TJX Options History — July 2016

In July 2016, TJX traded between $38.28 and $40.91. ATM implied volatility averaged 20.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.2% (HV 20d: 18.4%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.81.

Notable Days

  • 2016-07-18: Highest Volume — 10,318 contracts
  • 2016-07-08: Largest IV drop — 19.0% change
  • 2016-07-27: Highest IV Rank — 35.0%
  • 2016-07-27: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.55$38.28$40.91$38.51$40.91
Max Pain$38.69$37.50$38.75$37.50$38.75
ATM IV20.6%14.2%24.5%16.4%23.9%
Expected Move6.3%4.7%7.0%4.7%6.8%
HV 20d18.4%13.4%20.5%18.0%13.4%
HV 60d18.8%18.2%19.2%18.4%18.2%
IV Rank21.7%0.1%35.0%7.5%32.8%
IV Percentile32.2%0.4%67.9%0.8%63.5%
Term Structure-2.1%-4.5%5.7%5.7%-4.5%
VWIV23.2%21.7%26.0%22.9%26.0%
Skew 25d4.4%3.5%5.7%4.3%4.0%
Skew 10d10.3%7.8%12.8%11.2%12.8%
Call IV 25d20.4%15.1%23.2%15.1%22.9%
Put IV 25d24.9%19.4%26.8%19.4%26.8%
Bid-Ask Spread %17.0510.7422.6317.3420.31
Gamma HHI0.350.280.470.280.33
Net GEX15.0M9.6M25.7M15.8M11.6M
Net DEX-142.6M-181.4M-101.4M-110.7M-174.3M
Net VEX-718.6K-801.9K-684.3K-801.9K-692.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.811.415.185.183.67
Total Volume6,464.54,66010,3185,7386,160
Total OI156,195.3127,598180,416171,798143,374

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$38.51$37.5016.4%4.7%18.0%7.5%22.9%4.3%5.7%15.8M-110.7M-801.9K5.1817.34N/AN/A9284,810100,62471,174
2016-07-05$38.28$38.7517.5%6.5%18.0%11.2%25.6%5.7%-1.5%16.3M-101.4M-757.5K5.1016.73N/AN/A8504,338100,74471,636
2016-07-06$38.80$38.7517.2%6.5%18.6%10.1%23.1%5.3%-1.6%17.7M-130.8M-765.6K2.8417.39N/AN/A1,4364,080100,81672,130
2016-07-07$38.59$38.7517.6%6.6%18.4%11.4%22.3%5.4%-1.8%18.5M-125.3M-744.1K4.1519.24N/AN/A1,6446,822101,17872,310
2016-07-08$39.49$38.7514.2%6.0%20.1%0.1%22.7%4.9%-1.5%18.3M-178.1M-759.8K1.7113.42N/AN/A2,7524,696101,80274,990
2016-07-11$39.38$38.7516.2%5.9%20.0%6.9%22.1%4.8%-1.3%19.0M-181.4M-724.4K1.6410.74N/AN/A2,7604,526102,38675,366
2016-07-12$39.24$38.7519.1%6.3%19.5%16.7%21.7%5.1%-2.0%20.0M-170.3M-711.5K3.3316.04N/AN/A1,4384,792102,98475,950
2016-07-13$39.07$38.7522.0%6.3%19.6%26.4%22.4%4.4%-1.9%21.6M-158.7M-713.2K4.0520.68N/AN/A1,1444,630103,14676,970
2016-07-14$39.04$38.7521.4%6.1%19.5%24.6%22.2%4.4%-2.0%25.7M-156.9M-704.6K2.4318.57N/AN/A1,9724,790103,11277,030
2016-07-15$38.89$38.7521.3%6.1%19.6%24.1%21.7%4.3%-2.1%9.6M-162.5M-691.6K1.4120.92N/AN/A3,4444,852103,18277,234
2016-07-18$39.63$38.7521.3%6.1%20.5%23.9%22.1%4.2%-2.3%11.7M-109.2M-688.6K1.9122.63N/AN/A3,5426,77675,83851,760
2016-07-19$39.67$38.7521.9%6.3%20.1%26.1%23.4%4.3%-2.3%11.5M-112.7M-704.5K3.1615.77N/AN/A1,2443,93277,70452,876
2016-07-20$39.84$38.7521.8%6.2%19.9%25.6%22.6%4.3%-2.1%12.0M-121.5M-699.4K1.8517.00N/AN/A2,2944,23878,15253,180
2016-07-21$39.56$38.7521.9%6.3%20.1%26.1%22.3%3.8%-2.4%12.0M-109.2M-684.3K3.0015.86N/AN/A1,8305,48279,26854,000
2016-07-22$39.91$38.7522.3%6.4%20.2%27.3%22.8%4.0%-2.8%12.1M-124.6M-722.4K2.2816.66N/AN/A1,5583,55879,59056,004
2016-07-25$40.35$38.7523.7%6.8%17.9%32.2%23.9%4.0%-3.3%11.7M-145.4M-703.5K1.5418.12N/AN/A2,2383,44279,95057,462
2016-07-26$40.59$38.7524.1%6.9%15.6%33.5%24.6%3.8%-3.4%11.8M-158.3M-704.5K2.1815.01N/AN/A1,6043,50280,90058,174
2016-07-27$40.56$38.7524.5%7.0%15.4%35.0%25.3%3.5%-3.5%11.8M-160.0M-699.4K2.5014.89N/AN/A1,3303,33081,33458,694
2016-07-28$40.67$38.7523.7%6.8%13.6%32.1%25.0%3.6%-4.2%11.9M-161.8M-698.8K2.1813.73N/AN/A2,0544,47281,85659,026
2016-07-29$40.91$38.7523.9%6.8%13.4%32.8%26.0%4.0%-4.5%11.6M-174.3M-692.2K3.6720.31N/AN/A1,3204,84082,70060,674