TJX Options History — August 2015

In August 2015, TJX traded between $34.68 and $38.42. ATM implied volatility averaged 25.0%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 22.4%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-08-18: Highest Volume — 47,886 contracts
  • 2015-08-24: Largest IV spike — 35.2% change
  • 2015-08-24: Highest IV Rank — 92.9%
  • 2015-08-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.52$34.68$38.42$34.68$35.23
Max Pain$34.82$33.75$35.00$33.75$35.00
ATM IV25.0%18.2%31.6%23.5%27.1%
Expected Move6.8%5.2%9.1%6.8%7.8%
HV 20d22.4%12.5%34.0%15.5%33.6%
HV 60d19.8%15.9%23.3%17.8%23.2%
IV Rank58.6%21.9%92.9%51.8%69.0%
IV Percentile83.6%36.9%99.6%86.5%93.7%
Term Structure-2.3%-5.3%-0.1%-4.2%-2.1%
VWIV23.6%17.3%29.1%24.2%25.9%
Skew 25d3.2%1.3%6.8%2.1%4.7%
Skew 10d6.6%3.5%15.1%3.5%9.1%
Call IV 25d22.4%17.9%28.6%23.2%24.6%
Put IV 25d25.6%19.4%35.4%25.3%29.3%
Bid-Ask Spread %29.5410.0881.4514.6529.82
Gamma HHI0.220.160.320.260.18
Net GEX3.3M2.4M4.6M4.0M2.9M
Net DEX-103.8M-218.7M-42.4M-98.0M-54.5M
Net VEX-458.6K-552.8K-300.5K-552.8K-416.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.183.120.191.56
Total Volume10,260.4761,84647,8864,4945,348
Total OI121,818.47686,784150,446132,76490,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$34.68$33.7523.5%6.8%15.5%51.8%24.2%2.1%-4.2%4.0M-98.0M-552.8K0.1914.65N/AN/A3,78271269,82862,936
2015-08-04$34.77$33.7524.5%7.0%14.1%56.6%24.6%1.9%-4.9%3.7M-98.8M-538.1K0.8217.46N/AN/A1,7021,39068,64663,434
2015-08-05$35.09$33.7525.3%7.2%13.7%60.7%24.6%1.7%-5.3%3.9M-114.3M-522.2K0.5313.16N/AN/A3,3081,74668,81063,732
2015-08-06$34.80$35.0026.8%5.9%14.2%68.8%20.7%3.1%-0.9%3.5M-91.7M-543.5K1.4015.38N/AN/A2,1362,99268,06263,936
2015-08-07$34.81$35.0026.9%5.9%14.1%68.8%21.0%3.0%-0.9%3.2M-91.5M-542.2K0.3513.87N/AN/A4,2361,46668,26865,598
2015-08-10$35.05$35.0029.6%6.1%13.3%83.1%21.2%2.8%-1.8%3.5M-103.2M-501.2K0.3117.73N/AN/A4,6621,44467,29665,634
2015-08-11$34.98$35.0031.3%6.3%13.3%91.9%23.5%3.3%-2.0%3.4M-101.5M-510.7K1.4815.32N/AN/A7441,10267,40465,840
2015-08-12$35.05$35.0022.9%6.6%13.1%48.3%23.2%3.1%-2.5%3.2M-102.6M-508.2K1.0014.02N/AN/A4,3904,38267,67266,714
2015-08-13$35.31$35.0023.5%6.7%12.9%50.3%23.9%3.1%-2.7%2.8M-110.6M-496.9K0.9320.07N/AN/A1,8401,70467,58268,506
2015-08-14$35.31$35.0023.2%6.7%12.5%48.6%24.1%3.0%-2.7%2.9M-112.0M-487.2K0.1817.12N/AN/A7,6581,37467,93468,870
2015-08-17$35.81$35.0022.8%6.5%13.2%46.5%22.6%2.8%-2.9%2.7M-125.2M-439.7K0.6314.11N/AN/A23,93015,12665,01869,012
2015-08-18$38.42$35.0018.3%5.2%27.3%22.3%20.0%2.3%-0.5%3.6M-218.7M-300.5K1.2410.08N/AN/A21,37226,51468,90670,650
2015-08-19$37.44$35.0018.2%5.2%29.5%21.9%18.6%1.3%-0.1%4.6M-190.1M-351.7K0.6914.03N/AN/A9,6126,66272,58861,018
2015-08-20$37.20$35.0019.9%5.7%29.5%30.9%17.3%2.1%-0.6%4.3M-181.4M-430.8K3.1212.71N/AN/A2,7668,61675,64874,798
2015-08-21$35.83$35.0023.4%6.7%32.7%49.3%25.4%3.2%-1.3%3.1M-127.3M-392.8K2.6129.90N/AN/A3,4849,09071,33862,758
2015-08-24$34.98$35.0031.6%9.1%34.0%92.9%29.1%6.8%-4.1%2.4M-47.8M-429.3K2.9381.45N/AN/A2,2526,59249,82236,962
2015-08-25$34.79$35.0027.9%8.0%34.0%73.4%27.4%6.1%-2.5%2.5M-42.4M-420.4K1.6478.53N/AN/A2,4043,93450,17637,030
2015-08-26$35.34$35.0027.1%7.8%33.4%69.0%27.2%3.2%-2.6%2.8M-54.6M-413.8K0.8977.52N/AN/A2,6462,34250,38637,480
2015-08-27$35.62$35.0025.9%7.4%33.5%62.6%25.0%4.0%-2.1%3.1M-59.7M-414.3K1.1172.47N/AN/A2,0822,31051,29637,370
2015-08-28$35.30$35.0026.3%7.5%33.7%64.8%25.2%4.4%-1.8%2.9M-53.5M-418.2K1.3740.95N/AN/A2,3663,25251,66037,370
2015-08-31$35.23$35.0027.1%7.8%33.6%69.0%25.9%4.7%-2.1%2.9M-54.5M-416.1K1.5629.82N/AN/A2,0903,25852,41237,788