TJX Options History — October 2016

In October 2016, TJX traded between $36.57 and $37.74. ATM implied volatility averaged 22.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.0% (HV 20d: 14.0%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-10-14: Highest Volume — 33,518 contracts
  • 2016-10-12: Largest IV spike — 30.0% change
  • 2016-10-31: Highest IV Rank — 52.4%
  • 2016-10-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$36.57$37.74$37.22$36.84
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV22.0%16.1%29.7%16.8%29.7%
Expected Move6.6%4.6%8.5%4.8%8.5%
HV 20d14.0%12.3%15.4%15.4%13.7%
HV 60d17.9%17.6%18.1%17.8%17.8%
IV Rank26.3%6.4%52.4%8.9%52.4%
IV Percentile49.9%3.6%88.5%7.9%88.5%
Term Structure-2.0%-6.6%5.5%5.2%-6.6%
VWIV22.7%17.0%29.5%18.2%29.5%
Skew 25d4.2%2.2%5.9%2.8%4.7%
Skew 10d8.7%5.4%11.5%8.5%8.7%
Call IV 25d21.3%16.2%27.1%16.7%27.1%
Put IV 25d25.5%18.4%31.8%19.4%31.8%
Bid-Ask Spread %27.9815.3088.0922.5619.46
Gamma HHI0.220.160.330.270.21
Net GEX6.0M-760.8K15.6M11.3M3.8M
Net DEX4.6M-27.4M35.6M-11.6M-8.6M
Net VEX-548.8K-615.1K-503.5K-615.1K-557.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.202.041.251.02
Total Volume9,601.9055,10033,5185,10013,140
Total OI191,246.095118,190228,268211,432132,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$37.22$37.5016.8%4.8%15.4%8.9%18.2%2.8%5.2%11.3M-11.6M-615.1K1.2522.56N/AN/A2,2622,838141,04070,392
2016-10-04$37.20$37.5016.9%4.9%15.3%9.2%17.9%2.6%5.0%11.2M-6.3M-599.1K1.3518.66N/AN/A2,9523,974141,33270,348
2016-10-05$37.16$37.5016.1%4.6%15.2%6.4%17.0%2.2%5.5%10.5M-712.5K-584.8K1.2319.56N/AN/A3,0843,798141,64871,606
2016-10-06$37.16$37.5016.6%6.3%14.3%8.1%21.7%4.7%-2.0%10.1M406.5K-575.5K1.5616.86N/AN/A2,2443,510142,18672,076
2016-10-07$36.92$37.5016.5%6.3%13.0%7.7%22.6%4.6%-2.0%8.2M11.8M-563.9K1.4119.66N/AN/A2,9324,138142,27072,410
2016-10-10$37.42$37.5016.8%6.3%13.6%8.8%22.3%4.7%-2.0%13.4M-14.7M-561.3K1.3316.70N/AN/A2,6743,562142,54072,832
2016-10-11$37.15$37.5017.5%6.5%12.3%11.3%23.8%4.5%-2.2%10.1M2.7M-551.8K0.9721.18N/AN/A4,1544,024142,77472,944
2016-10-12$37.74$37.5022.8%6.5%13.5%29.2%22.3%4.5%-2.3%15.6M-27.4M-553.5K0.5620.08N/AN/A6,8443,840141,42473,570
2016-10-13$37.24$37.5022.6%6.5%13.9%28.4%22.4%4.5%-2.2%8.3M5.5M-503.5K0.6420.05N/AN/A5,8523,716137,77073,836
2016-10-14$37.20$37.5022.0%6.3%13.8%26.5%21.5%5.0%-1.9%7.2M13.3M-504.3K0.2015.30N/AN/A28,0485,470136,72874,026
2016-10-17$36.66$37.5024.2%6.9%14.7%33.8%23.6%4.4%-2.7%353.6K30.6M-534.5K1.4115.58N/AN/A5,0147,092145,15676,220
2016-10-18$36.57$37.5023.8%6.8%14.5%32.4%23.7%4.4%-2.9%-760.8K35.6M-536.4K2.0418.69N/AN/A2,7625,642147,07277,776
2016-10-19$36.78$37.5023.8%6.8%13.9%32.7%22.4%4.2%-3.0%38.3K28.3M-532.1K0.6917.93N/AN/A5,7343,936147,19477,978
2016-10-20$36.65$37.5023.9%6.8%13.7%32.8%22.4%4.2%-3.1%-313.8K29.3M-523.0K1.3819.23N/AN/A3,5524,892148,91677,510
2016-10-21$36.80$37.5023.8%6.8%13.8%32.7%22.8%4.1%-3.4%1.9M22.3M-525.3K1.5816.41N/AN/A3,0724,850149,84478,424
2016-10-24$37.09$37.5022.9%6.6%13.6%29.5%22.9%4.3%-2.8%2.6M-3.5M-526.0K0.5916.21N/AN/A4,9822,92853,44264,748
2016-10-25$36.77$37.5024.7%7.1%13.8%35.5%23.3%3.8%-3.5%2.5M4.5M-521.8K0.7822.21N/AN/A3,5882,78856,39865,182
2016-10-26$37.09$37.5024.8%7.1%13.5%35.8%25.1%3.8%-4.1%3.1M-8.5M-549.4K0.3078.12N/AN/A9,0322,69257,56265,580
2016-10-27$36.58$37.5027.2%7.8%14.3%43.9%25.5%4.1%-4.5%3.2M426.3K-546.1K0.6285.11N/AN/A4,7382,92663,40865,936
2016-10-28$36.75$37.5028.1%8.1%13.8%47.1%26.1%5.9%-5.5%4.0M-6.6M-559.6K0.8788.09N/AN/A4,4663,89865,55266,386
2016-10-31$36.84$37.5029.7%8.5%13.7%52.4%29.5%4.7%-6.6%3.8M-8.6M-557.4K1.0219.46N/AN/A6,5146,62664,56067,572