TJX Options History — September 2016

In September 2016, TJX traded between $37.02 and $38.84. ATM implied volatility averaged 17.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.7% (HV 20d: 18.1%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-09-14: Highest Volume — 56,252 contracts
  • 2016-09-09: Largest IV spike — 24.5% change
  • 2016-09-13: Highest IV Rank — 29.6%
  • 2016-09-13: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.80$37.02$38.84$38.84$37.45
Max Pain$38.15$37.50$40.00$40.00$37.50
ATM IV17.4%14.8%22.9%16.9%16.5%
Expected Move4.9%4.2%5.4%4.8%4.7%
HV 20d18.1%13.0%24.3%23.9%15.3%
HV 60d19.2%18.2%20.1%19.2%18.4%
IV Rank10.8%2.1%29.6%9.0%7.9%
IV Percentile12.5%0.8%56.7%4.8%5.6%
Term Structure3.6%0.4%4.8%0.4%4.7%
VWIV17.1%15.4%19.3%16.8%16.4%
Skew 25d3.7%2.3%4.7%3.2%3.3%
Skew 10d8.1%3.9%10.4%9.5%8.7%
Call IV 25d15.8%14.3%17.4%16.0%15.2%
Put IV 25d19.5%17.8%22.1%19.2%18.6%
Bid-Ask Spread %18.5814.2223.1818.4923.18
Gamma HHI0.260.190.390.220.29
Net GEX6.7M-9.6M19.2M5.4M14.0M
Net DEX-7.7M-88.5M87.6M-23.3M-28.0M
Net VEX-677.1K-787.7K-531.6K-787.7K-658.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.113.451.311.05
Total Volume9,600.7624,88256,2526,3085,932
Total OI194,641.81175,498228,300175,498210,890

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$38.84$40.0016.9%4.8%23.9%9.0%16.8%3.2%0.4%5.4M-23.3M-787.7K1.3118.49N/AN/A2,7343,574100,67674,822
2016-09-02$38.81$40.0015.4%4.4%23.6%4.0%15.4%3.8%1.1%4.5M-18.6M-762.3K2.1018.58N/AN/A1,5763,306100,94074,978
2016-09-06$38.63$38.7516.3%4.8%23.6%6.9%16.9%4.5%3.1%2.0M-346.1K-678.3K1.8414.22N/AN/A2,8565,260100,97274,888
2016-09-07$38.78$38.7515.9%4.7%23.6%5.7%16.4%3.4%4.1%3.3M-12.1M-688.0K1.5518.96N/AN/A2,6484,100101,58475,708
2016-09-08$38.16$38.7515.7%4.6%23.8%5.2%16.8%3.6%3.7%-888.9K26.1M-629.4K1.7418.10N/AN/A2,9085,060102,21675,776
2016-09-09$37.48$38.7519.6%5.3%23.6%18.2%18.4%3.8%2.9%-2.7M64.0M-586.1K2.7215.96N/AN/A2,8247,678102,69076,510
2016-09-12$37.83$38.7521.1%5.3%23.9%23.3%17.4%4.3%3.2%-2.5M47.4M-594.1K1.0419.33N/AN/A3,1463,282102,84477,828
2016-09-13$37.16$38.7522.9%5.4%24.3%29.6%19.3%4.7%2.6%-3.7M82.1M-531.6K1.9022.95N/AN/A2,8065,320102,72877,784
2016-09-14$37.15$38.7518.3%5.3%14.7%14.0%17.6%4.4%3.1%-4.8M87.6M-534.0K0.1119.14N/AN/A50,6645,588102,68279,766
2016-09-15$37.53$37.5017.8%5.1%15.3%12.1%17.8%4.4%3.3%3.4M9.9M-739.7K1.1320.25N/AN/A3,0743,460147,11280,208
2016-09-16$37.40$37.5017.5%5.0%15.3%11.2%17.6%3.9%3.3%-9.6M16.7M-720.5K3.4519.98N/AN/A1,8866,516147,73080,570
2016-09-19$37.38$37.5017.2%4.9%13.0%10.1%17.5%3.8%4.6%12.8M-34.4M-702.4K1.5615.50N/AN/A1,9243,002131,90061,202
2016-09-20$37.61$37.5017.5%5.0%13.4%11.3%17.2%3.5%4.6%14.3M-48.4M-719.2K1.3521.09N/AN/A3,9805,382132,52062,074
2016-09-21$38.05$37.5017.2%4.9%14.2%10.1%16.1%4.1%4.5%16.8M-69.5M-739.1K0.9720.18N/AN/A3,1963,088133,75864,096
2016-09-22$38.26$37.5014.8%4.2%14.5%2.1%15.5%3.8%4.8%19.2M-88.5M-745.7K0.6918.50N/AN/A5,4683,782134,43863,966
2016-09-23$38.04$37.5016.8%4.8%14.4%8.7%16.1%3.3%4.6%18.4M-73.2M-735.3K1.3815.02N/AN/A2,9284,042137,47664,888
2016-09-26$37.57$37.5017.5%5.0%14.9%11.1%17.5%3.4%4.1%14.8M-43.5M-699.4K1.9318.47N/AN/A2,8325,466138,56866,142
2016-09-27$37.60$37.5017.0%4.9%15.0%9.5%18.6%3.0%4.5%15.0M-39.4M-689.7K1.9716.73N/AN/A1,9643,878139,63267,844
2016-09-28$37.12$37.5016.4%4.7%14.7%7.6%16.5%2.3%4.6%10.9M-9.9M-633.8K1.7018.44N/AN/A2,7104,606139,83467,588
2016-09-29$37.02$37.5017.2%4.9%14.7%10.2%17.6%2.5%4.3%10.1M-5.5M-643.3K1.5717.04N/AN/A2,7904,380140,80268,848
2016-09-30$37.45$37.5016.5%4.7%15.3%7.9%16.4%3.3%4.7%14.0M-28.0M-658.5K1.0523.18N/AN/A2,8983,034141,15869,732