TJX Options History — October 2015 In October 2015, TJX traded between $35.14 and $36.91. ATM implied volatility averaged 23.8%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.1% (HV 20d: 21.7%). Max pain ranged from $32.50 to $36.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.47.
Notable Days 2015-10-23 : Highest Volume — 38,274 contracts2015-10-12 : Largest IV spike — 23.8% change2015-10-30 : Highest IV Rank — 65.9%2015-10-06 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $36.15 $35.14 $36.91 $35.14 $36.66 Max Pain $34.89 $32.50 $36.25 $32.50 $35.00 ATM IV 23.8% 20.7% 26.7% 24.9% 26.7% Expected Move 7.0% 6.5% 7.7% 7.1% 7.7% HV 20d 21.7% 19.7% 24.2% 22.8% 19.7% HV 60d 25.3% 24.8% 26.2% 24.8% 26.1% IV Rank 50.0% 33.3% 65.9% 56.1% 65.9% IV Percentile 76.1% 52.0% 92.1% 82.9% 92.1% Term Structure -2.0% -4.2% 2.7% 2.7% -4.2% VWIV 26.4% 21.4% 36.2% 25.6% 26.6% Skew 25d 4.1% 2.9% 5.8% 4.6% 2.9% Skew 10d 9.2% 6.7% 12.8% 7.7% 6.7% Call IV 25d 23.0% 20.9% 25.2% 23.0% 25.2% Put IV 25d 27.0% 24.9% 29.3% 27.6% 28.1% Bid-Ask Spread % 19.11 11.91 39.23 39.23 20.07 Gamma HHI 0.20 0.15 0.28 0.15 0.21 Net GEX 2.3M 294.5K 4.8M 2.1M 1.5M Net DEX -56.2M -104.6M -22.1M -43.1M -40.7M Net VEX -339.5K -431.2K -284.8K -431.2K -332.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.47 0.52 12.56 11.38 6.55 Total Volume 10,954.818 3,510 38,274 16,118 17,084 Total OI 107,790 81,348 127,782 119,024 86,540
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 2015-10-01 $35.14 $32.50 24.9% 7.1% 22.8% 56.1% 25.6% 4.6% 2.7% 2.1M -43.1M -431.2K 11.38 39.23 N/A N/A 1,302 14,816 53,902 65,122 2015-10-02 $35.58 $32.50 24.2% 6.9% 22.8% 52.4% 23.5% 5.8% 2.6% 2.7M -58.3M -408.0K 1.96 35.95 N/A N/A 1,772 3,470 54,374 65,522 2015-10-05 $35.77 $35.00 21.3% 7.2% 22.8% 36.5% 24.8% 4.7% -1.8% 3.0M -65.7M -383.6K 0.52 15.25 N/A N/A 2,312 1,198 54,338 66,162 2015-10-06 $35.40 $35.00 24.1% 7.7% 22.0% 51.5% 25.3% 4.8% -2.6% 2.8M -54.9M -391.6K 0.84 14.60 N/A N/A 3,774 3,164 54,924 66,472 2015-10-07 $35.86 $35.00 21.8% 7.3% 21.4% 38.9% 27.5% 5.0% -2.1% 3.7M -73.0M -369.0K 1.93 13.41 N/A N/A 1,650 3,190 57,314 66,742 2015-10-08 $36.11 $35.00 21.2% 7.1% 21.4% 35.7% 26.1% 4.3% -2.2% 4.0M -80.2M -372.0K 1.69 11.91 N/A N/A 1,888 3,184 56,546 66,858 2015-10-09 $36.34 $35.00 20.7% 6.9% 21.4% 33.3% 25.4% 4.1% -2.0% 4.0M -91.5M -353.2K 1.81 15.09 N/A N/A 1,950 3,538 56,760 67,128 2015-10-12 $36.77 $35.00 25.7% 6.9% 21.5% 60.3% 24.8% 4.2% -2.3% 4.8M -104.6M -324.3K 1.03 15.55 N/A N/A 2,992 3,082 57,210 67,694 2015-10-13 $36.35 $35.00 23.4% 6.7% 22.0% 48.0% 23.0% 4.4% -1.7% 4.6M -94.9M -314.0K 1.00 14.61 N/A N/A 3,302 3,292 57,468 67,800 2015-10-14 $35.84 $35.00 23.8% 6.8% 22.4% 49.8% 25.1% 3.9% -2.1% 4.2M -76.1M -319.6K 1.50 17.01 N/A N/A 2,462 3,702 58,208 68,008 2015-10-15 $35.90 $36.25 22.9% 6.6% 22.0% 45.1% 24.0% 3.8% -1.5% 3.6M -75.9M -326.0K 1.56 17.35 N/A N/A 2,336 3,634 58,564 68,860 2015-10-16 $36.19 $36.25 22.7% 6.5% 21.4% 44.0% 25.4% 4.1% -1.5% 370.3K -77.9M -312.7K 0.83 18.44 N/A N/A 6,806 5,624 58,678 69,104 2015-10-19 $36.42 $35.00 23.1% 6.6% 21.3% 46.0% 23.5% 4.2% -1.7% 643.9K -35.0M -296.2K 1.67 20.07 N/A N/A 1,732 2,894 31,790 59,848 2015-10-20 $36.61 $35.00 23.4% 6.7% 20.0% 47.7% 23.1% 3.2% -2.1% 954.5K -37.1M -308.8K 1.71 17.04 N/A N/A 1,614 2,758 32,422 60,068 2015-10-21 $36.16 $35.00 23.8% 6.8% 20.5% 49.8% 23.8% 3.6% -2.4% 788.2K -30.9M -311.4K 1.90 18.95 N/A N/A 1,468 2,782 33,024 60,214 2015-10-22 $36.91 $35.00 22.5% 6.5% 21.6% 43.0% 21.4% 3.1% -2.0% 1.6M -46.5M -284.8K 1.29 19.38 N/A N/A 2,074 2,684 33,010 60,122 2015-10-23 $35.86 $35.00 24.6% 7.1% 24.2% 54.7% 31.1% 3.5% -2.4% 294.5K -22.3M -320.9K 12.56 18.57 N/A N/A 2,822 35,452 33,596 60,244 2015-10-26 $36.23 $35.00 25.7% 7.4% 22.2% 60.5% 32.3% 4.0% -3.2% 710.8K -28.8M -318.6K 5.90 17.90 N/A N/A 4,566 26,940 34,510 46,838 2015-10-27 $35.92 $35.00 25.6% 7.3% 22.5% 59.8% 25.9% 4.2% -3.4% 600.1K -22.1M -336.8K 5.57 15.58 N/A N/A 2,666 14,844 37,578 47,074 2015-10-28 $36.62 $35.00 25.6% 7.3% 21.2% 59.8% 35.6% 3.9% -3.4% 1.3M -37.9M -332.8K 5.74 22.89 N/A N/A 2,584 14,832 37,756 47,056 2015-10-29 $36.55 $35.00 26.0% 7.4% 20.1% 62.1% 36.2% 3.0% -3.7% 1.5M -39.0M -320.3K 7.50 21.61 N/A N/A 1,972 14,798 38,402 47,530 2015-10-30 $36.66 $35.00 26.7% 7.7% 19.7% 65.9% 26.6% 2.9% -4.2% 1.5M -40.7M -332.7K 6.55 20.07 N/A N/A 2,262 14,822 38,782 47,758
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