TJX Options History — February 2017

In February 2017, TJX traded between $37.35 and $39.30. ATM implied volatility averaged 19.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.1% (HV 20d: 14.0%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.30.

Notable Days

2017-02-21: Highest Volume — 22,508 contracts
2017-02-22: Largest IV drop — 31.9% change
2017-02-21: Highest IV Rank — 39.1%
2017-02-21: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.35	$37.35	$39.30	$37.35	$39.16
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	19.1%	16.3%	23.9%	17.2%	18.8%
Expected Move	5.7%	4.7%	6.9%	4.9%	5.4%
HV 20d	14.0%	13.0%	15.4%	14.4%	14.2%
HV 60d	15.0%	13.4%	16.8%	16.8%	14.0%
IV Rank	19.6%	8.3%	39.1%	12.2%	18.4%
IV Percentile	38.9%	6.0%	83.7%	21.8%	48.0%
Term Structure	-1.4%	-3.8%	3.8%	3.8%	-1.3%
VWIV	20.0%	16.4%	23.5%	19.5%	18.8%
Skew 25d	3.0%	1.7%	3.6%	2.7%	3.3%
Skew 10d	6.1%	3.1%	8.0%	7.0%	5.4%
Call IV 25d	18.6%	15.2%	22.0%	16.5%	17.0%
Put IV 25d	21.5%	17.6%	24.4%	19.2%	20.2%
Bid-Ask Spread %	25.60	13.03	77.39	24.01	59.53
Gamma HHI	0.23	0.17	0.31	0.18	0.27
Net GEX	3.9M	401.2K	8.4M	401.2K	4.9M
Net DEX	-36.3M	-80.6M	4.1M	4.1M	-56.7M
Net VEX	-629.4K	-703.5K	-603.0K	-616.9K	-703.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.54	2.89	0.83	2.38
Total Volume	9,693.368	4,840	22,508	4,852	11,478
Total OI	115,533.789	106,292	126,800	106,292	126,800

Daily Data (19 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
2017-02-01	$37.35	$37.50	17.2%	4.9%	14.4%	12.2%	19.5%	2.7%	3.8%	401.2K	4.1M	-616.9K	0.83	24.01	N/A	N/A	2,658	2,194	47,694	58,598
2017-02-02	$37.47	$37.50	17.2%	6.0%	13.0%	12.0%	21.0%	3.6%	-1.5%	829.7K	-1.4M	-615.8K	0.83	14.20	N/A	N/A	2,648	2,192	48,634	58,616
2017-02-03	$37.75	$37.50	16.7%	6.0%	13.3%	10.1%	20.1%	3.5%	-1.7%	1.4M	-11.6M	-614.8K	0.54	16.98	N/A	N/A	4,192	2,266	48,896	58,756
2017-02-06	$37.64	$37.50	16.8%	6.0%	13.3%	10.6%	20.1%	3.4%	-1.8%	1.5M	-9.4M	-605.7K	0.83	14.55	N/A	N/A	3,460	2,876	50,896	58,786
2017-02-07	$37.63	$37.50	16.9%	5.9%	13.3%	11.0%	20.8%	3.5%	-1.4%	1.5M	-11.2M	-606.7K	1.16	13.03	N/A	N/A	2,538	2,948	49,880	59,544
2017-02-08	$37.80	$37.50	21.5%	6.2%	13.1%	29.3%	21.3%	3.4%	-2.0%	1.9M	-17.3M	-603.0K	2.89	26.83	N/A	N/A	3,082	8,906	49,704	59,662
2017-02-09	$38.12	$37.50	21.4%	6.1%	13.3%	29.2%	20.7%	3.4%	-2.3%	2.8M	-25.6M	-612.5K	0.95	14.42	N/A	N/A	3,412	3,232	50,388	62,152
2017-02-10	$38.55	$37.50	20.2%	5.8%	13.8%	24.2%	20.5%	3.3%	-2.0%	4.3M	-42.8M	-613.0K	0.93	19.81	N/A	N/A	4,516	4,204	51,062	62,402
2017-02-13	$38.46	$37.50	20.5%	5.9%	13.8%	25.5%	21.2%	3.0%	-2.3%	5.3M	-46.3M	-605.5K	1.22	20.22	N/A	N/A	3,078	3,754	52,944	62,416
2017-02-14	$38.98	$37.50	20.9%	6.0%	14.1%	27.0%	22.6%	3.1%	-2.5%	6.7M	-69.5M	-603.9K	1.43	23.31	N/A	N/A	5,200	7,448	54,050	63,378
2017-02-15	$39.16	$37.50	21.2%	6.1%	14.1%	28.3%	21.0%	3.2%	-2.5%	7.2M	-80.6M	-616.2K	1.65	20.52	N/A	N/A	3,500	5,774	56,978	64,012
2017-02-16	$38.37	$37.50	20.9%	6.0%	14.1%	27.0%	21.2%	2.3%	-2.4%	6.2M	-44.9M	-631.9K	1.14	20.26	N/A	N/A	5,150	5,850	57,460	63,540
2017-02-17	$38.55	$37.50	21.3%	6.1%	14.1%	28.5%	21.4%	3.1%	-2.7%	8.4M	-51.1M	-636.5K	1.62	13.31	N/A	N/A	2,746	4,454	58,364	64,592
2017-02-21	$38.10	$37.50	23.9%	6.9%	14.3%	39.1%	23.5%	2.4%	-3.8%	3.0M	-22.7M	-626.2K	1.32	25.12	N/A	N/A	9,686	12,822	51,134	56,350
2017-02-22	$38.18	$37.50	16.3%	4.7%	14.3%	8.3%	16.5%	1.7%	-0.1%	3.2M	-19.4M	-647.3K	0.81	77.39	N/A	N/A	9,926	8,006	56,548	64,084
2017-02-23	$38.94	$37.50	16.4%	4.7%	15.4%	8.9%	16.6%	2.6%	0.0%	4.5M	-53.3M	-654.3K	0.84	24.73	N/A	N/A	6,548	5,498	54,446	65,538
2017-02-24	$39.20	$37.50	16.9%	4.8%	15.3%	10.9%	16.4%	2.7%	-0.8%	5.1M	-64.1M	-661.0K	1.97	27.73	N/A	N/A	3,574	7,052	55,032	66,570
2017-02-27	$39.30	$37.50	17.0%	4.9%	14.1%	11.3%	17.0%	2.4%	-0.4%	5.3M	-65.9M	-684.9K	1.33	30.49	N/A	N/A	3,138	4,168	55,702	69,534
2017-02-28	$39.16	$37.50	18.8%	5.4%	14.2%	18.4%	18.8%	3.3%	-1.3%	4.9M	-56.7M	-703.5K	2.38	59.53	N/A	N/A	3,396	8,082	56,328	70,472