TJX Options History — March 2016

In March 2016, TJX traded between $37.40 and $39.34. ATM implied volatility averaged 19.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.8% (HV 20d: 17.5%). Max pain ranged from $36.25 to $36.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2016-03-18: Highest Volume — 11,342 contracts
  • 2016-03-16: Largest IV drop — 13.0% change
  • 2016-03-08: Highest IV Rank — 27.2%
  • 2016-03-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.28$37.40$39.34$37.65$39.20
Max Pain$36.25$36.25$36.25$36.25$36.25
ATM IV19.3%16.7%22.6%22.1%17.0%
Expected Move5.5%4.8%6.3%6.3%4.9%
HV 20d17.5%8.6%28.4%28.4%8.8%
HV 60d24.0%23.3%24.9%24.9%23.3%
IV Rank16.0%7.0%27.2%25.7%7.9%
IV Percentile28.3%7.5%56.0%50.0%7.5%
Term Structure2.9%-0.6%4.6%-0.6%4.1%
VWIV20.1%16.9%23.0%23.0%17.2%
Skew 25d4.4%3.2%5.5%5.3%3.2%
Skew 10d10.3%8.0%13.7%12.2%11.8%
Call IV 25d17.3%14.6%20.2%20.2%15.4%
Put IV 25d21.6%18.6%25.6%25.6%18.6%
Bid-Ask Spread %15.388.4427.8820.3112.94
Gamma HHI0.290.180.740.320.23
Net GEX6.0M2.0M22.9M6.6M3.0M
Net DEX-77.5M-156.3M-52.0M-76.7M-68.2M
Net VEX-421.0K-498.6K-349.2K-471.9K-395.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.573.041.141.33
Total Volume5,894.5454,07011,3426,6184,688
Total OI113,315.18272,604137,384115,03485,252

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$37.65$36.2522.1%6.3%28.4%25.7%23.0%5.3%-0.6%6.6M-76.7M-471.9K1.1420.31N/AN/A3,0883,53056,29258,742
2016-03-02$37.70$36.2521.1%6.1%28.2%22.2%20.8%4.1%-0.2%4.5M-68.7M-493.7K1.9415.10N/AN/A2,5584,96457,24270,876
2016-03-03$37.62$36.2520.9%5.9%27.7%21.5%21.4%5.1%2.3%4.4M-64.0M-498.6K2.0214.43N/AN/A2,3544,75857,48072,846
2016-03-04$37.70$36.2521.3%5.9%26.8%22.9%22.4%5.5%2.4%5.1M-67.4M-491.3K2.0217.67N/AN/A1,5463,13058,66273,020
2016-03-07$37.63$36.2522.2%6.0%21.4%26.0%20.0%4.7%2.2%5.2M-66.5M-468.5K1.1317.70N/AN/A2,2882,58258,58673,448
2016-03-08$37.70$36.2522.6%6.1%21.4%27.2%21.9%4.5%2.2%5.5M-69.6M-468.3K1.4919.58N/AN/A1,7122,54458,96273,986
2016-03-09$37.40$36.2520.8%6.0%20.6%21.3%22.3%5.2%2.0%4.5M-53.3M-465.1K1.6018.14N/AN/A1,5682,50259,07474,594
2016-03-10$37.67$36.2520.6%5.9%20.4%20.4%20.8%5.2%2.4%6.6M-76.6M-448.5K1.1416.03N/AN/A2,2422,54859,56675,104
2016-03-11$37.73$36.2519.8%5.7%18.4%17.7%20.7%5.1%2.3%6.6M-71.3M-439.2K1.9513.22N/AN/A1,9403,78459,73075,744
2016-03-14$37.95$36.2519.9%5.7%16.6%17.9%20.0%4.4%2.3%8.6M-89.7M-412.4K0.908.44N/AN/A3,9263,51459,87076,386
2016-03-15$38.02$36.2520.1%5.8%15.7%18.7%20.7%4.0%2.0%10.4M-98.7M-402.3K1.3915.29N/AN/A2,4223,35860,36676,630
2016-03-16$38.17$36.2517.5%5.0%15.6%9.7%20.5%4.7%3.3%10.6M-109.1M-385.1K1.3227.88N/AN/A2,3403,09059,71676,406
2016-03-17$38.40$36.2517.4%5.0%15.5%9.4%19.3%4.0%3.2%9.1M-125.3M-367.2K0.8712.15N/AN/A2,8862,50660,17876,700
2016-03-18$38.88$36.2516.7%4.8%15.7%7.0%16.9%3.9%3.8%22.9M-156.3M-349.2K0.5716.58N/AN/A7,2324,11060,06477,320
2016-03-21$39.02$36.2517.6%5.1%14.4%10.2%17.3%3.6%3.8%2.9M-64.3M-374.0K1.0015.26N/AN/A2,6622,65635,13237,472
2016-03-22$38.89$36.2517.7%5.1%14.2%10.5%19.5%3.4%4.6%2.7M-63.8M-374.5K3.0411.20N/AN/A2,0246,15035,89038,298
2016-03-23$38.90$36.2517.9%5.1%12.3%11.2%18.5%4.2%4.0%2.2M-59.4M-397.0K1.3413.24N/AN/A2,2122,96236,91041,796
2016-03-24$38.56$36.2517.9%5.1%12.5%11.1%20.3%3.6%4.5%2.0M-52.0M-408.8K1.4811.09N/AN/A2,0943,09437,63842,136
2016-03-28$38.86$36.2518.1%5.2%12.3%11.8%21.4%4.0%4.2%2.5M-59.6M-388.9K1.8315.28N/AN/A1,8543,38637,85042,660
2016-03-29$39.28$36.2517.9%5.1%9.7%11.2%18.3%5.0%4.1%3.1M-71.2M-383.4K2.5416.66N/AN/A1,4463,68038,38443,018
2016-03-30$39.34$36.2517.6%5.0%8.6%10.1%19.5%3.9%3.7%3.3M-73.1M-377.9K2.2010.12N/AN/A1,7983,95238,64444,264
2016-03-31$39.20$36.2517.0%4.9%8.8%7.9%17.2%3.2%4.1%3.0M-68.2M-395.9K1.3312.94N/AN/A2,0162,67239,50845,744