TJX Options History — October 2017

In October 2017, TJX traded between $34.70 and $36.94. ATM implied volatility averaged 21.6%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.4% (HV 20d: 11.2%). Max pain ranged from $36.25 to $36.25. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.06.

Notable Days

  • 2017-10-13: Highest Volume — 23,582 contracts
  • 2017-10-11: Largest IV spike — 35.3% change
  • 2017-10-31: Highest IV Rank — 59.1%
  • 2017-10-31: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.99$34.70$36.94$36.67$34.90
Max Pain$36.25$36.25$36.25$36.25$36.25
ATM IV21.6%15.5%28.5%16.7%28.5%
Expected Move6.5%4.4%8.2%4.8%8.2%
HV 20d11.2%10.4%12.5%10.9%12.3%
HV 60d15.6%14.3%17.3%17.3%14.6%
IV Rank32.4%8.8%59.1%13.6%59.1%
IV Percentile62.6%6.3%94.0%25.8%94.0%
Term Structure-2.3%-6.3%5.4%5.2%-6.3%
VWIV23.0%15.4%29.4%16.0%29.4%
Skew 25d3.2%2.0%4.2%2.1%2.9%
Skew 10d5.5%1.2%7.2%5.5%1.2%
Call IV 25d21.5%15.3%27.2%15.9%27.2%
Put IV 25d24.6%17.4%30.4%18.0%30.1%
Bid-Ask Spread %16.016.1651.206.3744.87
Gamma HHI0.230.170.300.170.25
Net GEX-2.8M-5.3M922.5K-750.1K-5.3M
Net DEX43.6M2.0M79.1M13.1M70.0M
Net VEX-603.3K-647.8K-566.4K-638.5K-576.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.061.754.981.844.29
Total Volume10,917.7276,19623,58210,82410,748
Total OI159,594.273127,654188,584157,368136,850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$36.67$36.2516.7%4.8%10.9%13.6%16.0%2.1%5.2%-750.1K13.1M-638.5K1.846.37N/AN/A3,8167,00863,75093,618
2017-10-03$36.90$36.2515.5%4.4%11.1%8.8%16.5%2.5%5.4%662.3K3.2M-647.8K4.466.16N/AN/A1,5787,03865,87294,812
2017-10-04$36.79$36.2516.5%4.7%10.6%12.9%15.4%2.0%5.3%393.0K9.7M-638.7K3.727.59N/AN/A1,9527,25865,77495,016
2017-10-05$36.94$36.2515.6%6.0%10.6%9.2%21.0%2.8%-1.9%922.5K2.0M-631.4K4.988.18N/AN/A1,4087,00665,85295,352
2017-10-06$36.77$36.2516.0%6.2%10.4%10.7%21.5%3.6%-2.2%628.3K8.3M-622.2K4.577.27N/AN/A1,2525,72065,84695,350
2017-10-09$36.47$36.2516.7%6.4%10.7%13.4%23.3%2.9%-2.4%-420.4K22.2M-602.4K2.929.48N/AN/A2,2326,50865,80695,392
2017-10-10$36.12$36.2516.6%6.5%10.6%13.1%23.9%2.9%-2.9%-1.9M37.6M-593.2K2.069.02N/AN/A6,54613,50665,84095,538
2017-10-11$36.24$36.2522.4%6.4%10.7%35.8%23.0%3.3%-2.9%-1.7M33.5M-615.9K2.649.22N/AN/A2,5466,71069,888101,320
2017-10-12$35.88$36.2522.5%6.5%11.2%36.2%23.2%3.1%-3.1%-3.6M55.0M-605.1K2.8215.34N/AN/A2,4686,95670,782101,908
2017-10-13$36.05$36.2521.9%6.3%10.9%33.6%22.9%3.9%-2.6%-2.6M44.3M-597.6K1.8115.28N/AN/A8,38615,19670,884101,790
2017-10-16$35.58$36.2524.4%7.0%11.7%43.3%23.4%3.4%-4.4%-5.1M74.1M-595.3K2.1414.97N/AN/A4,0248,63076,510107,782
2017-10-17$35.91$36.2522.9%6.6%12.1%37.7%23.0%3.9%-3.2%-3.7M59.3M-608.8K1.7512.02N/AN/A3,9906,99077,526109,856
2017-10-18$35.64$36.2522.9%6.6%12.2%37.7%23.7%2.9%-4.0%-5.3M79.1M-597.7K3.9914.20N/AN/A1,5726,27677,520109,938
2017-10-19$35.67$36.2522.5%6.4%12.0%35.9%22.6%3.1%-3.2%-5.2M77.4M-585.0K2.7012.70N/AN/A2,3386,30877,568110,186
2017-10-20$36.02$36.2522.7%6.5%12.5%36.7%23.4%3.7%-3.8%-3.4M68.1M-586.4K1.768.31N/AN/A4,7928,45278,360110,224
2017-10-23$36.10$36.2523.9%6.9%10.4%41.6%25.0%3.1%-3.1%-3.2M32.3M-593.0K2.008.59N/AN/A3,7827,56046,23881,416
2017-10-24$35.85$36.2523.8%6.8%10.6%41.2%24.6%3.3%-3.2%-3.8M40.9M-600.4K3.0013.14N/AN/A1,7745,32048,40684,160
2017-10-25$35.71$36.2523.9%6.9%10.4%41.6%24.5%4.2%-3.2%-4.1M46.1M-594.3K2.3839.70N/AN/A2,1085,01848,85684,618
2017-10-26$35.77$36.2524.7%7.1%10.5%44.6%25.3%3.7%-3.8%-3.9M44.0M-596.4K3.609.84N/AN/A1,3464,85049,23085,224
2017-10-27$35.17$36.2525.6%7.3%11.7%48.0%25.6%2.4%-4.4%-5.2M63.4M-579.3K3.2428.81N/AN/A2,9649,60649,43285,752
2017-10-30$34.70$36.2528.2%8.1%12.4%58.2%28.8%3.5%-6.3%-5.3M75.9M-566.4K4.6251.20N/AN/A2,96413,68850,36884,664
2017-10-31$34.90$36.2528.5%8.2%12.3%59.1%29.4%2.9%-6.3%-5.3M70.0M-576.5K4.2944.87N/AN/A2,0328,71651,58485,266