TJX Options History — April 2015

In April 2015, TJX traded between $32.10 and $34.69. ATM implied volatility averaged 18.2%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.7% (HV 20d: 15.5%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-04-20: Highest Volume — 21,416 contracts
  • 2015-04-27: Largest IV spike — 12.5% change
  • 2015-04-09: Highest IV Rank — 42.5%
  • 2015-04-07: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.49$32.10$34.69$34.44$32.23
Max Pain$34.23$32.50$35.00$32.50$33.75
ATM IV18.2%16.3%19.5%17.0%19.0%
Expected Move5.3%4.8%5.6%4.9%5.4%
HV 20d15.5%13.5%17.2%17.0%13.5%
HV 60d18.3%16.9%19.1%19.1%16.9%
IV Rank36.9%28.8%42.5%32.0%40.5%
IV Percentile49.7%24.2%65.9%36.9%60.7%
Term Structure1.5%0.6%3.0%1.8%2.2%
VWIV18.9%17.4%20.2%17.4%20.2%
Skew 25d2.6%1.9%3.3%2.2%2.3%
Skew 10d5.1%4.0%7.0%4.2%5.0%
Call IV 25d17.5%16.3%18.3%16.8%18.3%
Put IV 25d20.1%18.9%20.9%18.9%20.6%
Bid-Ask Spread %16.048.6121.018.6120.10
Gamma HHI0.250.150.430.260.18
Net GEX1.7M-2.1M3.2M2.6M1.3M
Net DEX-29.5M-52.8M-3.3M-46.2M-9.5M
Net VEX-375.5K-424.8K-324.8K-376.2K-385.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.112.751.510.69
Total Volume6,988.5712,89821,4165,2244,596
Total OI76,430.47654,78483,02877,59273,044

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$34.44$32.5017.0%4.9%17.0%32.0%17.4%2.2%1.8%2.6M-46.2M-376.2K1.518.61N/AN/A2,0803,14442,31035,282
2015-04-02$34.69$35.0016.3%5.3%17.0%28.8%19.0%2.8%1.5%3.1M-52.7M-364.2K0.8314.68N/AN/A3,6263,01842,47235,560
2015-04-06$34.67$35.0017.3%5.4%16.4%33.1%20.2%2.6%1.3%3.2M-52.8M-370.9K0.8716.58N/AN/A3,2462,82643,50235,722
2015-04-07$34.30$35.0018.6%5.6%16.9%38.9%19.8%2.6%1.3%2.3M-43.8M-369.0K0.6616.44N/AN/A4,1882,74443,55435,758
2015-04-08$34.66$35.0018.5%5.3%16.9%38.5%18.6%3.3%1.3%3.1M-52.7M-361.3K2.7517.80N/AN/A8602,36643,40035,776
2015-04-09$34.31$35.0019.5%5.6%17.2%42.5%19.6%3.2%0.7%2.1M-42.5M-365.2K1.4917.15N/AN/A2,8224,19243,52237,330
2015-04-10$34.24$35.0019.4%5.6%15.2%42.0%18.7%2.3%0.6%2.0M-41.6M-360.8K1.5120.60N/AN/A2,8664,34243,65637,502
2015-04-13$34.09$35.0019.3%5.5%14.8%41.6%19.2%2.3%0.7%1.3M-37.4M-357.9K1.3414.48N/AN/A2,5303,39843,76237,806
2015-04-14$33.67$35.0018.9%5.4%14.9%39.9%19.1%3.0%0.8%121.7K-27.9M-352.8K0.7213.75N/AN/A5,0483,61644,29237,882
2015-04-15$33.34$35.0017.7%5.1%15.2%35.0%17.9%2.5%1.4%-344.5K-18.2M-349.6K0.5610.22N/AN/A5,9983,36443,92038,168
2015-04-16$33.26$33.7517.7%5.1%15.1%35.0%18.6%2.2%1.5%-302.5K-14.1M-333.2K1.6816.94N/AN/A2,6904,51043,79838,358
2015-04-17$32.62$33.7519.2%5.5%16.4%41.4%19.6%2.8%0.7%-2.1M-3.3M-324.8K1.5514.24N/AN/A3,7805,86843,68439,344
2015-04-20$32.99$33.7518.9%5.4%15.3%40.2%19.1%2.5%1.7%132.5K-9.1M-347.1K0.1115.39N/AN/A19,2142,20227,74627,038
2015-04-21$33.15$33.7517.4%5.0%15.5%33.8%19.2%2.5%1.7%2.3M-28.5M-413.7K0.3215.30N/AN/A4,7741,51441,41427,702
2015-04-22$33.23$33.7517.1%4.9%15.1%32.3%17.5%2.2%2.6%2.7M-32.1M-421.5K0.3821.01N/AN/A3,2521,22244,08027,874
2015-04-23$33.16$33.7517.2%4.9%14.9%32.7%17.8%2.4%2.2%2.7M-31.1M-424.8K0.5115.11N/AN/A2,3441,19244,98628,122
2015-04-24$33.13$33.7516.6%4.8%14.9%30.3%18.0%2.7%3.0%2.7M-31.2M-415.5K0.4012.93N/AN/A2,5141,00445,46028,298
2015-04-27$32.65$33.7518.7%5.4%15.1%39.2%19.0%3.3%1.8%2.3M-21.1M-402.9K0.5815.83N/AN/A1,8381,06045,59428,422
2015-04-28$32.43$33.7518.6%5.3%13.9%38.7%17.8%2.9%1.6%1.9M-15.7M-399.6K0.5919.79N/AN/A2,0341,20045,78428,534
2015-04-29$32.10$33.7518.6%5.3%14.1%38.8%19.7%1.9%1.9%1.7M-8.8M-389.0K0.1419.83N/AN/A11,9721,70645,84028,742
2015-04-30$32.23$33.7519.0%5.4%13.5%40.5%20.2%2.3%2.2%1.3M-9.5M-385.1K0.6920.10N/AN/A2,7221,87443,65629,388