TJX Options History — May 2017

In May 2017, TJX traded between $36.80 and $40.41. ATM implied volatility averaged 20.6%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.3% (HV 20d: 19.3%). Max pain ranged from $38.75 to $38.75. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2017-05-15: Highest Volume — 103,092 contracts
  • 2017-05-10: Largest IV drop — 35.3% change
  • 2017-05-09: Highest IV Rank — 68.6%
  • 2017-05-15: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.35$36.80$40.41$38.87$37.62
Max Pain$38.75$38.75$38.75$38.75$38.75
ATM IV20.6%15.2%30.9%22.1%16.7%
Expected Move5.4%4.4%7.3%6.3%4.8%
HV 20d19.3%10.5%26.2%13.9%25.4%
HV 60d15.4%12.7%17.7%12.7%17.6%
IV Rank28.7%7.8%68.6%34.6%13.4%
IV Percentile51.5%5.6%95.6%77.4%23.4%
Term Structure-1.5%-6.2%1.0%-4.1%-0.6%
VWIV19.6%15.6%25.7%24.8%16.6%
Skew 25d2.2%1.3%3.4%2.8%2.0%
Skew 10d4.3%1.4%8.8%5.4%8.8%
Call IV 25d18.1%14.8%24.6%21.0%15.8%
Put IV 25d20.4%16.7%27.4%23.8%17.8%
Bid-Ask Spread %18.127.4930.6320.0814.98
Gamma HHI0.210.150.370.230.18
Net GEX-2.4M-20.0M3.0M998.3K-1.4M
Net DEX30.3M-54.8M181.5M-2.3M36.8M
Net VEX-773.7K-939.1K-650.6K-650.6K-849.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.345.740.841.39
Total Volume17,037.7274,590103,0924,7464,590
Total OI152,524.545105,420228,700105,420168,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$38.87$38.7522.1%6.3%13.9%34.6%24.8%2.8%-4.1%998.3K-2.3M-650.6K0.8420.08N/AN/A2,5802,16643,88861,532
2017-05-02$39.42$38.7523.2%6.6%14.5%38.6%23.9%3.4%-4.8%2.2M-19.3M-658.3K1.6730.63N/AN/A2,2183,69644,06661,870
2017-05-03$39.55$38.7524.8%7.1%12.0%44.7%25.7%3.1%-6.2%2.2M-23.0M-662.6K5.7426.32N/AN/A1,5088,66244,68463,088
2017-05-04$39.45$38.7526.3%5.4%11.3%50.8%20.0%2.2%-2.0%392.8K-11.1M-684.5K0.4521.87N/AN/A9,8224,40645,06469,028
2017-05-05$39.32$38.7527.6%5.6%10.9%55.9%21.7%1.9%-1.6%1.2M-11.8M-697.6K0.3420.81N/AN/A12,1604,08850,36671,536
2017-05-08$39.22$38.7530.6%5.6%10.5%67.4%21.5%2.2%-2.1%336.9K-5.1M-675.8K1.2514.52N/AN/A3,3284,15048,47671,622
2017-05-09$39.49$38.7530.9%5.5%10.6%68.6%21.6%2.2%-2.2%1.4M-20.8M-676.0K1.4321.71N/AN/A2,9304,18448,48471,814
2017-05-10$40.41$38.7520.0%5.7%12.8%26.3%22.1%2.5%-2.2%3.0M-54.8M-661.6K1.1518.11N/AN/A4,3364,98048,79071,930
2017-05-11$39.78$38.7520.3%5.8%14.3%27.5%22.2%2.5%-3.0%2.4M-33.8M-669.4K1.9323.79N/AN/A6,06811,69449,46072,102
2017-05-12$38.59$38.7522.6%6.5%18.3%36.3%22.4%2.9%-3.6%-653.7K14.6M-733.2K1.3317.81N/AN/A8,48811,31052,00074,840
2017-05-15$38.46$38.7525.4%7.3%18.3%47.2%25.2%2.8%-4.6%-1.1M23.3M-757.5K2.1124.37N/AN/A33,11469,97856,83680,838
2017-05-16$36.80$38.7517.4%5.0%24.1%16.4%16.7%2.5%0.1%-20.0M181.5M-736.4K1.787.49N/AN/A23,35641,61081,100128,114
2017-05-17$37.53$38.7517.4%5.0%25.3%16.3%17.3%1.4%0.1%-13.7M97.3M-939.1K1.7423.04N/AN/A7,84413,62295,774132,260
2017-05-18$37.27$38.7517.3%4.9%24.3%15.7%17.5%1.9%0.6%-16.0M114.3M-911.5K1.509.87N/AN/A4,9287,40297,218131,482
2017-05-19$37.10$38.7516.1%4.6%24.2%11.3%16.4%1.9%1.0%-2.6M139.7M-876.8K1.5517.77N/AN/A4,9227,60696,066132,300
2017-05-22$37.66$38.7516.2%4.6%25.0%11.6%15.8%1.8%0.0%-1.2M31.5M-896.9K2.0414.61N/AN/A3,1106,36075,90286,464
2017-05-23$37.19$38.7515.4%4.4%25.2%8.5%15.8%2.5%0.8%-2.4M52.6M-858.7K0.9814.37N/AN/A3,9643,86676,83487,320
2017-05-24$37.04$38.7515.2%4.4%25.1%7.8%15.6%1.3%0.7%-3.0M59.8M-853.7K1.0112.61N/AN/A2,8022,83277,49488,756
2017-05-25$37.72$38.7515.9%4.6%26.2%10.3%15.9%1.9%0.0%-1.1M29.7M-868.8K0.7115.42N/AN/A4,8243,40877,37688,990
2017-05-26$37.78$38.7515.7%4.5%26.2%9.7%16.4%2.0%0.2%-697.9K25.5M-869.4K1.1614.33N/AN/A2,4682,87276,98288,450
2017-05-30$37.51$38.7516.6%4.8%26.0%13.2%16.7%2.0%-0.5%-2.2M43.0M-832.2K0.6914.18N/AN/A3,9002,67877,03289,000
2017-05-31$37.62$38.7516.7%4.8%25.4%13.4%16.6%2.0%-0.6%-1.4M36.8M-849.7K1.3914.98N/AN/A1,9242,66678,94889,364