TJX Options History — January 2018

In January 2018, TJX traded between $37.68 and $40.47. ATM implied volatility averaged 20.5%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.1% (HV 20d: 18.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-01-30: Highest Volume — 38,010 contracts
  • 2018-01-08: Largest IV spike — 11.8% change
  • 2018-01-03: Highest IV Rank — 33.6%
  • 2018-01-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.95$37.68$40.47$38.34$40.20
Max Pain$38.69$37.50$40.00$37.50$40.00
ATM IV20.5%18.6%22.3%20.9%21.3%
Expected Move5.8%5.3%6.4%6.0%6.1%
HV 20d18.4%15.3%19.9%17.0%19.4%
HV 60d20.6%19.5%21.3%19.5%20.9%
IV Rank27.1%20.1%33.6%28.6%29.8%
IV Percentile64.4%49.6%76.6%71.8%71.8%
Term Structure2.7%-1.9%4.4%-1.3%4.4%
VWIV20.4%18.7%22.4%21.8%21.4%
Skew 25d2.6%1.5%3.1%3.0%3.1%
Skew 10d5.5%4.2%7.3%7.3%5.0%
Call IV 25d19.4%18.1%21.5%20.6%20.3%
Put IV 25d21.9%19.9%23.7%23.6%23.4%
Bid-Ask Spread %15.639.5921.449.5919.00
Gamma HHI0.350.210.700.340.21
Net GEX10.3M3.6M25.2M10.8M6.6M
Net DEX-110.6M-217.0M-47.5M-99.4M-117.2M
Net VEX-676.4K-797.7K-597.5K-673.1K-797.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.091.471.470.48
Total Volume14,687.1435,95838,0108,96214,524
Total OI172,483.81101,190220,862197,250133,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$38.34$37.5020.9%6.0%17.0%28.6%21.8%3.0%-1.3%10.8M-99.4M-673.1K1.479.59N/AN/A3,6325,33099,88097,370
2018-01-03$37.68$37.5022.3%6.4%16.4%33.6%22.2%2.8%-1.9%7.2M-51.2M-662.2K1.3212.73N/AN/A4,3305,710100,97897,912
2018-01-04$37.71$38.7521.6%5.8%15.3%31.0%20.7%2.9%1.8%8.1M-55.5M-662.1K0.5912.68N/AN/A3,7382,220103,80297,072
2018-01-05$38.56$38.7519.9%5.5%17.0%24.8%20.6%3.0%2.4%14.8M-119.3M-654.0K0.4717.83N/AN/A5,1902,422103,63097,376
2018-01-08$37.81$38.7522.3%5.8%17.1%33.5%19.8%3.1%2.0%9.3M-60.7M-615.5K0.6614.69N/AN/A6,1284,068103,84296,958
2018-01-09$37.77$38.7521.1%5.7%17.2%29.3%19.3%2.5%2.3%8.6M-47.5M-597.5K0.0914.43N/AN/A34,0102,946104,20897,884
2018-01-10$38.10$38.7519.8%5.7%17.1%24.5%19.1%2.4%2.5%15.4M-105.0M-674.4K0.4818.25N/AN/A6,7983,238118,13098,602
2018-01-11$38.45$38.7518.6%5.3%17.2%20.1%18.7%3.0%2.9%14.3M-120.3M-661.9K0.5921.44N/AN/A4,4902,664109,27298,680
2018-01-12$39.13$38.7519.1%5.5%18.0%21.9%18.7%1.5%3.2%20.7M-186.6M-636.6K0.1717.90N/AN/A15,1302,636109,68298,920
2018-01-16$38.33$38.7520.2%5.8%19.7%25.9%20.9%2.8%2.8%14.3M-115.0M-633.1K0.5213.33N/AN/A5,1022,644114,62899,340
2018-01-17$38.26$38.7520.1%5.8%19.6%25.6%20.8%2.6%3.0%13.3M-106.3M-616.8K1.2217.87N/AN/A4,3425,294115,12299,658
2018-01-18$38.62$38.7519.6%5.6%18.8%23.7%20.1%2.6%3.6%25.2M-143.1M-611.5K0.9920.17N/AN/A6,6686,610116,374101,908
2018-01-19$39.43$37.5019.6%5.6%19.9%23.5%19.7%2.6%3.5%3.6M-217.0M-600.3K0.2714.62N/AN/A21,6445,882115,202105,660
2018-01-22$39.73$38.7519.2%5.5%19.9%22.3%19.2%3.0%4.3%5.1M-98.8M-698.6K0.3718.77N/AN/A12,8004,76257,34443,846
2018-01-23$39.66$38.7520.0%5.7%19.9%25.3%20.9%2.5%3.0%6.7M-105.5M-729.4K0.8310.92N/AN/A6,5365,41264,92244,806
2018-01-24$39.61$38.7520.5%5.9%19.9%27.2%20.4%1.8%3.6%6.4M-103.9M-733.9K0.7117.97N/AN/A8,8346,30465,50445,796
2018-01-25$39.63$38.7519.9%5.7%19.2%24.7%19.9%2.7%4.0%6.3M-101.1M-742.5K0.5413.21N/AN/A8,0544,37466,51047,784
2018-01-26$40.18$38.7520.4%5.8%19.4%26.6%20.4%1.7%4.1%7.1M-122.1M-740.2K0.7013.64N/AN/A7,3565,12667,09648,228
2018-01-29$40.47$38.7522.1%6.3%19.1%32.8%22.1%2.4%3.0%6.9M-129.3M-727.0K0.7113.81N/AN/A7,8625,61067,49249,214
2018-01-30$40.22$40.0022.3%6.4%19.3%33.6%22.4%2.3%3.9%6.5M-117.6M-735.7K0.5715.33N/AN/A24,27013,74068,01050,308
2018-01-31$40.20$40.0021.3%6.1%19.4%29.8%21.4%3.1%4.4%6.6M-117.2M-797.7K0.4819.00N/AN/A9,8344,69073,91259,298