TJX Options History — November 2015

In November 2015, TJX traded between $32.09 and $37.18. ATM implied volatility averaged 28.8%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.1% (HV 20d: 29.9%). Max pain ranged from $35.00 to $36.25. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2015-11-13: Highest Volume — 61,414 contracts
  • 2015-11-13: Largest IV spike — 43.3% change
  • 2015-11-09: Highest IV Rank — 100.0%
  • 2015-11-13: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.24$32.09$37.18$36.62$35.30
Max Pain$35.25$35.00$36.25$35.00$35.00
ATM IV28.8%20.4%43.7%27.6%23.7%
Expected Move7.7%5.9%12.5%7.9%6.8%
HV 20d29.9%19.6%37.9%19.7%37.6%
HV 60d26.6%22.9%27.7%26.1%27.4%
IV Rank57.7%19.9%100.0%70.6%31.0%
IV Percentile86.0%49.2%100.0%95.2%78.6%
Term Structure-2.5%-8.1%0.7%-4.8%-1.5%
VWIV27.0%20.8%42.5%27.8%24.6%
Skew 25d3.6%2.5%4.9%2.5%3.1%
Skew 10d8.3%5.8%10.6%5.8%7.0%
Call IV 25d25.5%19.9%41.5%26.4%22.2%
Put IV 25d29.1%22.9%46.4%28.9%25.3%
Bid-Ask Spread %17.1912.7023.3117.9217.02
Gamma HHI0.250.110.690.210.25
Net GEX3.0M-870.9K15.2M1.7M3.0M
Net DEX-32.9M-97.2M52.0M-42.1M-42.4M
Net VEX-349.9K-396.1K-312.8K-312.8K-340.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.176.983.880.70
Total Volume17,372.61,58661,41421,0121,586
Total OI117,03587,292170,79087,292116,190

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$36.62$35.0027.6%7.9%19.7%70.6%27.8%2.5%-4.8%1.7M-42.1M-312.8K3.8817.92N/AN/A4,30616,70639,26648,026
2015-11-03$37.13$35.0026.3%7.5%19.7%63.8%27.3%3.1%-4.5%2.7M-58.4M-326.1K6.7620.99N/AN/A2,20014,87242,03448,418
2015-11-04$36.82$35.0028.9%8.3%19.6%78.1%28.6%3.2%-6.1%2.2M-49.2M-334.3K6.9816.59N/AN/A2,15615,04642,06048,922
2015-11-05$37.18$36.2528.3%6.4%19.7%74.8%22.7%3.2%-1.1%2.6M-57.0M-337.7K1.2312.70N/AN/A2,2242,72642,60049,376
2015-11-06$36.47$36.2531.2%6.8%21.0%90.6%23.3%3.4%-1.2%1.9M-40.3M-330.0K0.9013.34N/AN/A2,7282,44243,09649,434
2015-11-09$35.53$36.2539.2%7.9%22.4%100.0%27.8%4.2%-2.5%686.5K-12.8M-337.5K1.7915.96N/AN/A2,7865,00042,81050,480
2015-11-10$35.91$36.2540.6%7.9%22.5%100.0%28.5%4.5%-2.7%819.8K-23.5M-348.6K0.3912.96N/AN/A9,6643,74844,31453,978
2015-11-11$35.48$35.0028.8%8.3%22.3%54.4%29.0%4.1%-3.0%1.5M-23.0M-365.7K1.2823.31N/AN/A2,9723,79248,93253,182
2015-11-12$34.10$35.0030.5%8.7%26.3%60.9%29.7%4.2%-3.0%-591.4K21.5M-343.6K0.7117.09N/AN/A5,4963,91249,92856,320
2015-11-13$32.09$35.0043.7%12.5%33.1%100.0%42.1%4.9%-8.1%-870.9K52.0M-335.9K0.4422.99N/AN/A42,54618,86850,02456,928
2015-11-16$32.83$35.0042.5%12.2%34.4%95.7%42.5%4.5%-7.7%2.0M5.2M-376.4K1.3120.72N/AN/A25,37433,23475,67460,110
2015-11-17$34.12$35.0026.3%7.5%37.7%40.1%25.7%4.5%-0.7%7.7M-46.8M-396.1K0.6520.58N/AN/A19,56812,67489,91480,876
2015-11-18$34.20$35.0025.4%7.3%37.6%37.0%26.5%3.9%-1.0%8.2M-47.6M-381.4K0.2917.51N/AN/A18,8625,42287,22682,740
2015-11-19$33.85$35.0024.4%7.0%36.6%33.6%24.5%3.4%-0.9%15.2M-25.5M-358.0K0.4815.43N/AN/A12,0305,82886,65682,712
2015-11-20$35.05$35.0021.9%6.3%37.9%25.0%22.1%3.2%0.7%2.4M-97.2M-355.6K0.5117.11N/AN/A13,8186,98282,08083,716
2015-11-23$35.30$35.0022.7%6.5%37.8%27.6%21.7%3.8%-0.1%1.3M-30.5M-355.2K0.1713.04N/AN/A4,14671846,91061,736
2015-11-24$35.27$35.0021.9%6.3%37.7%24.7%21.8%2.5%-0.3%1.9M-35.8M-339.4K0.2813.06N/AN/A3,9581,10249,48662,228
2015-11-25$35.84$35.0020.4%5.9%37.4%19.9%20.8%3.1%0.3%3.3M-55.9M-347.4K0.6515.58N/AN/A4,7383,06652,17662,708
2015-11-27$35.67$35.0022.5%6.4%37.5%26.8%22.8%2.8%-1.5%3.0M-49.2M-375.5K1.8919.91N/AN/A3,5106,64654,18863,246
2015-11-30$35.30$35.0023.7%6.8%37.6%31.0%24.6%3.1%-1.5%3.0M-42.4M-340.9K0.7017.02N/AN/A93465255,62660,564