TJX Options History — May 2015

In May 2015, TJX traded between $32.21 and $34.59. ATM implied volatility averaged 18.4%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.1% (HV 20d: 16.3%). Max pain ranged from $32.50 to $33.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-05-18: Highest Volume — 25,834 contracts
  • 2015-05-13: Largest IV spike — 45.6% change
  • 2015-05-13: Highest IV Rank — 50.6%
  • 2015-05-18: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.24$32.21$34.59$32.78$32.21
Max Pain$32.56$32.50$33.75$33.75$32.50
ATM IV18.4%14.7%22.7%18.4%17.8%
Expected Move5.5%4.6%6.5%5.3%5.1%
HV 20d16.3%13.3%20.7%14.8%20.7%
HV 60d17.1%16.5%18.3%17.2%17.2%
IV Rank31.5%14.0%50.6%38.1%22.3%
IV Percentile48.1%2.0%82.1%52.0%43.7%
Term Structure-0.8%-2.8%2.2%2.2%0.2%
VWIV19.5%16.2%23.9%18.2%17.9%
Skew 25d2.5%0.9%4.0%2.3%0.9%
Skew 10d5.7%1.8%8.2%7.8%1.8%
Call IV 25d18.4%15.7%21.7%17.9%18.1%
Put IV 25d20.9%17.4%24.4%20.2%19.0%
Bid-Ask Spread %14.569.0518.4714.2411.44
Gamma HHI0.230.180.310.190.22
Net GEX3.4M764.9K7.5M1.8M2.1M
Net DEX-34.3M-98.0M4.2M-20.6M4.2M
Net VEX-405.0K-450.4K-377.6K-399.7K-399.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.162.750.630.36
Total Volume7,05390225,8345,2468,010
Total OI82,310.573,82697,61473,82697,614

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$32.78$33.7518.4%5.3%14.8%38.1%18.2%2.3%2.2%1.8M-20.6M-399.7K0.6314.24N/AN/A3,2262,02043,91429,912
2015-05-04$32.77$32.5019.0%6.0%14.8%40.3%20.1%3.4%-1.3%2.0M-20.8M-394.7K0.4815.36N/AN/A60829444,90430,308
2015-05-05$32.78$32.5019.1%6.1%14.6%41.1%23.3%3.1%-1.3%1.9M-20.6M-392.1K1.1015.66N/AN/A1,4521,59244,83030,482
2015-05-06$32.88$32.5019.6%6.1%13.9%43.2%23.0%2.6%-0.9%2.0M-22.6M-394.0K1.0816.00N/AN/A1,4301,54244,89230,508
2015-05-07$33.11$32.5019.5%6.2%14.0%42.5%23.9%3.1%-1.3%2.3M-27.3M-397.0K0.9417.66N/AN/A1,6581,55844,95230,580
2015-05-08$33.66$32.5015.9%5.6%15.4%27.3%19.4%2.6%-1.1%3.9M-41.7M-397.0K0.2617.31N/AN/A2,11854644,80230,690
2015-05-11$33.42$32.5018.4%5.7%15.5%37.7%20.1%2.5%-1.4%3.2M-35.3M-386.4K0.1614.68N/AN/A2,61641645,64630,820
2015-05-12$33.23$32.5014.7%5.8%15.1%22.0%21.4%3.4%-1.3%2.8M-31.0M-389.7K1.1613.99N/AN/A2,0522,37644,52630,812
2015-05-13$32.94$32.5021.4%6.1%15.0%50.6%20.4%3.5%-1.7%1.6M-22.0M-384.6K0.7315.84N/AN/A2,8022,03844,64831,478
2015-05-14$32.81$32.5020.9%6.0%15.0%48.6%20.9%2.6%-1.5%764.9K-19.7M-378.5K0.3717.73N/AN/A6,6242,42244,38431,600
2015-05-15$32.95$32.5021.9%6.3%13.3%43.4%20.3%4.0%-2.6%2.4M-21.6M-377.6K0.359.05N/AN/A6,9782,45244,62432,224
2015-05-18$33.63$32.5022.7%6.5%14.6%47.5%22.8%2.7%-2.8%3.7M-43.9M-403.9K0.2410.12N/AN/A20,7885,04645,58628,660
2015-05-19$34.59$32.5016.2%4.6%17.5%14.0%16.9%2.3%0.2%7.5M-98.0M-450.4K0.2614.72N/AN/A15,9484,17059,58831,374
2015-05-20$34.24$32.5016.9%4.9%18.1%17.7%16.9%2.3%0.0%6.6M-75.1M-434.7K1.0115.40N/AN/A4,7344,80455,73232,226
2015-05-21$33.91$32.5016.5%4.7%18.4%15.5%16.9%2.4%0.2%6.2M-60.6M-434.3K2.5718.47N/AN/A1,9705,05855,37233,466
2015-05-22$33.59$32.5016.4%4.7%18.8%14.9%16.2%1.5%0.2%5.2M-48.1M-433.2K1.2210.60N/AN/A1,6982,07655,42036,062
2015-05-26$33.07$32.5018.5%5.3%18.9%26.0%17.8%2.3%-0.9%4.3M-28.8M-411.6K2.7514.98N/AN/A1,9565,38055,68836,212
2015-05-27$33.27$32.5016.7%4.8%18.8%16.7%16.9%1.7%-0.3%4.1M-30.2M-415.5K0.4613.46N/AN/A4,7282,18455,73038,876
2015-05-28$33.00$32.5017.4%5.0%18.7%20.0%17.0%1.3%0.3%3.8M-21.9M-425.6K1.4214.54N/AN/A1,5262,16457,80239,266
2015-05-29$32.21$32.5017.8%5.1%20.7%22.3%17.9%0.9%0.2%2.1M4.2M-399.3K0.3611.44N/AN/A5,8902,12058,14239,472