N/AN/A2,03474840,38032,790
2015-03-25$34.77$32.5016.4%4.7%17.6%29.5%16.3%2.0%1.7%3.2M-54.8M-378.8K0.8111.66N/AN/A1,16694641,28632,994
2015-03-26$34.55$32.5016.6%4.8%16.4%30.3%17.3%2.1%1.5%2.9M-49.5M-381.7K1.9312.69N/AN/A2,2164,28641,61433,662
2015-03-27$34.80$32.5016.1%4.6%16.3%27.9%16.5%1.8%2.0%3.2M-54.5M-387.1K0.4912.61N/AN/A65032041,82234,822
2015-03-30$35.23$32.5016.7%4.8%16.3%30.6%16.6%2.0%2.0%3.9M-65.6M-384.5K1.1311.33N/AN/A2,7783,15242,22434,892
2015-03-31$35.05$32.5017.4%5.0%15.7%33.5%17.2%2.2%1.1%3.6M-60.6M-384.0K0.9310.21N/AN/A3,1302,89842,32035,156