TJX Options History — June 2016

In June 2016, TJX traded between $36.76 and $38.66. ATM implied volatility averaged 19.2%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.2% (HV 20d: 16.0%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.14.

Notable Days

  • 2016-06-24: Highest Volume — 51,862 contracts
  • 2016-06-24: Largest IV spike — 27.6% change
  • 2016-06-27: Highest IV Rank — 37.6%
  • 2016-06-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.12$36.76$38.66$38.27$38.53
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV19.2%16.6%25.3%17.5%17.2%
Expected Move5.5%4.8%7.3%5.0%4.9%
HV 20d16.0%10.3%22.5%22.4%18.1%
HV 60d17.2%16.8%18.9%16.9%18.9%
IV Rank17.0%8.1%37.6%11.1%10.0%
IV Percentile19.5%3.6%72.6%7.5%4.4%
Term Structure2.6%0.3%5.1%0.3%5.1%
VWIV20.3%17.8%25.3%17.8%18.8%
Skew 25d4.9%3.1%6.6%3.5%3.1%
Skew 10d10.7%6.8%14.7%6.8%8.5%
Call IV 25d17.5%15.4%22.1%17.0%16.3%
Put IV 25d22.4%19.5%28.6%20.5%19.5%
Bid-Ask Spread %20.5513.9129.1821.6725.26
Gamma HHI0.240.170.320.220.28
Net GEX8.3M3.2M16.3M7.1M16.3M
Net DEX-51.9M-119.9M-14.9M-51.7M-119.9M
Net VEX-592.5K-786.7K-521.2K-589.7K-786.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.108.052.528.05
Total Volume9,261.0913,99851,8624,29210,586
Total OI136,108.364109,818165,766131,732165,766

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$38.27$37.5017.5%5.0%22.4%11.1%17.8%3.5%0.3%7.1M-51.7M-589.7K2.5221.67N/AN/A1,2183,07456,91874,814
2016-06-02$38.46$37.5017.0%5.0%22.5%9.6%19.0%4.1%2.6%8.0M-60.4M-578.9K1.5713.91N/AN/A1,9523,06057,07075,070
2016-06-03$38.25$37.5016.6%4.9%22.4%8.1%19.2%4.2%2.8%7.7M-51.0M-570.8K3.0818.43N/AN/A9803,01857,16875,318
2016-06-06$38.04$37.5019.4%5.4%22.5%17.5%17.8%4.7%2.1%7.8M-43.1M-548.3K1.6618.99N/AN/A1,7582,92057,39675,622
2016-06-07$38.15$37.5016.7%4.8%21.7%8.5%19.2%4.2%2.9%8.8M-49.5M-540.0K2.0118.11N/AN/A1,4822,98057,81675,976
2016-06-08$38.50$37.5017.0%4.9%21.2%9.3%18.9%4.6%2.6%10.6M-67.6M-534.2K1.7021.58N/AN/A2,1403,64257,70076,188
2016-06-09$38.66$37.5017.1%4.9%17.2%9.8%17.9%4.5%2.8%11.3M-76.5M-521.2K1.6019.23N/AN/A1,8943,02257,30076,378
2016-06-10$38.44$37.5017.9%5.1%17.5%12.5%19.9%5.1%2.7%10.9M-63.6M-537.0K2.8814.61N/AN/A1,2543,61657,09476,830
2016-06-13$38.00$37.5021.2%6.1%16.1%23.6%21.3%5.1%1.4%9.2M-37.8M-528.3K2.0615.54N/AN/A2,5565,27057,13477,510
2016-06-14$38.09$37.5021.6%6.2%11.7%25.1%21.5%5.9%1.4%9.9M-38.4M-545.3K2.4022.48N/AN/A1,6623,98858,32479,864
2016-06-15$37.93$37.5020.9%6.0%11.6%22.6%22.5%5.2%1.7%9.4M-35.6M-540.4K2.1119.44N/AN/A1,7983,80258,93680,358
2016-06-16$37.97$37.5021.1%6.0%11.6%23.3%20.2%5.4%1.3%7.1M-34.6M-527.9K0.1720.42N/AN/A27,7364,63059,47280,462
2016-06-17$37.80$37.5020.6%5.9%10.3%21.8%21.4%5.5%1.5%3.9M-47.7M-566.9K1.7917.26N/AN/A2,0163,61470,59880,866
2016-06-20$38.30$37.5018.4%5.3%11.1%14.4%19.6%5.2%3.6%5.4M-44.6M-563.4K1.2521.81N/AN/A4,3205,40849,89259,926
2016-06-21$38.66$37.5018.4%5.3%10.8%14.3%19.3%5.0%3.6%5.8M-55.5M-572.8K2.1117.06N/AN/A2,0824,38651,35462,110
2016-06-22$38.55$37.5019.6%5.6%10.6%18.3%21.0%5.4%3.2%5.6M-53.1M-586.4K2.6420.10N/AN/A1,3983,68452,17662,740
2016-06-23$38.41$37.5017.8%5.1%10.8%12.4%19.9%5.2%3.7%5.9M-47.1M-569.7K2.6623.08N/AN/A1,3343,55252,45263,372
2016-06-24$37.51$37.5022.8%6.5%13.5%29.1%23.6%6.6%2.4%3.2M-14.9M-580.9K0.1028.95N/AN/A47,1664,69652,67463,470
2016-06-27$36.76$37.5025.3%7.3%14.7%37.6%25.3%6.5%1.6%6.2M-16.5M-728.0K1.6529.18N/AN/A2,5144,15698,13664,702
2016-06-28$37.26$37.5020.5%5.9%15.6%21.4%23.1%4.2%3.4%9.1M-40.4M-734.9K1.8126.03N/AN/A2,1523,90298,49064,950
2016-06-29$38.14$37.5018.3%5.3%17.8%14.0%20.3%4.0%3.9%14.2M-92.5M-784.0K1.2418.84N/AN/A3,2644,06298,78665,206
2016-06-30$38.53$37.5017.2%4.9%18.1%10.0%18.8%3.1%5.1%16.3M-119.9M-786.7K8.0525.26N/AN/A1,1709,416100,33265,434