TJX Options History — September 2015

In September 2015, TJX traded between $34.56 and $36.23. ATM implied volatility averaged 24.0%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 4.2% (HV 20d: 28.2%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2015-09-24: Highest Volume — 18,936 contracts
  • 2015-09-04: Largest IV spike — 14.0% change
  • 2015-09-01: Highest IV Rank — 83.2%
  • 2015-09-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.53$34.56$36.23$34.67$35.76
Max Pain$32.74$32.50$35.00$35.00$32.50
ATM IV24.0%20.7%29.8%29.8%23.1%
Expected Move6.9%5.9%8.6%8.6%6.6%
HV 20d28.2%19.1%36.3%34.1%22.8%
HV 60d24.0%23.4%24.7%23.4%24.7%
IV Rank51.2%32.8%83.2%83.2%46.1%
IV Percentile78.2%57.1%98.0%98.0%73.0%
Term Structure1.0%-2.0%2.7%-2.0%2.7%
VWIV24.7%21.6%29.8%29.8%23.5%
Skew 25d4.9%3.6%6.3%6.3%5.1%
Skew 10d10.7%7.8%13.4%11.7%10.5%
Call IV 25d22.1%19.1%27.8%27.8%21.7%
Put IV 25d27.0%24.0%34.2%34.2%26.8%
Bid-Ask Spread %27.4717.3047.5030.7330.33
Gamma HHI0.180.150.210.170.17
Net GEX3.8M2.4M4.8M2.4M3.4M
Net DEX-67.6M-89.4M-39.1M-39.8M-66.0M
Net VEX-392.4K-443.8K-340.7K-422.2K-387.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.258.760.258.76
Total Volume7,410.6671,48618,93611,73616,198
Total OI97,63286,812106,56290,360106,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$34.67$35.0029.8%8.6%34.1%83.2%29.8%6.3%-2.0%2.4M-39.8M-422.2K0.2530.73N/AN/A9,3522,38452,50837,852
2015-09-02$35.33$35.0026.7%7.6%34.6%65.7%25.8%4.8%-0.4%3.6M-58.4M-443.8K0.6433.44N/AN/A3,1222,01257,77437,870
2015-09-03$35.76$32.5023.8%6.9%34.7%49.8%27.1%5.8%0.3%4.1M-71.1M-440.9K0.5422.91N/AN/A4,3502,36857,96037,888
2015-09-04$35.50$32.5027.1%7.7%34.8%68.0%28.2%5.8%-0.9%4.0M-70.4M-443.8K1.0720.58N/AN/A2,1302,28459,69638,042
2015-09-08$36.17$32.5024.7%6.8%35.3%55.0%24.7%5.0%0.4%4.8M-86.0M-421.9K1.3220.14N/AN/A1,7522,31459,66838,412
2015-09-09$35.46$32.5025.3%7.3%36.1%58.3%25.3%4.7%0.3%3.8M-67.6M-418.4K0.8424.49N/AN/A3,5563,00260,07439,416
2015-09-10$35.71$32.5023.9%6.9%36.2%50.6%26.8%5.1%0.5%4.0M-74.0M-410.3K1.7220.14N/AN/A1,6902,90259,26439,630
2015-09-11$35.85$32.5023.2%6.6%36.1%46.6%26.7%5.4%0.6%4.2M-76.2M-409.6K0.9419.20N/AN/A2,1041,98259,44039,710
2015-09-14$35.56$32.5025.1%7.2%36.3%56.9%26.2%4.5%-0.1%3.9M-70.7M-393.1K0.9420.58N/AN/A2,2002,06059,51239,680
2015-09-15$35.48$32.5023.7%6.8%35.9%49.6%23.8%5.0%0.5%3.5M-65.3M-380.8K0.7521.23N/AN/A85063659,32439,912
2015-09-16$35.80$32.5021.3%6.1%24.7%36.1%22.3%5.2%1.5%4.1M-75.9M-372.4K1.1117.30N/AN/A1,6861,87659,33440,072
2015-09-17$36.23$32.5021.3%6.1%23.8%36.3%22.9%4.4%1.4%4.7M-89.4M-363.4K1.0920.50N/AN/A2,5422,78259,59040,350
2015-09-18$35.66$32.5021.2%6.1%24.3%35.7%22.4%4.3%1.9%3.8M-73.5M-368.9K0.8023.21N/AN/A2,5822,07659,99440,494
2015-09-21$35.96$32.5020.7%5.9%20.7%32.8%22.7%4.8%2.3%4.1M-79.5M-340.7K0.4728.13N/AN/A3,5221,66251,11435,698
2015-09-22$35.29$32.5023.4%6.7%20.0%47.9%22.8%4.4%1.6%3.9M-65.0M-360.9K0.4635.17N/AN/A3,3761,55853,42635,722
2015-09-23$35.59$32.5023.1%6.6%20.0%45.9%21.6%4.2%2.0%4.3M-74.7M-349.8K0.9233.61N/AN/A3,4263,15853,54235,808
2015-09-24$35.62$32.5023.4%6.7%19.3%47.8%22.3%3.6%2.1%4.3M-74.4M-349.7K3.8747.50N/AN/A3,88815,04853,56237,426
2015-09-25$35.49$32.5023.0%6.6%19.1%45.7%22.6%4.5%2.1%3.4M-61.9M-390.0K7.3735.95N/AN/A1,3289,79253,89449,490
2015-09-28$34.56$32.5025.8%7.4%21.1%61.1%26.2%4.5%1.2%2.7M-40.1M-381.5K6.7834.53N/AN/A1,72611,70854,06850,154
2015-09-29$34.74$32.5024.9%7.1%21.2%56.2%25.5%5.3%2.5%2.5M-39.1M-390.5K3.9637.20N/AN/A2,55010,09054,01652,546
2015-09-30$35.76$32.5023.1%6.6%22.8%46.1%23.5%5.1%2.7%3.4M-66.0M-387.2K8.7630.33N/AN/A1,66014,53853,41252,928