TJX Options History — September 2017

In September 2017, TJX traded between $36.13 and $37.08. ATM implied volatility averaged 17.1%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.4% (HV 20d: 13.7%). Max pain ranged from $35.00 to $36.25. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.79.

Notable Days

  • 2017-09-18: Highest Volume — 12,392 contracts
  • 2017-09-11: Largest IV spike — 16.5% change
  • 2017-09-12: Highest IV Rank — 26.7%
  • 2017-09-06: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.58$36.13$37.08$36.17$36.83
Max Pain$36.19$35.00$36.25$35.00$36.25
ATM IV17.1%15.6%20.1%17.6%17.0%
Expected Move4.9%4.5%5.3%5.0%4.9%
HV 20d13.7%10.7%19.1%19.1%10.8%
HV 60d18.3%17.3%19.2%19.2%17.3%
IV Rank15.2%9.2%26.7%17.0%14.8%
IV Percentile30.9%7.1%66.7%42.9%31.0%
Term Structure3.9%0.3%5.3%0.3%4.0%
VWIV17.3%15.2%19.2%17.0%17.3%
Skew 25d2.5%1.6%3.0%1.6%2.0%
Skew 10d5.4%4.0%7.5%5.8%4.3%
Call IV 25d16.1%14.6%17.5%16.9%15.0%
Put IV 25d18.6%17.0%20.4%18.4%17.0%
Bid-Ask Spread %10.175.9514.5311.7310.46
Gamma HHI0.230.140.360.280.18
Net GEX4.6M-2.4M16.4M9.1M-483.5K
Net DEX-6.6M-49.7M34.2M-14.3M6.9M
Net VEX-711.9K-805.9K-654.9K-800.8K-654.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.791.045.521.594.37
Total Volume8,607.96,10012,3926,5528,546
Total OI182,992.4149,716214,272205,570157,858

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$36.17$35.0017.6%5.0%19.1%17.0%17.0%1.6%0.3%9.1M-14.3M-800.8K1.5911.73N/AN/A2,5284,024113,70691,864
2017-09-05$36.13$36.2518.7%5.3%19.0%21.3%18.7%2.9%2.9%8.3M-7.0M-772.2K3.9214.53N/AN/A1,8707,334113,54692,330
2017-09-06$36.51$36.2517.4%5.3%18.8%16.4%18.0%2.1%2.8%12.2M-29.4M-805.9K1.1011.95N/AN/A3,8624,238113,70095,862
2017-09-07$36.45$36.2517.5%5.3%18.7%16.7%19.1%2.8%2.9%11.9M-26.0M-788.6K2.6912.68N/AN/A1,6524,448114,37895,982
2017-09-08$36.20$36.2516.2%5.3%18.3%11.5%18.0%2.9%2.6%8.8M-4.7M-766.1K2.2912.49N/AN/A2,0004,580114,76296,078
2017-09-11$36.41$36.2518.9%5.2%17.8%21.9%18.4%2.7%3.6%11.6M-20.9M-737.3K1.637.84N/AN/A2,9684,846115,26895,994
2017-09-12$36.76$36.2520.1%5.1%14.4%26.7%17.1%2.8%4.8%16.4M-49.7M-735.9K1.0411.69N/AN/A5,3625,560115,40296,630
2017-09-13$36.73$36.2517.4%5.0%13.9%16.2%17.0%2.8%4.2%16.1M-47.1M-720.4K1.9011.76N/AN/A2,3044,384115,88097,752
2017-09-14$36.59$36.2517.4%5.0%12.9%16.4%16.8%2.4%4.0%10.4M-29.0M-711.3K3.539.85N/AN/A1,9506,888116,14698,126
2017-09-15$36.86$36.2517.5%5.0%11.2%16.7%16.6%2.9%4.1%-710.5K-47.7M-686.7K2.509.27N/AN/A2,8607,140116,30296,888
2017-09-18$36.69$36.2516.7%4.8%11.4%13.6%16.9%2.7%4.5%-871.7K11.9M-670.0K5.528.20N/AN/A1,90010,49259,57890,138
2017-09-19$36.43$36.2516.4%4.7%11.1%12.4%16.0%2.1%4.7%-1.9M22.9M-674.2K3.447.12N/AN/A1,8126,22660,06893,452
2017-09-20$36.20$36.2516.4%4.7%11.4%12.4%16.5%1.8%4.8%-2.4M34.2M-678.5K2.7311.44N/AN/A2,2586,17060,33493,618
2017-09-21$36.39$36.2516.7%4.8%11.5%13.4%15.7%2.2%4.4%-2.0M24.8M-683.1K2.107.26N/AN/A2,6845,64261,01093,900
2017-09-22$36.27$36.2516.0%4.6%10.7%10.9%15.2%2.8%4.8%-2.3M30.8M-676.6K2.045.95N/AN/A2,9666,06461,60494,226
2017-09-25$36.95$36.2516.4%4.7%11.2%12.5%19.2%2.9%4.8%-967.1K7.8M-679.0K2.9611.22N/AN/A3,0569,05661,85495,090
2017-09-26$36.91$36.2516.5%4.7%11.1%12.9%17.4%3.0%4.4%-680.9K5.4M-674.6K2.8311.75N/AN/A2,3346,59462,25894,292
2017-09-27$37.08$36.2516.1%4.6%11.0%11.2%16.7%2.2%4.8%-181.1K-1.4M-663.2K3.148.42N/AN/A1,9025,97062,91893,740
2017-09-28$36.95$36.2515.6%4.5%10.8%9.2%17.5%2.6%5.3%-217.4K1.1M-658.2K4.517.78N/AN/A1,3966,29263,35893,956
2017-09-29$36.83$36.2517.0%4.9%10.8%14.8%17.3%2.0%4.0%-483.5K6.9M-654.9K4.3710.46N/AN/A1,5926,95463,38294,476