TJX Options History — January 2016

In January 2016, TJX traded between $33.42 and $35.91. ATM implied volatility averaged 25.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.0% (HV 20d: 25.0%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-01-15: Highest Volume — 10,118 contracts
  • 2016-01-05: Largest IV drop — 14.4% change
  • 2016-01-11: Highest IV Rank — 61.8%
  • 2016-01-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.50$33.42$35.91$35.39$35.62
Max Pain$34.54$33.75$35.00$35.00$33.75
ATM IV25.9%21.8%32.6%27.1%22.9%
Expected Move7.0%6.2%7.7%6.8%6.6%
HV 20d25.0%16.7%28.1%16.8%28.1%
HV 60d27.8%25.9%28.7%25.9%28.4%
IV Rank38.8%24.7%61.8%42.8%28.5%
IV Percentile81.0%52.8%98.4%94.0%65.1%
Term Structure2.2%0.5%4.6%1.5%3.3%
VWIV24.6%22.2%26.7%24.4%23.0%
Skew 25d5.6%4.5%6.5%5.7%5.7%
Skew 10d11.8%8.8%14.0%11.4%10.2%
Call IV 25d22.1%19.2%24.4%20.8%19.2%
Put IV 25d27.7%24.9%30.2%26.4%24.9%
Bid-Ask Spread %20.8215.6330.9218.8617.53
Gamma HHI0.210.110.310.280.23
Net GEX2.1M113.6K5.1M4.5M3.5M
Net DEX-14.1M-45.2M13.8M-38.1M-40.6M
Net VEX-270.6K-343.0K-226.1K-272.3K-343.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.181.831.521.59
Total Volume6,199.5794,78210,1185,6326,482
Total OI78,293.89535,376108,310101,27458,380

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$35.39$35.0027.1%6.8%16.8%42.8%24.4%5.7%1.5%4.5M-38.1M-272.3K1.5218.86N/AN/A2,2383,39450,90250,372
2016-01-05$35.91$35.0023.2%6.2%16.7%29.4%22.3%5.2%2.5%5.1M-45.2M-277.9K1.1219.18N/AN/A2,6242,94051,02051,426
2016-01-06$34.98$35.0026.2%6.6%19.2%39.6%23.4%4.5%1.8%3.4M-23.4M-265.3K1.2215.63N/AN/A2,3262,82651,40651,636
2016-01-07$35.13$35.0028.9%7.1%19.2%48.8%24.5%5.8%0.8%3.8M-27.2M-272.6K1.4315.94N/AN/A2,1043,01851,91852,166
2016-01-08$33.42$35.0031.5%7.5%25.9%58.0%26.5%5.7%1.0%343.3K13.8M-241.1K1.3717.56N/AN/A2,8163,86252,33252,244
2016-01-11$33.95$35.0032.6%7.4%26.4%61.8%26.2%5.6%0.7%1.3M1.9M-238.6K1.0618.14N/AN/A3,3663,57452,89452,522
2016-01-12$34.46$35.0028.4%6.8%26.7%47.3%23.3%4.6%1.6%2.2M-10.8M-241.6K1.2719.82N/AN/A2,4083,05053,73053,124
2016-01-13$33.88$35.0026.6%7.6%27.2%41.0%25.4%5.7%0.5%976.3K6.1M-237.5K1.0023.26N/AN/A2,6042,60654,48253,454
2016-01-14$34.23$35.0026.3%7.5%27.5%39.8%26.6%5.8%0.5%2.0M-5.5M-235.8K1.8321.80N/AN/A1,6923,09054,50453,632
2016-01-15$33.77$35.0026.8%7.7%26.8%41.7%26.6%6.0%1.2%113.6K-4.0M-226.1K1.1725.72N/AN/A4,6705,44854,56453,746
2016-01-19$34.18$35.0026.0%7.4%26.9%38.9%24.6%6.3%1.7%195.8K-584.3K-238.3K0.4822.43N/AN/A4,4822,15817,88617,490
2016-01-20$33.73$35.0026.5%7.6%26.6%40.7%26.7%6.0%2.7%334.7K812.9K-249.9K1.0222.69N/AN/A2,6022,65620,92818,160
2016-01-21$34.02$33.7525.9%7.4%26.8%38.8%25.5%6.5%2.4%460.4K-1.8M-261.6K0.5127.46N/AN/A3,9502,03022,13219,146
2016-01-22$34.47$33.7522.4%6.4%26.9%26.5%22.4%5.7%3.6%923.8K-9.5M-278.0K0.1819.58N/AN/A7,7601,37224,82819,282
2016-01-25$34.38$33.7525.0%7.2%26.4%35.7%23.1%5.6%3.3%2.2M-15.2M-295.9K0.5616.75N/AN/A3,5661,98230,88619,396
2016-01-26$34.82$33.7522.4%6.4%26.9%26.4%22.2%5.7%3.9%2.7M-23.8M-308.6K0.3220.82N/AN/A5,9501,91432,51820,098
2016-01-27$34.56$33.7522.3%6.4%27.0%26.3%25.8%5.6%4.3%2.8M-20.9M-323.5K1.2430.92N/AN/A2,2962,84835,62220,502
2016-01-28$34.70$33.7521.8%6.3%26.3%24.7%24.2%4.8%4.6%2.9M-23.0M-333.5K1.2021.54N/AN/A2,3182,77036,76621,490
2016-01-29$35.62$33.7522.9%6.6%28.1%28.5%23.0%5.7%3.3%3.5M-40.6M-343.0K1.5917.53N/AN/A2,5063,97636,83221,548