TJX Options History — March 2017

In March 2017, TJX traded between $39.01 and $39.89. ATM implied volatility averaged 15.4%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.3% (HV 20d: 12.1%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.55.

Notable Days

2017-03-01: Highest Volume — 31,028 contracts
2017-03-15: Largest IV drop — 19.3% change
2017-03-14: Highest IV Rank — 15.1%
2017-03-01: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.34	$39.01	$39.89	$39.33	$39.55
Max Pain	$38.10	$37.50	$38.75	$37.50	$38.75
ATM IV	15.4%	13.2%	17.9%	17.6%	13.2%
Expected Move	4.4%	3.8%	5.1%	5.1%	3.8%
HV 20d	12.1%	8.5%	14.7%	13.8%	9.2%
HV 60d	13.3%	12.5%	14.0%	13.8%	12.5%
IV Rank	5.9%	0.0%	15.1%	13.8%	0.0%
IV Percentile	7.6%	0.0%	41.3%	33.3%	0.0%
Term Structure	3.1%	-0.8%	4.6%	-0.8%	4.3%
VWIV	15.6%	13.4%	17.7%	17.1%	13.5%
Skew 25d	2.2%	1.0%	2.8%	2.8%	1.0%
Skew 10d	5.2%	2.2%	8.2%	5.2%	2.2%
Call IV 25d	14.4%	13.2%	16.0%	16.0%	13.2%
Put IV 25d	16.6%	14.2%	18.8%	18.8%	14.2%
Bid-Ask Spread %	19.31	16.34	26.54	26.54	16.59
Gamma HHI	0.33	0.28	0.45	0.37	0.32
Net GEX	8.9M	4.1M	16.6M	4.1M	9.2M
Net DEX	-61.0M	-113.6M	-17.3M	-62.7M	-42.5M
Net VEX	-721.0K	-827.5K	-671.6K	-709.9K	-679.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.13	2.81	0.13	1.32
Total Volume	7,924.609	4,384	31,028	31,028	4,384
Total OI	146,451.043	125,510	164,910	133,068	136,530

Daily Data (23 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
2017-03-01	$39.33	$37.50	17.6%	5.1%	13.8%	13.8%	17.1%	2.8%	-0.8%	4.1M	-62.7M	-709.9K	0.13	26.54	N/A	N/A	27,436	3,592	56,974	76,094
2017-03-02	$39.72	$37.50	15.5%	4.4%	13.9%	5.2%	16.2%	1.8%	0.6%	11.1M	-113.6M	-823.9K	0.99	19.64	N/A	N/A	6,410	6,370	81,938	76,378
2017-03-03	$39.38	$37.50	16.5%	4.7%	14.5%	9.3%	16.9%	2.3%	0.4%	9.9M	-84.0M	-827.5K	2.75	19.18	N/A	N/A	2,004	5,520	80,818	77,554
2017-03-06	$39.35	$37.50	16.6%	4.8%	14.4%	9.6%	16.1%	2.6%	2.6%	10.3M	-89.3M	-781.3K	1.57	17.60	N/A	N/A	3,418	5,376	80,744	77,644
2017-03-07	$39.16	$37.50	15.6%	4.6%	14.5%	5.8%	15.6%	2.0%	2.7%	9.6M	-76.0M	-760.9K	1.09	16.44	N/A	N/A	4,000	4,348	80,606	77,386
2017-03-08	$39.24	$37.50	16.4%	4.6%	14.5%	9.0%	16.6%	2.1%	3.2%	10.2M	-81.0M	-753.5K	1.70	17.82	N/A	N/A	2,820	4,790	81,388	77,888
2017-03-09	$39.02	$37.50	15.8%	4.5%	14.7%	6.4%	16.7%	2.4%	3.2%	8.7M	-64.3M	-756.9K	2.43	18.56	N/A	N/A	1,890	4,594	81,422	78,764
2017-03-10	$39.06	$37.50	15.2%	4.4%	14.5%	4.2%	14.9%	2.1%	3.3%	8.8M	-68.1M	-737.2K	0.89	19.32	N/A	N/A	4,154	3,688	81,342	78,772
2017-03-13	$39.01	$37.50	17.4%	4.6%	14.1%	12.7%	16.0%	2.7%	2.5%	8.3M	-61.0M	-708.8K	0.72	20.28	N/A	N/A	4,356	3,134	79,652	79,202
2017-03-14	$39.15	$37.50	17.9%	4.6%	14.1%	15.1%	15.9%	2.7%	2.9%	9.6M	-70.9M	-715.3K	1.16	20.02	N/A	N/A	2,898	3,360	80,988	79,810
2017-03-15	$39.56	$37.50	14.5%	4.1%	13.7%	1.1%	15.4%	2.3%	3.3%	14.3M	-101.3M	-709.3K	1.30	22.40	N/A	N/A	2,398	3,122	81,058	80,122
2017-03-16	$39.60	$37.50	14.2%	4.1%	13.7%	0.1%	15.3%	2.1%	3.7%	16.6M	-103.6M	-707.4K	2.69	16.84	N/A	N/A	2,232	6,006	81,376	80,410
2017-03-17	$39.50	$38.75	13.9%	4.0%	11.3%	0.0%	15.1%	2.1%	3.7%	7.3M	-91.7M	-699.9K	0.90	17.69	N/A	N/A	3,670	3,308	81,274	83,636
2017-03-20	$39.13	$38.75	14.5%	4.2%	11.9%	2.7%	14.4%	2.1%	4.6%	5.7M	-22.2M	-681.3K	1.25	16.34	N/A	N/A	2,358	2,956	60,338	65,172
2017-03-21	$39.03	$38.75	15.9%	4.6%	11.0%	8.2%	17.7%	2.5%	3.5%	5.1M	-17.3M	-684.2K	2.81	22.30	N/A	N/A	1,988	5,580	60,626	65,872
2017-03-22	$39.30	$38.75	15.7%	4.5%	11.2%	7.2%	15.5%	2.3%	3.8%	6.3M	-29.3M	-706.4K	0.77	17.04	N/A	N/A	3,976	3,048	61,032	67,162
2017-03-23	$39.19	$38.75	15.6%	4.5%	8.9%	7.1%	15.3%	2.3%	3.8%	6.4M	-26.5M	-702.4K	1.58	20.79	N/A	N/A	1,796	2,842	63,466	67,404
2017-03-24	$39.22	$38.75	15.3%	4.4%	8.6%	6.0%	15.9%	2.4%	3.9%	6.6M	-26.0M	-697.3K	2.07	19.54	N/A	N/A	1,482	3,066	63,804	67,684
2017-03-27	$39.19	$38.75	15.6%	4.5%	8.6%	6.8%	15.5%	2.6%	3.7%	6.8M	-27.8M	-694.9K	2.70	24.07	N/A	N/A	1,584	4,278	63,924	68,170
2017-03-28	$39.30	$38.75	14.8%	4.3%	8.5%	3.9%	15.2%	2.0%	4.2%	7.1M	-27.0M	-674.4K	1.92	18.64	N/A	N/A	2,356	4,520	63,868	69,694
2017-03-29	$39.89	$38.75	14.0%	4.0%	9.9%	0.6%	14.6%	1.4%	4.0%	10.9M	-60.1M	-699.6K	1.09	18.52	N/A	N/A	2,764	3,002	64,864	69,998
2017-03-30	$39.84	$38.75	13.3%	3.8%	9.3%	0.0%	13.4%	1.3%	4.2%	11.2M	-57.8M	-671.6K	1.83	17.88	N/A	N/A	1,908	3,484	65,188	70,338
2017-03-31	$39.55	$38.75	13.2%	3.8%	9.2%	0.0%	13.5%	1.0%	4.3%	9.2M	-42.5M	-679.0K	1.32	16.59	N/A	N/A	1,888	2,496	65,354	71,176