TJX Options History — December 2016

In December 2016, TJX traded between $37.52 and $39.15. ATM implied volatility averaged 18.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.4% (HV 20d: 17.0%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.63.

Notable Days

2016-12-16: Highest Volume — 17,986 contracts
2016-12-14: Largest IV drop — 17.0% change
2016-12-13: Highest IV Rank — 32.1%
2016-12-30: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.51	$37.52	$39.15	$38.80	$37.52
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	18.4%	17.1%	22.2%	18.7%	19.5%
Expected Move	5.2%	4.9%	5.6%	5.4%	5.6%
HV 20d	17.0%	12.1%	22.3%	22.3%	13.1%
HV 60d	17.3%	16.8%	17.9%	17.9%	17.4%
IV Rank	17.0%	11.7%	32.1%	18.0%	21.2%
IV Percentile	29.8%	15.5%	57.1%	32.1%	41.3%
Term Structure	1.5%	-0.1%	2.7%	-0.1%	0.7%
VWIV	19.7%	17.6%	25.2%	19.1%	23.6%
Skew 25d	3.4%	1.8%	4.3%	2.7%	3.6%
Skew 10d	7.2%	3.3%	8.7%	3.3%	8.7%
Call IV 25d	17.0%	16.0%	18.3%	17.3%	17.9%
Put IV 25d	20.5%	19.5%	22.0%	20.0%	21.6%
Bid-Ask Spread %	16.37	10.10	24.08	24.08	18.59
Gamma HHI	0.25	0.15	0.46	0.27	0.15
Net GEX	6.1M	-472.6K	13.3M	9.0M	-472.6K
Net DEX	-35.8M	-77.0M	13.5M	-64.4M	13.5M
Net VEX	-550.7K	-597.9K	-522.1K	-597.9K	-534.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.31	3.56	1.21	2.99
Total Volume	8,336.286	4,754	17,986	6,606	7,302
Total OI	146,497.238	126,414	161,636	152,006	138,178

Daily Data (21 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
2016-12-01	$38.80	$37.50	18.7%	5.4%	22.3%	18.0%	19.1%	2.7%	-0.1%	9.0M	-64.4M	-597.9K	1.21	24.08	N/A	N/A	2,986	3,620	70,484	81,522
2016-12-02	$38.53	$37.50	18.4%	5.3%	21.4%	17.0%	18.1%	1.8%	0.4%	8.2M	-49.6M	-578.3K	1.02	16.69	N/A	N/A	3,354	3,426	70,486	81,716
2016-12-05	$38.67	$37.50	18.4%	5.2%	21.4%	16.7%	19.1%	3.6%	2.5%	9.0M	-53.1M	-569.7K	1.25	20.46	N/A	N/A	2,860	3,568	70,502	81,896
2016-12-06	$38.72	$37.50	17.8%	5.2%	20.8%	14.5%	18.5%	3.2%	2.6%	9.9M	-57.9M	-542.6K	1.23	19.58	N/A	N/A	3,442	4,220	70,664	81,976
2016-12-07	$39.09	$37.50	18.3%	5.2%	20.9%	16.3%	18.1%	3.5%	2.4%	12.0M	-77.0M	-559.2K	1.00	15.01	N/A	N/A	4,156	4,142	71,378	82,366
2016-12-08	$38.95	$37.50	17.3%	5.2%	21.0%	12.4%	17.9%	2.9%	2.6%	11.7M	-71.4M	-552.7K	1.01	16.19	N/A	N/A	3,914	3,934	71,804	82,938
2016-12-09	$38.98	$37.50	18.1%	5.2%	19.9%	15.8%	25.2%	3.3%	2.3%	11.5M	-68.6M	-554.5K	3.56	15.71	N/A	N/A	2,784	9,910	72,366	83,618
2016-12-12	$38.47	$37.50	20.8%	5.3%	20.6%	26.8%	21.7%	3.6%	2.0%	8.4M	-40.1M	-562.4K	2.03	14.97	N/A	N/A	4,246	8,624	72,502	87,050
2016-12-13	$39.15	$37.50	22.2%	5.3%	20.1%	32.1%	21.3%	3.3%	2.6%	13.3M	-76.2M	-580.4K	1.11	17.20	N/A	N/A	6,316	7,010	73,872	87,764
2016-12-14	$38.74	$37.50	18.4%	5.3%	20.3%	16.9%	21.7%	3.2%	2.7%	10.9M	-55.6M	-561.8K	2.54	19.46	N/A	N/A	2,560	6,512	73,730	87,030
2016-12-15	$38.70	$37.50	18.0%	5.2%	14.8%	15.3%	19.0%	3.4%	2.5%	11.8M	-48.7M	-555.0K	1.96	14.90	N/A	N/A	2,048	4,018	73,752	87,184
2016-12-16	$38.34	$37.50	17.8%	5.1%	14.9%	14.6%	18.8%	3.7%	2.3%	1.5M	-23.1M	-533.6K	0.31	10.10	N/A	N/A	13,742	4,244	73,894	87,292
2016-12-19	$38.48	$37.50	17.1%	4.9%	14.7%	11.7%	17.6%	3.4%	0.9%	1.9M	-16.9M	-522.1K	1.39	16.56	N/A	N/A	2,602	3,620	48,056	78,358
2016-12-20	$38.80	$37.50	17.3%	5.0%	15.0%	12.4%	18.9%	3.6%	1.0%	2.8M	-27.2M	-524.9K	1.80	13.45	N/A	N/A	2,298	4,138	48,984	78,584
2016-12-21	$38.72	$37.50	17.5%	5.0%	12.1%	13.1%	17.8%	3.3%	0.9%	2.8M	-26.0M	-525.1K	1.66	16.08	N/A	N/A	2,620	4,338	49,694	78,712
2016-12-22	$38.23	$37.50	18.1%	5.2%	12.7%	15.5%	19.1%	4.3%	0.8%	1.6M	-10.5M	-535.1K	1.48	18.29	N/A	N/A	4,170	6,174	50,606	80,260
2016-12-23	$38.23	$37.50	17.3%	5.0%	12.8%	12.4%	18.9%	3.9%	1.3%	1.3M	-8.5M	-556.5K	1.76	13.68	N/A	N/A	2,592	4,556	52,648	82,714
2016-12-27	$38.16	$37.50	17.8%	5.1%	12.6%	14.4%	19.1%	3.9%	0.6%	1.1M	-4.1M	-541.6K	1.38	16.30	N/A	N/A	2,208	3,054	53,282	83,498
2016-12-28	$37.67	$37.50	19.3%	5.5%	13.1%	20.4%	21.1%	4.0%	0.6%	37.7K	7.8M	-542.4K	1.75	13.91	N/A	N/A	1,818	3,182	53,658	83,810
2016-12-29	$37.84	$37.50	19.3%	5.5%	13.3%	20.3%	20.0%	4.1%	0.7%	269.4K	4.9M	-533.4K	1.72	12.65	N/A	N/A	1,746	3,008	53,698	83,916
2016-12-30	$37.52	$37.50	19.5%	5.6%	13.1%	21.2%	23.6%	3.6%	0.7%	-472.6K	13.5M	-534.6K	2.99	18.59	N/A	N/A	1,832	5,470	54,066	84,112