TJX Options History — June 2015 In June 2015, TJX traded between $32.36 and $33.95. ATM implied volatility averaged 17.3%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.4% (HV 20d: 18.7%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.56.
Notable Days 2015-06-03 : Highest Volume — 27,304 contracts2015-06-29 : Largest IV spike — 30.9% change2015-06-29 : Highest IV Rank — 34.3%2015-06-29 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.03 $32.36 $33.95 $32.54 $33.12 Max Pain $32.50 $32.50 $32.50 $32.50 $32.50 ATM IV 17.3% 14.9% 20.1% 18.2% 19.7% Expected Move 4.9% 4.3% 5.8% 5.2% 5.6% HV 20d 18.7% 13.8% 21.2% 20.1% 17.0% HV 60d 17.0% 16.3% 17.5% 17.3% 17.3% IV Rank 19.7% 7.2% 34.3% 24.2% 31.9% IV Percentile 34.1% 3.2% 70.6% 47.2% 67.5% Term Structure 2.7% -0.4% 4.6% -0.4% 2.8% VWIV 17.2% 15.0% 19.2% 18.8% 18.2% Skew 25d 2.1% 1.4% 2.6% 2.5% 2.4% Skew 10d 5.1% 2.8% 7.8% 3.4% 4.3% Call IV 25d 16.3% 14.1% 18.5% 17.1% 17.9% Put IV 25d 18.4% 16.2% 21.2% 19.6% 20.3% Bid-Ask Spread % 14.53 9.18 21.93 13.18 9.52 Gamma HHI 0.29 0.23 0.56 0.24 0.46 Net GEX 2.5M 317.1K 9.7M 3.1M 5.2M Net DEX -28.9M -69.2M 7.7M -10.3M -58.9M Net VEX -497.1K -578.3K -416.9K -424.5K -510.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.13 9.02 0.62 9.02 Total Volume 7,692.636 1,834 27,304 6,048 16,010 Total OI 117,664.636 96,738 131,584 101,422 105,580
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $32.54 $32.50 18.2% 5.2% 20.1% 24.2% 18.8% 2.5% -0.4% 3.1M -10.3M -424.5K 0.62 13.18 N/A N/A 3,724 2,324 61,714 39,708 2015-06-02 $32.45 $32.50 17.8% 5.1% 20.2% 22.4% 17.1% 1.8% 0.1% 2.7M -5.3M -416.9K 0.59 13.78 N/A N/A 1,150 684 60,502 39,798 2015-06-03 $33.01 $32.50 18.5% 5.3% 21.1% 25.7% 18.3% 1.4% -0.3% 4.1M -28.8M -440.6K 1.21 10.17 N/A N/A 12,356 14,948 60,630 40,270 2015-06-04 $32.80 $32.50 18.8% 5.3% 21.2% 27.5% 18.1% 2.1% 1.9% 2.0M -15.7M -541.6K 1.25 14.16 N/A N/A 4,490 5,630 68,708 52,646 2015-06-05 $32.84 $32.50 18.1% 5.3% 21.1% 23.7% 18.4% 1.9% 2.4% 2.3M -18.7M -578.3K 2.92 15.52 N/A N/A 1,934 5,640 73,986 55,758 2015-06-08 $32.64 $32.50 19.6% 5.3% 20.2% 31.5% 18.9% 1.8% 2.4% 1.9M -10.9M -555.4K 1.79 13.75 N/A N/A 1,192 2,134 74,240 55,674 2015-06-09 $32.36 $32.50 19.1% 5.2% 20.2% 28.8% 18.7% 2.6% 2.6% 779.4K 7.7M -534.3K 1.68 11.45 N/A N/A 1,170 1,960 74,156 55,684 2015-06-10 $32.78 $32.50 17.7% 5.1% 20.8% 21.7% 17.4% 2.1% 2.8% 1.9M -12.7M -541.5K 1.31 16.95 N/A N/A 1,430 1,874 74,348 55,712 2015-06-11 $32.74 $32.50 17.4% 5.0% 20.6% 20.0% 16.9% 2.1% 2.9% 1.6M -10.1M -528.0K 1.35 19.66 N/A N/A 1,374 1,852 74,498 55,694 2015-06-12 $32.71 $32.50 17.5% 5.0% 20.5% 20.6% 17.6% 2.2% 2.7% 1.6M -8.8M -520.0K 0.81 16.20 N/A N/A 2,394 1,936 74,652 55,718 2015-06-15 $32.55 $32.50 17.8% 5.1% 20.5% 22.5% 18.3% 2.1% 2.5% 711.2K 2.6M -498.8K 0.84 18.28 N/A N/A 2,270 1,916 74,660 55,782 2015-06-16 $32.66 $32.50 17.3% 5.0% 19.1% 19.9% 16.4% 2.2% 2.8% 932.8K -4.9M -494.4K 0.44 14.46 N/A N/A 4,140 1,838 74,730 55,642 2015-06-17 $32.87 $32.50 16.6% 4.8% 15.8% 16.2% 16.4% 1.9% 3.5% 1.6M -18.6M -477.2K 0.85 17.58 N/A N/A 2,160 1,832 75,878 55,648 2015-06-18 $33.58 $32.50 15.7% 4.5% 17.7% 11.6% 15.9% 1.4% 3.5% 9.7M -63.6M -485.8K 0.46 15.71 N/A N/A 4,736 2,188 75,836 55,748 2015-06-19 $33.37 $32.50 15.0% 4.3% 17.5% 7.6% 15.2% 1.9% 3.6% 317.1K -38.7M -467.6K 1.02 13.41 N/A N/A 2,762 2,806 75,150 56,050 2015-06-22 $33.31 $32.50 15.1% 4.3% 17.2% 8.5% 15.0% 2.3% 4.6% 345.1K -37.2M -463.0K 0.13 16.86 N/A N/A 9,178 1,156 51,856 44,882 2015-06-23 $33.77 $32.50 15.0% 4.3% 16.9% 7.9% 15.2% 2.4% 3.8% 2.8M -63.9M -491.8K 1.84 12.48 N/A N/A 2,126 3,914 59,408 45,224 2015-06-24 $33.81 $32.50 14.9% 4.3% 16.8% 7.2% 15.0% 2.0% 4.1% 2.8M -65.7M -498.3K 1.05 12.67 N/A N/A 1,976 2,072 59,924 47,746 2015-06-25 $33.66 $32.50 15.3% 4.4% 16.6% 9.3% 15.4% 2.6% 3.9% 2.2M -57.7M -507.5K 0.70 12.84 N/A N/A 1,638 1,150 60,070 48,576 2015-06-26 $33.95 $32.50 15.4% 4.4% 13.8% 9.8% 17.0% 2.4% 3.8% 3.0M -69.2M -490.5K 4.23 9.18 N/A N/A 4,000 16,914 60,128 48,670 2015-06-29 $33.05 $32.50 20.1% 5.8% 17.0% 34.3% 19.2% 2.6% 3.0% 3.7M -47.0M -470.1K 0.18 21.93 N/A N/A 10,388 1,872 60,968 36,370 2015-06-30 $33.12 $32.50 19.7% 5.6% 17.0% 31.9% 18.2% 2.4% 2.8% 5.2M -58.9M -510.1K 9.02 9.52 N/A N/A 1,598 14,412 69,060 36,520
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