TJX Options History — November 2017

In November 2017, TJX traded between $33.95 and $37.78. ATM implied volatility averaged 23.7%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.8% (HV 20d: 19.9%). Max pain ranged from $33.75 to $36.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-11-13: Highest Volume — 112,962 contracts
  • 2017-11-08: Largest IV drop — 35.7% change
  • 2017-11-07: Highest IV Rank — 100.0%
  • 2017-11-13: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.19$33.95$37.78$34.88$37.78
Max Pain$34.76$33.75$36.25$36.25$35.00
ATM IV23.7%18.0%40.2%28.4%19.1%
Expected Move6.2%5.2%8.8%8.2%5.5%
HV 20d19.9%12.4%26.0%12.4%26.0%
HV 60d15.4%13.3%18.0%14.3%17.9%
IV Rank39.3%17.7%100.0%59.0%21.8%
IV Percentile72.3%49.2%100.0%94.0%60.7%
Term Structure-1.4%-6.5%0.9%-6.5%-0.5%
VWIV21.6%17.5%30.1%28.5%18.8%
Skew 25d2.6%1.5%3.8%2.7%3.0%
Skew 10d5.2%0.9%7.3%0.9%4.5%
Call IV 25d20.5%16.2%28.8%27.4%17.9%
Put IV 25d23.1%18.7%32.6%30.1%20.9%
Bid-Ask Spread %16.489.3646.2546.2522.12
Gamma HHI0.280.160.400.260.19
Net GEX-103.3K-9.9M12.2M-5.3M12.2M
Net DEX17.7M-169.4M123.9M69.9M-169.4M
Net VEX-620.7K-754.2K-546.7K-564.2K-754.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.144.451.651.28
Total Volume25,356.8574,354112,9628,85817,714
Total OI185,646.952136,120283,868136,120201,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$34.88$36.2528.4%8.2%12.4%59.0%28.5%2.7%-6.5%-5.3M69.9M-564.2K1.6546.25N/AN/A3,3465,51251,80284,318
2017-11-02$35.12$35.0028.6%6.2%12.6%59.7%21.3%2.7%-1.8%-4.7M58.9M-569.0K1.6512.59N/AN/A2,7624,54853,51884,196
2017-11-03$34.27$35.0032.1%6.6%14.8%73.1%22.3%2.5%-1.7%-5.4M87.8M-546.7K2.1614.70N/AN/A6,56414,17854,08284,904
2017-11-06$34.10$35.0036.2%6.8%14.7%89.2%23.5%2.4%-2.5%-6.0M95.1M-553.0K0.5017.48N/AN/A13,6126,85058,19290,256
2017-11-07$34.16$33.7540.2%7.3%14.6%100.0%26.0%3.4%-3.1%-4.0M83.0M-581.6K1.8312.64N/AN/A3,4266,26269,39290,532
2017-11-08$33.99$33.7525.9%7.4%14.5%46.8%25.8%2.8%-3.1%-4.2M86.3M-592.1K4.4517.46N/AN/A3,11013,83870,17093,648
2017-11-09$34.63$33.7525.6%7.3%16.2%45.8%26.0%3.1%-3.3%-3.7M57.8M-631.9K0.759.36N/AN/A7,8005,82270,93697,520
2017-11-10$35.08$33.7526.8%7.7%16.9%50.3%26.3%3.7%-3.2%-2.4M35.2M-649.0K0.6816.81N/AN/A15,40210,54272,81497,974
2017-11-13$35.30$33.7530.8%8.8%16.5%65.1%30.1%3.8%-5.7%-876.6K9.8M-666.7K0.3918.80N/AN/A81,04231,92082,510103,014
2017-11-14$33.95$35.0020.0%5.7%20.9%25.1%20.5%2.5%-0.1%-9.9M123.9M-588.6K1.6314.77N/AN/A28,89247,022135,186122,370
2017-11-15$34.52$35.0018.4%5.3%21.9%19.3%18.6%2.2%0.1%-7.2M64.7M-674.7K0.7214.24N/AN/A7,6265,462141,400142,468
2017-11-16$34.55$35.0018.0%5.2%21.9%17.7%18.7%1.8%0.9%-8.1M74.1M-658.2K0.6617.40N/AN/A4,5022,962140,550141,678
2017-11-17$35.49$35.0018.0%5.2%23.9%17.7%18.1%1.5%0.5%2.3M-48.4M-642.3K0.479.71N/AN/A41,31419,550140,622141,790
2017-11-20$35.55$35.0018.0%5.2%23.9%17.8%17.5%2.1%0.8%4.5M-13.1M-617.8K0.4613.38N/AN/A11,0365,12075,37883,872
2017-11-21$35.63$35.0018.1%5.2%23.8%18.1%17.6%3.2%0.4%5.7M-18.8M-634.8K0.5611.07N/AN/A4,3082,42081,48885,198
2017-11-22$35.28$35.0018.1%5.2%24.0%18.2%17.8%1.8%0.2%4.1M1.9M-624.6K1.2316.01N/AN/A2,3522,88882,13885,422
2017-11-24$35.44$35.0018.5%5.3%24.0%19.6%19.0%2.4%0.0%4.9M-3.7M-631.0K1.3816.81N/AN/A1,8262,52882,57486,114
2017-11-27$35.48$35.0018.7%5.4%23.3%20.2%18.7%2.8%-0.2%5.2M-4.6M-599.4K0.7615.85N/AN/A3,4242,61882,43886,080
2017-11-28$36.37$35.0018.1%5.2%24.2%18.2%18.2%2.5%0.5%9.7M-58.6M-624.1K0.1414.86N/AN/A20,1102,89083,63486,514
2017-11-29$37.43$35.0019.1%5.5%26.0%21.9%19.6%2.3%-0.4%11.0M-159.7M-630.7K0.1913.76N/AN/A49,8569,53894,07486,620
2017-11-30$37.78$35.0019.1%5.5%26.0%21.8%18.8%3.0%-0.5%12.2M-169.4M-754.2K1.2822.12N/AN/A7,7589,956110,51290,688