TJX Options History — January 2017

In January 2017, TJX traded between $37.02 and $38.41. ATM implied volatility averaged 17.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.2% (HV 20d: 13.6%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.65.

Notable Days

  • 2017-01-24: Highest Volume — 21,980 contracts
  • 2017-01-11: Largest IV spike — 15.7% change
  • 2017-01-03: Highest IV Rank — 25.3%
  • 2017-01-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.82$37.02$38.41$37.70$37.48
Max Pain$38.25$37.50$38.75$37.50$37.50
ATM IV17.8%16.2%20.5%20.5%17.3%
Expected Move5.2%4.7%5.9%5.9%5.0%
HV 20d13.6%11.6%14.5%13.2%14.5%
HV 60d17.2%16.7%17.6%17.4%17.1%
IV Rank14.6%8.2%25.3%25.3%12.6%
IV Percentile25.1%4.8%45.6%45.6%23.0%
Term Structure2.2%-0.3%3.8%-0.3%3.7%
VWIV19.4%16.3%22.1%20.3%17.4%
Skew 25d3.7%2.4%4.5%4.4%3.0%
Skew 10d7.2%4.2%10.5%10.5%7.2%
Call IV 25d16.8%15.4%18.3%18.3%16.6%
Put IV 25d20.5%18.2%22.7%22.7%19.6%
Bid-Ask Spread %19.0511.1726.3911.1723.67
Gamma HHI0.220.160.360.170.19
Net GEX92.5K-3.7M3.6M-629.6K367.9K
Net DEX7.8M-12.9M27.5M12.7M4.8M
Net VEX-534.9K-606.1K-500.6K-513.7K-606.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.323.182.710.32
Total Volume7,694.75,24221,9808,1869,434
Total OI126,629.574,424152,864138,034104,344

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$37.70$37.5020.5%5.9%13.2%25.3%20.3%4.4%-0.3%-629.6K12.7M-513.7K2.7111.17N/AN/A2,2065,98054,15283,882
2017-01-04$38.33$37.5018.1%5.2%14.5%15.6%19.4%4.3%0.5%1.9M-11.8M-532.1K1.6015.25N/AN/A2,6124,17054,40286,834
2017-01-05$38.16$38.7517.4%5.4%14.5%13.1%20.4%4.5%1.7%596.4K1.5M-545.0K2.1812.01N/AN/A2,4345,30054,65487,950
2017-01-06$38.03$38.7519.3%5.6%14.0%20.4%21.2%3.9%1.6%863.4K348.5K-537.4K1.9016.61N/AN/A1,8083,43454,88087,804
2017-01-09$38.08$38.7519.3%5.7%14.1%20.6%21.0%4.0%1.3%1.2M-487.6K-520.8K1.5813.55N/AN/A2,1763,43654,99687,940
2017-01-10$38.37$38.7516.7%5.3%14.4%10.2%20.3%3.6%2.0%2.6M-12.9M-514.9K1.7722.23N/AN/A1,9643,47455,09887,866
2017-01-11$38.12$38.7519.4%5.6%13.8%20.8%21.6%4.0%1.4%1.1M1.4M-516.1K3.0818.80N/AN/A1,7305,33055,40088,268
2017-01-12$38.01$38.7519.2%5.5%12.1%20.0%22.1%4.1%1.8%738.8K4.7M-515.2K2.3821.89N/AN/A1,7164,08255,66490,180
2017-01-13$37.99$38.7518.9%5.4%11.6%18.9%20.6%3.7%1.6%972.1K4.3M-506.7K3.1820.04N/AN/A1,8165,78255,82090,246
2017-01-17$38.41$38.7517.8%5.1%12.4%14.4%19.0%4.3%2.1%3.6M-9.5M-505.1K1.3521.90N/AN/A3,1744,27255,79492,328
2017-01-18$38.34$38.7517.2%4.9%11.9%12.0%19.2%3.9%2.1%3.3M-4.1M-504.3K2.5319.84N/AN/A2,3485,93656,37093,138
2017-01-19$37.55$38.7518.4%5.3%13.9%17.1%20.1%3.9%1.7%-3.3M27.3M-509.5K1.5724.03N/AN/A2,5464,01056,40695,594
2017-01-20$37.70$38.7517.4%5.0%13.5%12.8%18.7%3.7%2.1%-3.7M20.0M-505.7K1.7826.39N/AN/A2,6464,70456,53296,332
2017-01-23$37.31$38.7516.5%4.7%13.9%9.3%19.1%4.0%3.3%-2.2M27.5M-500.6K1.1215.68N/AN/A2,8383,19025,24649,178
2017-01-24$37.33$37.5016.5%4.7%13.3%9.3%17.3%3.0%3.1%-2.3M27.0M-508.8K0.5619.24N/AN/A14,0747,90626,17850,058
2017-01-25$37.74$37.5016.5%4.7%14.0%9.2%16.3%2.5%3.5%-59.5K4.4M-581.6K1.1317.92N/AN/A3,3563,78238,45855,376
2017-01-26$37.58$37.5016.8%4.8%14.1%10.4%17.5%3.0%3.4%-377.9K9.0M-591.7K1.0016.80N/AN/A2,9322,92839,30256,676
2017-01-27$37.08$37.5016.2%4.7%14.2%8.2%17.8%2.4%3.8%-1.4M24.0M-588.1K0.6622.12N/AN/A4,5322,98040,59257,234
2017-01-30$37.02$37.5017.2%4.9%14.0%12.1%19.3%3.0%3.6%-1.3M25.3M-593.9K0.5521.90N/AN/A4,4182,43843,09658,322
2017-01-31$37.48$37.5017.3%5.0%14.5%12.6%17.4%3.0%3.7%367.9K4.8M-606.1K0.3223.67N/AN/A7,1642,27045,83458,510