TJX Options History — August 2016

In August 2016, TJX traded between $38.68 and $41.45. ATM implied volatility averaged 22.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.1% (HV 20d: 19.1%). Max pain ranged from $38.75 to $41.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.33.

Notable Days

2016-08-17: Highest Volume — 78,380 contracts
2016-08-10: Largest IV drop — 39.8% change
2016-08-09: Highest IV Rank — 74.3%
2016-08-03: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.97	$38.68	$41.45	$40.90	$38.68
Max Pain	$39.89	$38.75	$41.25	$38.75	$40.00
ATM IV	22.2%	15.4%	36.1%	25.6%	17.0%
Expected Move	5.8%	4.4%	8.6%	7.3%	4.9%
HV 20d	19.1%	11.8%	24.9%	13.4%	24.1%
HV 60d	17.9%	14.7%	19.3%	18.1%	19.3%
IV Rank	27.0%	4.1%	74.3%	38.6%	9.3%
IV Percentile	38.9%	0.8%	97.6%	73.8%	5.2%
Term Structure	-1.4%	-7.9%	1.9%	-5.4%	-0.1%
VWIV	20.5%	15.6%	29.5%	26.4%	17.5%
Skew 25d	3.6%	2.7%	4.9%	3.3%	3.3%
Skew 10d	8.1%	3.5%	13.3%	13.3%	8.8%
Call IV 25d	19.0%	14.8%	28.0%	24.7%	15.9%
Put IV 25d	22.6%	18.1%	31.9%	28.1%	19.2%
Bid-Ask Spread %	17.09	13.28	22.09	18.61	17.45
Gamma HHI	0.28	0.21	0.45	0.33	0.21
Net GEX	12.6M	4.3M	37.7M	11.7M	4.3M
Net DEX	-110.9M	-232.0M	-2.9M	-174.1M	-12.3M
Net VEX	-748.5K	-895.2K	-594.4K	-674.7K	-775.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.16	3.27	1.76	2.07
Total Volume	15,702.261	2,506	78,380	5,836	5,564
Total OI	176,732.696	144,744	275,188	144,744	175,290

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$40.90	$38.75	25.6%	7.3%	13.4%	38.6%	26.4%	3.3%	-5.4%	11.7M	-174.1M	-674.7K	1.76	18.61	N/A	N/A	2,116	3,720	83,046	61,698
2016-08-02	$40.16	$38.75	29.1%	8.3%	15.1%	50.5%	28.7%	4.1%	-7.0%	11.7M	-135.3M	-702.2K	3.27	17.46	N/A	N/A	1,570	5,130	83,958	62,024
2016-08-03	$40.32	$38.75	30.1%	8.6%	14.5%	53.9%	29.5%	3.9%	-7.9%	11.4M	-136.7M	-707.8K	3.10	17.62	N/A	N/A	1,546	4,798	84,230	63,988
2016-08-04	$40.63	$40.00	31.6%	6.5%	14.4%	58.9%	23.3%	4.9%	-2.3%	10.6M	-153.0M	-702.3K	0.21	20.71	N/A	N/A	19,920	4,190	84,474	64,688
2016-08-05	$40.97	$40.00	29.9%	6.2%	12.4%	53.3%	22.1%	4.0%	-1.9%	13.9M	-192.6M	-722.7K	0.67	13.28	N/A	N/A	6,082	4,056	95,904	65,386
2016-08-08	$40.74	$40.00	33.5%	6.4%	12.5%	65.4%	22.3%	3.9%	-2.0%	14.1M	-180.8M	-693.4K	1.09	16.16	N/A	N/A	3,722	4,050	95,516	65,480
2016-08-09	$40.42	$40.00	36.1%	6.6%	12.9%	74.3%	22.5%	3.8%	-2.3%	14.6M	-166.2M	-698.8K	1.37	17.54	N/A	N/A	3,246	4,436	96,638	65,848
2016-08-10	$40.76	$40.00	21.8%	6.2%	12.9%	25.6%	21.7%	3.6%	-2.0%	14.7M	-188.3M	-679.5K	1.52	15.63	N/A	N/A	2,708	4,120	97,392	66,612
2016-08-11	$41.25	$40.00	22.9%	6.6%	13.3%	29.3%	24.7%	4.6%	-2.8%	14.1M	-217.6M	-662.7K	1.47	19.35	N/A	N/A	4,948	7,294	98,276	66,900
2016-08-12	$41.45	$40.00	23.1%	6.6%	13.1%	30.2%	23.0%	4.7%	-2.9%	13.0M	-227.8M	-674.1K	0.73	14.57	N/A	N/A	5,666	4,148	99,548	70,492
2016-08-15	$41.35	$40.00	23.8%	6.8%	11.8%	32.4%	23.8%	3.7%	-2.4%	14.3M	-232.0M	-625.8K	0.71	14.91	N/A	N/A	29,066	20,508	101,280	70,946
2016-08-16	$39.05	$41.25	18.9%	5.4%	24.2%	16.0%	18.5%	2.8%	0.5%	19.0M	-18.4M	-594.4K	0.93	17.40	N/A	N/A	31,536	29,264	117,524	82,196
2016-08-17	$39.09	$40.00	18.1%	5.2%	24.1%	13.3%	17.9%	3.1%	0.4%	15.5M	-2.9M	-612.4K	0.16	16.06	N/A	N/A	67,416	10,964	125,082	88,352
2016-08-18	$38.91	$40.00	17.2%	4.9%	24.0%	10.3%	17.5%	2.7%	0.8%	37.7M	-58.8M	-870.4K	0.48	13.60	N/A	N/A	4,988	2,390	182,162	93,026
2016-08-19	$39.69	$40.00	15.4%	4.4%	24.9%	4.2%	16.4%	3.3%	1.9%	10.5M	-95.7M	-895.2K	0.63	18.98	N/A	N/A	10,518	6,630	166,928	92,900
2016-08-22	$39.56	$40.00	15.4%	4.4%	24.6%	4.1%	16.5%	3.6%	1.0%	10.3M	-71.2M	-872.3K	1.45	16.55	N/A	N/A	3,606	5,226	96,828	71,032
2016-08-23	$39.36	$40.00	17.1%	4.9%	24.5%	9.7%	16.7%	2.7%	0.0%	9.4M	-54.9M	-857.5K	2.44	18.05	N/A	N/A	2,170	5,302	97,172	72,928
2016-08-24	$39.29	$40.00	17.0%	4.9%	24.5%	9.4%	15.6%	3.2%	0.6%	8.4M	-49.1M	-859.5K	0.58	13.39	N/A	N/A	1,588	918	97,146	73,268
2016-08-25	$39.41	$40.00	15.6%	4.5%	24.5%	4.9%	17.4%	3.8%	0.4%	9.0M	-61.8M	-874.5K	1.40	17.08	N/A	N/A	2,668	3,742	97,432	73,214
2016-08-26	$39.36	$40.00	17.0%	4.9%	24.4%	9.5%	16.5%	3.5%	0.7%	9.0M	-55.5M	-856.1K	1.72	18.13	N/A	N/A	2,468	4,244	97,946	73,602
2016-08-29	$39.31	$40.00	17.0%	4.9%	24.4%	9.6%	16.0%	3.7%	0.3%	8.5M	-48.9M	-817.9K	1.39	18.55	N/A	N/A	2,520	3,506	98,572	74,210
2016-08-30	$38.70	$40.00	16.7%	4.8%	24.2%	8.3%	16.5%	2.8%	0.7%	4.5M	-16.0M	-786.3K	1.37	22.09	N/A	N/A	2,902	3,982	99,388	74,330
2016-08-31	$38.68	$40.00	17.0%	4.9%	24.1%	9.3%	17.5%	3.3%	-0.1%	4.3M	-12.3M	-775.0K	2.07	17.45	N/A	N/A	1,810	3,754	100,464	74,826