TJX Options History — April 2016

In April 2016, TJX traded between $37.73 and $39.44. ATM implied volatility averaged 21.6%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.4% (HV 20d: 12.2%). Max pain ranged from $36.25 to $38.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-04-05: Highest Volume — 12,008 contracts
  • 2016-04-04: Largest IV spike — 29.7% change
  • 2016-04-29: Highest IV Rank — 44.8%
  • 2016-04-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.51$37.73$39.44$39.44$37.94
Max Pain$38.63$36.25$38.75$36.25$38.75
ATM IV21.6%14.2%27.4%14.2%27.4%
Expected Move6.5%4.1%7.9%4.1%7.9%
HV 20d12.2%8.8%13.8%8.8%13.8%
HV 60d19.8%18.4%23.2%23.2%18.5%
IV Rank25.2%0.0%44.8%0.0%44.8%
IV Percentile47.0%0.0%87.7%0.0%87.7%
Term Structure-2.5%-5.2%5.2%5.2%-5.2%
VWIV23.2%16.0%27.7%16.0%27.7%
Skew 25d4.3%2.5%5.2%2.5%4.5%
Skew 10d9.8%4.3%14.2%4.3%9.7%
Call IV 25d21.1%14.5%25.1%14.5%25.1%
Put IV 25d25.4%17.0%29.6%17.0%29.6%
Bid-Ask Spread %16.2210.9621.8110.9619.85
Gamma HHI0.180.150.270.270.16
Net GEX1.8M524.0K3.6M3.6M931.9K
Net DEX-38.1M-79.8M-9.6M-79.8M-9.6M
Net VEX-429.3K-453.9K-384.0K-384.0K-445.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.662.711.801.12
Total Volume4,939.0483,72612,0083,8464,976
Total OI83,43864,190102,83286,68673,126

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$39.44$36.2514.2%4.1%8.8%0.0%16.0%2.5%5.2%3.6M-79.8M-384.0K1.8010.96N/AN/A1,3742,47240,27446,412
2016-04-04$39.29$38.7518.4%6.1%9.1%14.3%22.0%4.4%-1.8%3.3M-73.8M-389.5K2.7114.62N/AN/A1,0342,80440,68846,632
2016-04-05$38.84$38.7518.4%6.3%10.2%14.4%22.0%4.6%-1.8%2.9M-64.3M-387.0K1.7213.88N/AN/A4,4207,58840,84046,954
2016-04-06$38.80$38.7517.4%6.3%10.3%11.0%21.4%4.3%-2.0%3.2M-65.3M-436.3K1.2117.33N/AN/A3,1983,88443,86851,816
2016-04-07$38.06$38.7521.2%6.9%12.2%23.8%24.7%5.2%-2.6%1.2M-34.8M-453.9K1.8316.36N/AN/A2,0263,70444,62852,244
2016-04-08$38.05$38.7519.5%7.0%12.0%18.1%24.4%5.2%-2.7%1.8M-40.6M-447.1K1.3118.33N/AN/A2,4443,20444,99653,058
2016-04-11$37.73$38.7521.8%7.1%12.4%25.8%25.0%5.1%-3.4%524.0K-27.8M-431.2K1.2216.20N/AN/A2,1162,57245,58253,896
2016-04-12$38.03$38.7522.5%7.0%12.6%28.2%23.4%4.9%-2.8%1.8M-41.7M-433.6K0.8515.19N/AN/A2,6202,23045,83454,456
2016-04-13$38.31$38.7523.0%6.6%12.8%29.9%24.0%4.5%-3.0%2.9M-55.5M-419.8K0.9616.02N/AN/A2,4362,33846,43854,764
2016-04-14$38.15$38.7522.5%6.4%12.8%28.0%22.6%4.0%-3.0%2.4M-47.3M-427.7K0.6611.37N/AN/A2,6521,76247,23455,106
2016-04-15$38.66$38.7521.9%6.3%13.5%26.0%20.9%4.3%-2.3%1.1M-58.9M-422.1K0.8421.58N/AN/A2,5982,18847,59455,238
2016-04-18$38.78$38.7522.2%6.4%12.8%27.0%22.2%4.0%-2.0%1.3M-24.3M-424.7K0.9411.64N/AN/A2,0281,91629,84034,350
2016-04-19$38.82$38.7522.1%6.3%12.7%26.9%23.4%4.6%-2.2%1.4M-25.3M-430.2K1.2817.51N/AN/A1,7762,27430,74034,846
2016-04-20$38.87$38.7521.9%6.3%12.7%26.2%22.4%4.6%-2.2%1.5M-25.8M-433.1K0.7019.59N/AN/A2,5641,78831,38835,652
2016-04-21$38.48$38.7522.0%6.3%13.1%26.5%22.7%4.1%-2.3%1.3M-20.8M-437.6K0.7020.53N/AN/A2,4721,74232,61635,846
2016-04-22$38.28$38.7522.4%6.4%12.9%27.7%23.6%4.0%-2.9%1.3M-17.5M-441.6K1.0516.81N/AN/A1,8161,91033,37236,114
2016-04-25$38.22$38.7523.5%6.8%12.6%31.7%23.6%3.6%-3.6%1.3M-15.8M-436.8K1.1115.18N/AN/A1,8842,10033,75236,454
2016-04-26$38.59$38.7523.3%6.7%12.5%30.9%22.5%4.5%-3.6%1.6M-23.0M-441.7K1.2513.52N/AN/A1,8222,28234,11436,966
2016-04-27$38.88$38.7524.1%6.9%12.8%33.4%24.8%3.8%-3.9%1.9M-30.0M-447.5K1.4621.81N/AN/A1,8342,68234,40637,422
2016-04-28$38.38$38.7524.3%7.0%13.5%34.2%27.7%4.5%-4.5%1.4M-19.1M-445.2K1.3912.38N/AN/A1,7562,43434,68837,954
2016-04-29$37.94$38.7527.4%7.9%13.8%44.8%27.7%4.5%-5.2%931.9K-9.6M-445.5K1.1219.85N/AN/A2,3442,63234,97438,152