TJX Options History — March 2018

In March 2018, TJX traded between $39.98 and $42.17. 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 8.0% (HV 20d: 28.5%). Max pain ranged from $38.75 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2018-03-14: Highest Volume — 37,156 contracts
  • 2018-03-14: Largest IV drop — 13.5% change
  • 2018-03-01: Highest IV Rank — 38.2%
  • 2018-03-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.05$39.98$42.17$41.53$40.81
Max Pain$39.40$38.75$40.00$38.75$40.00
ATM IV20.5%17.6%23.5%23.5%19.4%
Expected Move5.8%5.1%6.7%6.7%5.5%
HV 20d28.5%14.7%32.5%32.5%15.3%
HV 60d22.9%22.5%23.5%23.5%23.2%
IV Rank27.0%16.3%38.2%38.2%22.7%
IV Percentile54.9%28.6%77.8%77.8%42.1%
Term Structure0.4%-1.0%1.5%-1.0%0.3%
VWIV21.1%18.2%25.5%25.5%20.8%
Skew 25d3.0%2.3%4.1%2.8%2.7%
Skew 10d6.7%5.1%8.4%5.9%7.1%
Call IV 25d19.1%17.0%22.8%22.8%19.3%
Put IV 25d22.2%19.8%25.6%25.6%22.0%
Bid-Ask Spread %17.5813.4427.1417.2017.67
Gamma HHI0.230.160.350.220.17
Net GEX12.1M-2.9M28.0M20.4M339.5K
Net DEX-181.2M-356.9M-16.4M-309.5M-59.7M
Net VEX-771.4K-888.2K-708.0K-888.2K-762.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.244.000.580.54
Total Volume12,286.4765,05437,15624,4027,982
Total OI205,636.381134,936278,778246,164148,884

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$41.53$38.7523.5%6.7%32.5%38.2%25.5%2.8%-1.0%20.4M-309.5M-888.2K0.5817.20N/AN/A15,4288,974131,178114,986
2018-03-02$41.94$38.7521.9%6.3%32.5%32.3%24.4%4.1%-0.6%20.0M-329.8M-847.1K0.7114.95N/AN/A4,1502,964132,152111,262
2018-03-05$41.94$38.7521.8%5.9%31.3%31.9%22.4%3.6%1.5%22.3M-337.8M-786.5K0.6515.32N/AN/A7,2584,694131,876111,254
2018-03-06$42.17$38.7521.6%5.8%29.8%31.2%22.4%3.3%1.4%22.6M-356.9M-759.9K0.7019.52N/AN/A6,2184,324132,442111,958
2018-03-07$41.41$38.7522.3%6.1%30.6%33.6%20.9%3.2%-0.3%23.8M-300.6M-758.4K0.9913.44N/AN/A7,2947,204131,314111,490
2018-03-08$41.25$38.7520.4%5.7%30.7%26.8%19.9%3.2%0.1%26.0M-289.7M-767.7K0.3218.31N/AN/A13,9544,470134,438114,208
2018-03-09$41.29$38.7518.6%5.5%29.5%20.0%19.4%3.3%0.4%28.0M-285.6M-759.0K0.2413.94N/AN/A17,8964,368135,228114,658
2018-03-12$41.30$38.7520.6%5.4%29.4%27.2%23.1%3.3%0.7%26.4M-285.6M-716.0K1.8422.89N/AN/A3,2986,058130,242115,526
2018-03-13$41.12$38.7522.4%5.6%29.5%33.9%20.4%2.7%0.1%27.3M-263.5M-713.5K0.8613.92N/AN/A4,1943,618130,664119,000
2018-03-14$40.88$38.7519.3%5.5%29.7%22.7%21.4%3.1%0.4%27.1M-240.7M-708.0K4.0023.47N/AN/A7,42829,728131,312119,366
2018-03-15$40.69$40.0018.9%5.4%29.7%21.1%19.5%2.7%0.6%19.3M-186.7M-800.9K1.5227.14N/AN/A3,7565,720130,616145,524
2018-03-16$40.84$40.0017.6%5.1%29.3%16.3%18.9%2.9%1.2%-1.9M-194.1M-761.9K0.6015.08N/AN/A7,0164,220131,008147,770
2018-03-19$40.74$40.0018.7%5.4%29.4%20.3%19.1%2.9%1.1%-1.8M-44.1M-763.1K0.4415.90N/AN/A9,1564,06654,60280,334
2018-03-20$40.94$40.0018.3%5.2%28.3%18.7%20.3%2.9%0.6%-431.3K-56.0M-762.1K1.4313.81N/AN/A3,7985,42060,81480,336
2018-03-21$41.41$40.0018.7%5.4%28.1%20.4%18.2%2.3%0.3%1.3M-84.1M-740.6K0.7423.62N/AN/A4,7103,50661,70680,710
2018-03-22$40.53$40.0020.8%5.9%29.5%27.9%20.4%2.6%0.4%-1.2M-41.7M-788.2K1.0817.40N/AN/A2,4342,62062,85880,866
2018-03-23$39.98$40.0020.9%6.0%29.4%28.4%22.1%3.1%0.5%-2.9M-16.4M-786.2K0.7218.26N/AN/A5,8044,16662,68480,972
2018-03-26$40.58$40.0020.9%6.0%29.6%28.6%20.8%3.1%-0.1%-685.6K-48.8M-762.0K0.5014.63N/AN/A5,3142,67465,00680,996
2018-03-27$40.25$40.0021.4%6.1%29.2%30.2%20.6%3.4%0.0%-1.4M-33.9M-779.4K1.0417.15N/AN/A2,5442,65667,62281,384
2018-03-28$40.40$40.0022.3%6.4%14.7%33.5%22.4%2.8%-0.1%-892.3K-40.7M-787.3K1.0415.63N/AN/A3,3943,54067,57681,542
2018-03-29$40.81$40.0019.4%5.5%15.3%22.7%20.8%2.7%0.3%339.5K-59.7M-762.9K0.5417.67N/AN/A5,1682,81467,49481,390