TJX Options History — December 2017

In December 2017, TJX traded between $36.63 and $38.73. ATM implied volatility averaged 20.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.0% (HV 20d: 22.5%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.82.

Notable Days

  • 2017-12-07: Highest Volume — 34,700 contracts
  • 2017-12-11: Largest IV spike — 28.1% change
  • 2017-12-12: Highest IV Rank — 36.8%
  • 2017-12-19: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.65$36.63$38.73$37.68$38.27
Max Pain$37.13$35.00$37.50$35.00$37.50
ATM IV20.5%17.8%23.1%19.8%20.1%
Expected Move5.8%5.4%6.0%5.7%5.8%
HV 20d22.5%17.0%27.0%26.1%17.0%
HV 60d19.0%17.9%19.5%17.9%19.5%
IV Rank27.0%16.9%36.8%24.2%25.4%
IV Percentile67.6%44.0%82.9%65.5%62.7%
Term Structure0.5%-1.1%2.2%0.3%-0.6%
VWIV20.5%19.5%22.0%20.5%20.5%
Skew 25d2.4%1.8%3.1%1.8%2.4%
Skew 10d5.2%2.8%6.3%3.3%5.4%
Call IV 25d19.3%18.5%20.1%19.3%19.9%
Put IV 25d21.8%20.9%22.4%21.1%22.3%
Bid-Ask Spread %13.6510.0420.4119.8920.41
Gamma HHI0.270.190.350.190.34
Net GEX8.9M2.1M13.7M12.5M10.4M
Net DEX-94.0M-221.8M-12.3M-164.6M-100.0M
Net VEX-734.4K-784.6K-698.0K-754.0K-698.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.0812.800.391.45
Total Volume15,0336,46234,70012,2608,040
Total OI209,058.7174,540244,126199,364194,068

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$37.68$35.0019.8%5.7%26.1%24.2%20.5%1.8%0.3%12.5M-164.6M-754.0K0.3919.89N/AN/A8,8023,458111,33888,026
2017-12-04$38.48$36.2521.9%5.9%24.5%32.1%22.0%3.0%0.9%12.4M-221.8M-746.7K0.8013.42N/AN/A5,8644,682115,92489,308
2017-12-05$37.84$36.2520.6%5.7%25.6%27.5%19.9%2.6%1.4%13.7M-180.7M-747.8K4.9513.95N/AN/A3,15015,580116,54088,242
2017-12-06$37.57$36.2519.8%5.6%25.9%24.5%19.5%2.4%1.8%8.6M-146.4M-752.0K0.0811.13N/AN/A29,8082,462116,808100,154
2017-12-07$36.88$36.2520.8%5.8%27.0%28.2%21.1%1.9%1.0%10.0M-81.7M-779.1K12.8012.83N/AN/A2,51432,186122,330100,320
2017-12-08$36.91$37.5017.8%5.4%26.5%16.9%20.4%2.7%2.2%6.3M-40.1M-784.6K1.8312.06N/AN/A2,9185,352117,298119,748
2017-12-11$36.63$37.5022.8%5.7%26.5%35.4%19.8%2.8%1.8%5.8M-12.3M-732.2K1.1910.40N/AN/A3,0263,586117,436122,440
2017-12-12$36.80$37.5023.1%5.8%26.5%36.8%19.6%2.6%0.9%6.4M-29.9M-737.6K0.1414.29N/AN/A15,2722,132118,388123,112
2017-12-13$36.95$37.5019.2%5.5%21.6%22.3%19.8%1.8%1.7%5.1M-42.7M-726.4K0.8018.70N/AN/A4,3703,482112,528123,286
2017-12-14$36.74$37.5020.3%5.8%21.4%26.1%19.5%2.2%0.8%6.1M-13.1M-699.7K0.6014.50N/AN/A8,1564,920114,102123,886
2017-12-15$37.02$37.5019.7%5.7%21.4%24.1%21.4%2.8%1.2%2.1M-38.1M-725.8K5.0812.11N/AN/A5,09825,876118,366125,760
2017-12-18$37.72$37.5021.0%6.0%20.4%29.0%20.5%2.0%0.6%6.4M-70.0M-710.6K0.1313.89N/AN/A26,4463,48289,31285,228
2017-12-19$38.06$37.5021.1%6.0%20.5%29.0%21.2%2.9%-0.2%9.4M-99.2M-734.9K0.6912.46N/AN/A6,7164,61297,66085,812
2017-12-20$37.91$37.5020.8%6.0%20.7%28.1%20.5%2.5%-0.3%9.2M-91.3M-747.5K0.7712.79N/AN/A5,3064,082100,57287,360
2017-12-21$38.16$37.5019.5%5.6%20.1%23.4%20.3%2.4%0.0%10.3M-105.5M-739.1K0.6110.04N/AN/A8,8985,456101,13888,256
2017-12-22$38.12$37.5020.3%5.8%20.2%26.4%20.2%2.2%-0.3%9.4M-96.6M-755.8K0.8810.90N/AN/A4,6884,12699,55891,344
2017-12-26$38.73$37.5020.3%5.8%20.6%26.4%20.9%3.1%-0.9%12.4M-135.9M-709.5K0.6813.37N/AN/A5,6703,84899,62491,648
2017-12-27$38.47$37.5020.3%5.8%19.5%26.4%21.0%2.6%-0.6%11.1M-118.1M-706.2K1.7514.42N/AN/A3,6886,44699,15091,746
2017-12-28$38.14$37.5020.5%5.9%17.3%26.9%21.3%2.2%-1.1%9.5M-91.7M-699.3K0.7611.36N/AN/A3,6782,78499,48493,874
2017-12-29$38.27$37.5020.1%5.8%17.0%25.4%20.5%2.4%-0.6%10.4M-100.0M-698.0K1.4520.41N/AN/A3,2804,76099,93894,130