TJX Options History — August 2017

In August 2017, TJX traded between $34.69 and $36.20. ATM implied volatility averaged 23.4%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.7% (HV 20d: 20.8%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.16.

Notable Days

2017-08-14: Highest Volume — 132,842 contracts
2017-08-15: Largest IV drop — 30.5% change
2017-08-08: Highest IV Rank — 87.4%
2017-08-10: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.50	$34.69	$36.20	$35.36	$36.20
Max Pain	$34.78	$33.75	$35.00	$35.00	$35.00
ATM IV	23.4%	17.4%	35.8%	28.3%	17.7%
Expected Move	6.3%	5.0%	8.6%	8.1%	5.1%
HV 20d	20.8%	19.0%	24.2%	20.8%	19.2%
HV 60d	20.0%	18.5%	21.8%	21.8%	19.6%
IV Rank	39.7%	16.1%	87.4%	58.4%	17.3%
IV Percentile	69.8%	37.3%	98.8%	94.0%	44.4%
Term Structure	-1.2%	-6.5%	0.9%	-5.4%	0.4%
VWIV	21.8%	17.1%	29.9%	27.4%	17.6%
Skew 25d	2.5%	1.6%	3.9%	3.1%	2.1%
Skew 10d	6.2%	3.5%	10.5%	10.5%	7.3%
Call IV 25d	21.0%	17.0%	28.7%	26.3%	17.5%
Put IV 25d	23.5%	19.1%	31.7%	29.4%	19.6%
Bid-Ask Spread %	16.30	9.82	47.78	47.78	16.67
Gamma HHI	0.21	0.15	0.28	0.20	0.28
Net GEX	2.0M	-5.3M	9.7M	-1.6M	9.7M
Net DEX	21.0M	-20.4M	66.3M	38.3M	-20.4M
Net VEX	-818.4K	-891.1K	-781.5K	-809.8K	-808.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.29	2.38	0.66	1.99
Total Volume	18,221.826	5,596	132,842	9,718	8,566
Total OI	203,100.87	156,256	308,426	156,256	202,804

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
2017-08-01	$35.36	$35.00	28.3%	8.1%	20.8%	58.4%	27.4%	3.1%	-5.4%	-1.6M	38.3M	-809.8K	0.66	47.78	N/A	N/A	5,842	3,876	64,990	91,266
2017-08-02	$35.25	$35.00	29.6%	8.5%	20.6%	63.4%	29.6%	3.9%	-6.5%	-1.2M	40.0M	-814.3K	2.38	12.62	N/A	N/A	3,234	7,696	68,186	91,028
2017-08-03	$34.79	$33.75	29.4%	6.5%	20.9%	62.9%	23.2%	2.6%	-1.4%	-3.0M	66.3M	-801.7K	2.26	14.68	N/A	N/A	2,428	5,488	68,102	94,784
2017-08-04	$35.06	$33.75	31.0%	6.6%	21.1%	69.0%	23.2%	2.5%	-2.0%	-2.5M	55.0M	-820.2K	1.68	18.47	N/A	N/A	3,526	5,912	68,536	95,738
2017-08-07	$35.31	$33.75	34.3%	6.8%	19.0%	81.6%	23.4%	2.5%	-2.0%	-2.0M	42.7M	-817.5K	1.29	16.81	N/A	N/A	3,084	3,966	69,834	96,350
2017-08-08	$35.80	$33.75	35.8%	6.8%	19.5%	87.4%	23.7%	2.5%	-2.3%	-596.0K	15.3M	-838.7K	1.95	17.35	N/A	N/A	5,470	10,692	70,580	96,382
2017-08-09	$35.60	$35.00	28.0%	8.0%	19.7%	57.2%	27.7%	3.1%	-4.2%	-1.4M	28.1M	-845.7K	0.54	13.35	N/A	N/A	21,180	11,420	70,204	99,012
2017-08-10	$35.18	$35.00	29.9%	8.6%	19.8%	64.6%	29.9%	3.0%	-4.5%	-537.6K	31.2M	-883.4K	0.44	13.73	N/A	N/A	11,616	5,098	83,130	104,558
2017-08-11	$35.66	$35.00	28.4%	8.1%	20.4%	58.8%	28.8%	3.2%	-4.6%	1.0M	3.6M	-891.1K	1.28	15.02	N/A	N/A	4,652	5,956	86,796	104,756
2017-08-14	$34.69	$35.00	28.2%	8.1%	22.6%	58.3%	27.8%	3.0%	-3.8%	-842.5K	53.9M	-819.5K	0.59	20.11	N/A	N/A	83,456	49,386	87,436	105,394
2017-08-15	$35.14	$35.00	19.6%	5.6%	23.0%	24.9%	19.7%	2.8%	0.5%	-143.4K	38.9M	-820.4K	0.70	19.14	N/A	N/A	27,102	18,874	161,816	134,022
2017-08-16	$35.74	$35.00	17.6%	5.0%	23.7%	17.0%	18.0%	2.0%	0.8%	6.5M	-401.6K	-815.6K	0.81	17.11	N/A	N/A	8,248	6,660	174,724	133,702
2017-08-17	$35.16	$35.00	19.4%	5.5%	24.2%	23.8%	19.1%	2.4%	0.7%	-5.3M	41.8M	-781.5K	1.19	15.32	N/A	N/A	4,756	5,648	152,344	133,646
2017-08-18	$35.36	$35.00	19.6%	5.6%	23.9%	24.9%	18.4%	1.8%	0.4%	682.9K	10.8M	-782.1K	0.29	15.42	N/A	N/A	15,506	4,536	153,990	134,632
2017-08-21	$35.79	$35.00	17.7%	5.1%	21.4%	17.2%	17.7%	3.1%	0.6%	3.9M	11.1M	-808.6K	0.37	10.80	N/A	N/A	11,266	4,188	98,962	86,018
2017-08-22	$35.78	$35.00	18.0%	5.2%	19.6%	18.6%	17.4%	1.8%	0.6%	5.6M	179.3K	-820.5K	0.59	14.76	N/A	N/A	5,546	3,268	106,438	86,856
2017-08-23	$35.76	$35.00	17.8%	5.1%	19.5%	17.7%	18.5%	2.8%	0.2%	5.7M	4.1M	-817.4K	1.58	15.09	N/A	N/A	2,526	3,996	108,032	87,306
2017-08-24	$35.34	$35.00	18.8%	5.4%	19.2%	21.7%	18.1%	2.2%	0.6%	3.8M	23.4M	-805.1K	1.00	15.21	N/A	N/A	3,598	3,606	108,686	88,328
2017-08-25	$35.91	$35.00	17.7%	5.1%	19.9%	17.4%	17.1%	2.2%	0.9%	6.9M	-3.6M	-821.0K	0.80	11.69	N/A	N/A	4,708	3,772	109,002	88,722
2017-08-28	$35.84	$35.00	17.7%	5.1%	19.7%	17.6%	17.9%	1.6%	0.9%	7.0M	1.2M	-803.8K	1.52	11.21	N/A	N/A	2,328	3,542	111,384	88,734
2017-08-29	$35.69	$35.00	17.4%	5.0%	19.7%	16.1%	18.3%	2.8%	0.8%	6.0M	11.0M	-788.7K	1.48	9.82	N/A	N/A	2,942	4,346	112,230	88,710
2017-08-30	$35.99	$35.00	17.5%	5.0%	19.9%	16.7%	17.6%	1.7%	0.8%	8.4M	-8.9M	-806.9K	1.33	12.80	N/A	N/A	2,404	3,192	113,452	89,718
2017-08-31	$36.20	$35.00	17.7%	5.1%	19.2%	17.3%	17.6%	2.1%	0.4%	9.7M	-20.4M	-808.9K	1.99	16.67	N/A	N/A	2,868	5,698	113,382	89,422