TJX Options History — April 2017

In April 2017, TJX traded between $37.98 and $39.50. ATM implied volatility averaged 18.7%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.4% (HV 20d: 13.3%). Max pain ranged from $38.75 to $38.75. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.57.

Notable Days

  • 2017-04-21: Highest Volume — 24,160 contracts
  • 2017-04-12: Largest IV spike — 36.8% change
  • 2017-04-21: Highest IV Rank — 36.2%
  • 2017-04-21: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.75$37.98$39.50$39.20$39.34
Max Pain$38.75$38.75$38.75$38.75$38.75
ATM IV18.7%14.3%22.6%14.6%21.6%
Expected Move5.6%4.2%6.5%4.2%6.2%
HV 20d13.3%9.7%14.5%9.7%13.5%
HV 60d13.1%12.4%13.8%12.6%12.5%
IV Rank21.5%4.4%36.2%5.5%32.4%
IV Percentile46.0%2.4%77.0%3.2%74.2%
Term Structure-1.5%-4.1%4.3%4.3%-3.5%
VWIV19.7%13.6%23.1%13.6%21.9%
Skew 25d2.6%1.9%3.5%2.2%2.2%
Skew 10d5.0%2.0%7.2%3.3%4.4%
Call IV 25d18.4%13.5%20.6%13.5%20.6%
Put IV 25d21.0%15.7%22.9%15.7%22.9%
Bid-Ask Spread %23.7417.5341.5217.9420.16
Gamma HHI0.200.130.320.320.24
Net GEX125.9K-3.1M6.5M6.5M1.9M
Net DEX4.0M-23.9M32.8M-21.0M-17.1M
Net VEX-626.5K-665.9K-593.9K-650.2K-665.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.513.361.690.78
Total Volume7,647.4743,98824,1604,9744,822
Total OI132,350.63299,326147,764136,726104,624

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$39.20$38.7514.6%4.2%9.7%5.5%13.6%2.2%4.3%6.5M-21.0M-650.2K1.6917.94N/AN/A1,8483,12665,34871,378
2017-04-04$38.37$38.7514.8%4.2%12.3%6.1%14.8%2.0%4.2%621.9K15.9M-616.9K1.8930.02N/AN/A2,7245,14265,36871,574
2017-04-05$37.98$38.7515.8%4.5%12.6%9.8%14.5%2.4%3.6%-1.5M32.8M-606.8K1.6726.82N/AN/A2,2423,75465,84273,518
2017-04-06$38.39$38.7514.3%5.4%13.3%4.4%18.8%2.9%-1.6%-245.6K18.4M-608.6K1.9023.80N/AN/A1,8883,58266,14473,876
2017-04-07$38.11$38.7516.0%5.9%13.5%10.7%19.5%3.4%-2.1%-1.2M28.3M-613.0K0.8017.53N/AN/A4,8743,90266,32874,218
2017-04-10$38.05$38.7518.8%5.9%13.5%21.7%20.3%3.0%-2.1%-1.1M26.9M-621.5K1.6621.85N/AN/A2,4284,03868,10274,542
2017-04-11$38.41$38.7514.5%5.8%13.9%5.1%19.6%3.0%-1.9%-20.6K15.3M-649.5K0.8218.87N/AN/A4,5163,70268,98676,176
2017-04-12$38.52$38.7519.9%5.7%13.3%25.8%21.0%3.3%-1.5%358.4K10.2M-647.8K1.9223.64N/AN/A2,4444,70469,20476,618
2017-04-13$38.53$38.7519.6%5.6%13.3%24.9%20.8%2.9%-1.6%-414.2K11.5M-631.1K1.9923.27N/AN/A2,3664,70067,39476,232
2017-04-17$38.47$38.7520.8%6.0%13.3%29.6%23.1%3.5%-2.5%-878.0K13.6M-615.8K1.9519.88N/AN/A2,1344,16267,70876,906
2017-04-18$38.41$38.7520.0%5.7%12.9%26.5%22.8%3.3%-1.9%-3.1M23.4M-606.7K3.3623.46N/AN/A2,5128,43267,75679,842
2017-04-19$38.41$38.7520.1%5.8%12.9%26.7%20.9%3.0%-2.2%-2.7M21.8M-599.7K2.2723.37N/AN/A2,3725,38668,12679,460
2017-04-20$39.13$38.7520.4%5.9%14.4%27.9%19.8%1.9%-2.8%-2.1M-13.3M-600.0K2.1021.91N/AN/A2,3224,86668,29279,472
2017-04-21$39.27$38.7522.6%6.5%14.4%36.2%21.3%2.8%-4.1%-804.5K-23.9M-593.9K0.8941.52N/AN/A12,80011,36068,17879,324
2017-04-24$39.27$38.7520.5%5.9%14.4%28.3%19.9%2.0%-2.7%1.3M-11.6M-638.8K2.0525.04N/AN/A2,5325,20038,69260,634
2017-04-25$39.40$38.7520.1%5.8%14.5%26.8%20.1%2.3%-3.0%1.6M-15.5M-640.0K0.6326.42N/AN/A2,7901,74639,74460,826
2017-04-26$39.50$38.7520.8%6.0%14.5%29.3%20.5%1.9%-3.1%1.9M-20.3M-647.7K0.9727.05N/AN/A2,0241,96440,66460,980
2017-04-27$39.49$38.7520.9%6.0%13.4%29.9%21.6%1.9%-3.5%2.2M-19.5M-650.3K0.5118.46N/AN/A3,9021,99641,44261,144
2017-04-28$39.34$38.7521.6%6.2%13.5%32.4%21.9%2.2%-3.5%1.9M-17.1M-665.9K0.7820.16N/AN/A2,7142,10843,39861,226