TJX Options History — May 2016

In May 2016, TJX traded between $36.35 and $38.90. ATM implied volatility averaged 25.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.2% (HV 20d: 20.9%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2016-05-16: Highest Volume — 80,858 contracts
  • 2016-05-11: Largest IV drop — 30.8% change
  • 2016-05-10: Highest IV Rank — 77.8%
  • 2016-05-16: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.86$36.35$38.90$38.88$38.10
Max Pain$37.92$37.50$38.75$38.75$37.50
ATM IV25.2%16.4%37.2%28.0%19.5%
Expected Move6.6%4.7%8.6%8.0%5.6%
HV 20d20.9%15.2%24.8%16.6%22.6%
HV 60d17.0%15.4%18.8%18.8%16.9%
IV Rank37.1%7.3%77.8%46.7%17.9%
IV Percentile57.4%3.2%98.0%88.5%19.0%
Term Structure-2.0%-7.1%1.0%-6.6%-0.1%
VWIV23.7%16.8%32.3%27.1%18.3%
Skew 25d4.2%2.8%6.0%4.8%3.7%
Skew 10d9.0%6.2%13.1%13.1%8.4%
Call IV 25d21.6%15.6%28.1%25.9%17.1%
Put IV 25d25.8%19.1%33.4%30.6%20.9%
Bid-Ask Spread %26.0312.3070.2212.3017.13
Gamma HHI0.190.140.310.180.21
Net GEX3.7M-636.6K17.6M1.7M6.2M
Net DEX-22.9M-64.5M24.0M-29.5M-43.8M
Net VEX-541.4K-632.1K-451.6K-451.6K-593.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.273.100.722.32
Total Volume15,580.2864,60080,8586,4404,600
Total OI115,450.28674,308181,25274,308131,254

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$38.88$38.7528.0%8.0%16.6%46.7%27.1%4.8%-6.6%1.7M-29.5M-451.6K0.7212.30N/AN/A3,7462,69435,37438,934
2016-05-03$38.51$38.7529.0%8.3%16.5%50.1%29.5%3.8%-7.0%1.7M-22.9M-456.8K1.2921.58N/AN/A2,1342,74436,81239,296
2016-05-04$38.53$38.7529.5%8.5%16.5%51.8%29.2%4.1%-7.1%1.7M-24.4M-455.8K2.6915.09N/AN/A2,0665,56237,12839,642
2016-05-05$38.25$38.7530.9%6.6%15.2%56.5%24.8%4.6%-2.0%1.4M-17.4M-472.9K2.2421.80N/AN/A2,6065,82837,45241,078
2016-05-06$38.28$38.7531.3%6.5%15.2%58.0%24.1%4.6%-1.6%1.3M-15.3M-480.6K3.1022.53N/AN/A1,6905,23437,58642,700
2016-05-09$38.90$38.7535.1%6.7%15.8%70.9%23.3%4.0%-2.0%1.9M-31.7M-470.6K1.5218.98N/AN/A3,1624,79237,93442,864
2016-05-10$38.30$38.7537.2%6.9%16.7%77.8%23.9%4.6%-2.4%1.5M-19.9M-471.0K1.3026.89N/AN/A2,2502,92038,53042,964
2016-05-11$37.05$37.5025.7%7.4%20.2%39.1%26.5%5.3%-2.5%319.7K7.8M-457.7K0.7723.04N/AN/A8,5146,57238,85443,076
2016-05-12$37.12$37.5026.3%7.5%20.2%40.9%27.1%4.8%-3.1%1.1M814.3K-483.3K1.9070.22N/AN/A4,4448,43844,19245,584
2016-05-13$36.35$37.5029.8%8.5%20.6%52.8%30.0%5.3%-3.5%-228.1K24.0M-487.8K0.8823.66N/AN/A20,09617,62844,98449,668
2016-05-16$37.54$37.5030.0%8.6%24.0%53.6%32.3%6.0%-5.2%2.4M-18.0M-579.7K0.6161.19N/AN/A50,35430,50459,53463,488
2016-05-17$37.35$37.5021.5%6.2%24.0%24.8%22.0%4.2%-1.0%9.9M-23.7M-632.1K0.7264.02N/AN/A13,0069,33494,85686,028
2016-05-18$37.32$37.5020.8%6.0%24.0%22.4%23.8%4.9%-0.2%8.6M-652.9K-624.1K0.7918.87N/AN/A12,4189,78892,74087,956
2016-05-19$37.91$37.5021.4%6.1%24.6%24.5%24.3%4.2%-0.1%17.6M-64.5M-613.5K1.1117.07N/AN/A6,4927,22494,62686,626
2016-05-20$37.71$37.5020.0%5.7%24.6%19.7%19.6%3.5%-0.1%-636.6K-53.1M-564.7K0.2716.17N/AN/A30,3348,30287,78086,902
2016-05-23$37.33$37.5019.6%5.6%24.8%18.3%20.3%4.1%0.7%2.3M-11.6M-628.1K1.7713.92N/AN/A2,0103,56653,64870,824
2016-05-24$37.63$37.5018.8%5.4%24.7%15.5%18.3%2.8%0.4%3.6M-23.2M-616.2K1.2219.73N/AN/A3,0603,74253,97671,974
2016-05-25$37.65$37.5018.8%5.4%24.5%15.7%18.4%3.0%0.1%3.8M-24.3M-617.4K2.2823.62N/AN/A1,9204,37455,40272,504
2016-05-26$37.95$37.5018.6%5.3%24.4%14.9%18.1%3.0%0.4%5.2M-37.5M-604.5K2.1117.33N/AN/A2,5405,35456,01872,770
2016-05-27$38.30$37.5016.4%4.7%24.2%7.3%16.8%3.5%1.0%6.4M-51.8M-608.2K1.5121.51N/AN/A2,0503,09456,63274,266
2016-05-31$38.10$37.5019.5%5.6%22.6%17.9%18.3%3.7%-0.1%6.2M-43.8M-593.0K2.3217.13N/AN/A1,3843,21656,73674,518