TJX Options History — February 2016

In February 2016, TJX traded between $33.98 and $37.88. ATM implied volatility averaged 28.8%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.2% (HV 20d: 27.6%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2016-02-23: Highest Volume — 32,122 contracts
  • 2016-02-24: Largest IV drop — 29.8% change
  • 2016-02-11: Highest IV Rank — 79.3%
  • 2016-02-11: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.80$33.98$37.88$36.10$37.10
Max Pain$34.63$33.75$35.00$35.00$35.00
ATM IV28.8%21.2%37.7%21.2%23.5%
Expected Move8.6%6.1%10.8%6.1%6.8%
HV 20d27.6%25.4%31.1%28.4%28.3%
HV 60d26.2%23.7%29.4%28.4%24.7%
IV Rank48.6%22.6%79.3%22.6%30.6%
IV Percentile82.4%46.0%98.4%46.0%67.1%
Term Structure-2.3%-6.0%4.8%4.8%-1.0%
VWIV31.1%22.7%39.2%22.7%24.3%
Skew 25d6.2%4.9%7.8%5.0%4.9%
Skew 10d14.5%8.3%19.0%13.5%8.3%
Call IV 25d27.5%19.9%33.8%19.9%22.6%
Put IV 25d33.7%24.9%41.5%24.9%27.4%
Bid-Ask Spread %23.9913.9051.8816.1621.87
Gamma HHI0.210.140.310.200.31
Net GEX3.5M1.2M5.7M3.3M5.2M
Net DEX-41.1M-83.2M-584.2K-47.7M-56.7M
Net VEX-407.0K-487.1K-348.4K-348.8K-476.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.222.250.531.77
Total Volume11,063.94,02432,1225,1706,742
Total OI82,996.260,854113,09060,854113,090

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$36.10$35.0021.2%6.1%28.4%22.6%22.7%5.0%4.8%3.3M-47.7M-348.8K0.5316.16N/AN/A3,3901,78036,41224,442
2016-02-02$36.47$35.0022.7%6.5%28.5%27.6%24.0%5.0%4.3%3.4M-55.4M-357.6K0.9622.57N/AN/A2,0521,97237,88824,850
2016-02-03$35.99$35.0023.0%6.6%28.5%28.7%25.6%5.2%4.5%3.4M-45.7M-361.7K1.0420.10N/AN/A2,7522,86038,54425,370
2016-02-04$35.38$35.0024.9%8.6%27.6%35.2%30.9%6.0%-2.8%2.7M-30.3M-357.6K1.9814.61N/AN/A2,2324,41637,81225,984
2016-02-05$33.98$35.0028.0%9.6%31.1%45.9%33.6%6.6%-3.4%1.3M-1.8M-348.4K2.0213.90N/AN/A2,2364,50838,29027,794
2016-02-08$34.02$33.7529.7%10.2%25.4%51.8%35.8%6.8%-4.1%1.2M-584.2K-360.2K1.0117.27N/AN/A4,3864,44039,02230,078
2016-02-09$34.85$33.7528.9%10.1%26.3%48.9%35.1%7.1%-4.0%2.0M-19.9M-390.3K0.6823.14N/AN/A3,1802,17039,14031,484
2016-02-10$34.70$33.7535.2%10.1%25.9%70.6%35.8%6.9%-4.1%2.0M-16.8M-387.6K0.9327.41N/AN/A3,0462,83039,95231,792
2016-02-11$34.02$33.7537.7%10.8%26.2%79.3%36.8%7.7%-5.1%1.4M-2.4M-364.3K0.8828.96N/AN/A3,4142,98840,33031,098
2016-02-12$34.92$33.7534.8%10.0%27.6%69.5%32.2%7.8%-4.2%2.5M-21.6M-384.3K0.2617.56N/AN/A9,3642,45241,15031,690
2016-02-16$35.59$33.7534.9%10.0%27.7%69.5%37.6%6.3%-4.3%4.1M-46.0M-394.7K1.4224.42N/AN/A7,16410,17447,18232,402
2016-02-17$35.88$35.0032.3%9.2%27.5%60.5%36.5%7.3%-4.1%5.4M-51.5M-417.1K0.8817.90N/AN/A4,5724,03450,37440,040
2016-02-18$35.78$35.0032.4%9.3%27.0%61.0%35.1%5.9%-4.4%5.0M-47.9M-415.6K1.1222.15N/AN/A4,4184,96650,72441,468
2016-02-19$35.77$35.0031.7%9.1%26.9%58.5%33.1%5.4%-4.6%1.7M-48.4M-410.6K0.5537.88N/AN/A17,2509,54852,47243,988
2016-02-22$36.53$35.0033.6%9.6%27.5%65.0%39.2%6.2%-6.0%4.2M-56.3M-470.0K2.2534.63N/AN/A3,8728,69652,99843,734
2016-02-23$36.30$35.0033.3%9.5%27.6%64.1%32.1%6.5%-5.6%4.2M-54.0M-470.6K0.2227.60N/AN/A26,4245,69855,17044,156
2016-02-24$37.14$35.0023.4%6.7%28.3%30.0%25.6%5.7%-0.5%5.2M-65.5M-452.9K1.9151.88N/AN/A8,50216,27251,48047,218
2016-02-25$37.53$35.0022.3%6.4%28.1%26.2%23.2%5.9%-0.4%5.6M-69.8M-487.1K1.0917.08N/AN/A3,5783,91053,59055,998
2016-02-26$37.88$35.0022.5%6.4%28.2%26.9%23.4%5.2%-0.3%5.7M-83.2M-483.6K1.0022.77N/AN/A4,5044,48653,86056,858
2016-02-29$37.10$35.0023.5%6.8%28.3%30.6%24.3%4.9%-1.0%5.2M-56.7M-476.5K1.7721.87N/AN/A2,4304,31255,13857,952