TJX Options History — November 2016

In November 2016, TJX traded between $35.85 and $39.69. ATM implied volatility averaged 24.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.8% (HV 20d: 19.3%). Max pain ranged from $36.25 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-11-14: Highest Volume — 43,036 contracts
  • 2016-11-09: Largest IV drop — 39.7% change
  • 2016-11-08: Highest IV Rank — 84.1%
  • 2016-11-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.87$35.85$39.69$36.22$39.24
Max Pain$36.96$36.25$37.50$37.50$37.50
ATM IV24.1%16.1%39.0%32.0%18.0%
Expected Move6.3%4.6%9.2%9.2%5.2%
HV 20d19.3%14.9%23.3%14.9%21.7%
HV 60d17.2%14.6%18.5%18.1%17.8%
IV Rank34.7%7.8%84.1%60.2%15.5%
IV Percentile52.6%4.0%98.4%93.3%26.2%
Term Structure-1.5%-8.4%1.1%-8.4%0.5%
VWIV22.3%17.4%31.4%30.6%17.7%
Skew 25d3.8%2.6%5.2%4.5%2.8%
Skew 10d8.2%5.7%11.1%8.9%5.7%
Call IV 25d20.4%15.7%29.7%29.7%16.6%
Put IV 25d24.2%18.5%34.4%34.1%19.3%
Bid-Ask Spread %22.7114.1470.9024.9024.65
Gamma HHI0.270.200.430.210.31
Net GEX8.3M1.5M27.7M2.4M10.5M
Net DEX-56.0M-217.9M29.1M12.9M-86.7M
Net VEX-572.3K-602.4K-498.0K-566.8K-578.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.493.010.921.38
Total Volume13,565.6195,90443,0366,80011,886
Total OI153,762.381139,822199,948139,822149,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$36.22$37.5032.0%9.2%14.9%60.2%30.6%4.5%-8.4%2.4M12.9M-566.8K0.9224.90N/AN/A3,5463,25468,95870,864
2016-11-02$36.47$37.5031.8%9.1%15.2%59.8%31.4%4.8%-7.9%3.2M4.4M-568.9K0.9425.09N/AN/A3,1802,99469,53471,764
2016-11-03$35.85$36.2532.7%7.0%16.2%62.5%26.0%4.7%-1.6%1.5M29.1M-557.3K1.3717.16N/AN/A3,6885,05870,58072,510
2016-11-04$35.94$36.2535.6%7.1%16.1%72.6%26.4%5.0%-1.7%1.7M24.5M-587.1K0.8414.14N/AN/A4,1423,48272,21474,832
2016-11-07$36.56$36.2538.8%7.0%16.7%83.3%24.9%5.1%-1.9%3.4M2.3M-579.1K0.9817.89N/AN/A3,3943,33272,28075,644
2016-11-08$36.71$36.2539.0%7.1%16.6%84.1%24.7%5.2%-2.2%4.1M-7.2M-587.3K1.3416.63N/AN/A2,5263,37872,93076,350
2016-11-09$36.96$36.2523.5%6.7%15.7%31.6%24.4%4.4%-2.2%5.0M-20.8M-581.7K1.7921.16N/AN/A3,2385,78073,13076,484
2016-11-10$37.73$36.2525.1%7.2%16.7%36.8%25.0%4.3%-2.4%6.6M-59.3M-591.8K0.8923.03N/AN/A4,9164,39273,64477,516
2016-11-11$37.73$36.2524.8%7.1%16.7%35.9%25.1%4.5%-2.5%6.2M-55.2M-584.1K1.6521.24N/AN/A2,8344,68274,00878,538
2016-11-14$37.04$36.2527.1%7.8%17.2%43.7%27.3%4.6%-3.9%5.1M-26.2M-555.1K0.6022.29N/AN/A26,89616,14074,52279,184
2016-11-15$36.74$37.5020.4%5.9%17.5%22.0%19.7%3.7%-0.6%4.1M13.0M-498.0K1.5917.49N/AN/A10,89217,35280,21282,050
2016-11-16$38.23$36.2518.4%5.3%22.4%17.0%18.6%3.3%0.2%18.5M-86.2M-533.0K0.5725.02N/AN/A25,77814,61483,76485,956
2016-11-17$38.56$37.5018.2%5.2%22.4%16.0%19.0%3.3%0.3%27.7M-128.8M-593.7K0.5170.90N/AN/A14,1807,23698,44893,202
2016-11-18$38.84$37.5018.1%5.2%22.5%15.9%18.4%3.2%-0.1%14.3M-217.9M-596.4K0.4924.77N/AN/A9,9824,906106,48893,460
2016-11-21$38.74$37.5017.4%5.0%22.5%13.1%18.3%3.2%0.4%8.0M-62.9M-585.1K1.3424.69N/AN/A3,4944,67865,87676,242
2016-11-22$39.67$37.5016.3%4.7%23.3%8.3%18.7%2.8%0.4%10.1M-110.5M-551.6K1.7216.76N/AN/A5,0928,77266,47677,212
2016-11-23$39.69$37.5016.1%4.6%23.3%7.8%20.0%2.9%1.1%9.8M-105.4M-602.4K3.0117.27N/AN/A3,39810,23867,76281,808
2016-11-25$39.62$37.5016.8%4.8%22.5%10.3%17.4%2.8%0.8%10.2M-107.1M-579.6K1.7417.18N/AN/A2,4844,32268,81478,972
2016-11-28$39.33$37.5018.2%5.2%22.8%16.2%17.5%3.0%-0.0%10.5M-94.2M-567.4K1.1314.76N/AN/A3,3803,82669,12879,142
2016-11-29$39.37$37.5018.3%5.3%22.9%16.6%18.2%2.6%0.3%10.5M-93.4M-574.6K1.8019.92N/AN/A2,6844,83269,30879,592
2016-11-30$39.24$37.5018.0%5.2%21.7%15.5%17.7%2.8%0.5%10.5M-86.7M-578.5K1.3824.65N/AN/A4,9886,89869,51880,094