TJX Options History — September 2018

In September 2018, TJX traded between $53.99 and $56.03. ATM implied volatility averaged 17.7%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.4% (HV 20d: 17.3%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-09-20: Highest Volume — 29,238 contracts
  • 2018-09-20: Largest IV drop — 6.7% change
  • 2018-09-19: Highest IV Rank — 14.9%
  • 2018-09-11: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.10$53.99$56.03$55.60$55.97
Max Pain$48.55$47.50$50.00$50.00$48.75
ATM IV17.7%16.9%18.7%17.6%17.4%
Expected Move5.1%4.8%5.4%5.1%5.0%
HV 20d17.3%11.1%22.1%21.3%11.9%
HV 60d15.8%15.6%16.0%15.7%15.7%
IV Rank11.0%7.9%14.9%10.7%9.7%
IV Percentile17.4%8.3%31.7%17.1%10.7%
Term Structure1.5%0.0%2.7%0.0%1.1%
VWIV17.9%16.8%19.1%17.6%17.2%
Skew 25d2.3%1.4%2.9%2.2%2.8%
Skew 10d5.2%3.0%7.7%5.6%4.1%
Call IV 25d17.0%15.5%18.3%16.6%15.5%
Put IV 25d19.3%18.2%20.1%18.8%18.3%
Bid-Ask Spread %9.725.0516.706.545.05
Gamma HHI0.390.290.810.350.39
Net GEX17.9M12.8M43.4M12.8M15.2M
Net DEX-469.0M-533.1M-372.7M-500.3M-430.0M
Net VEX-724.1K-812.5K-641.7K-641.7K-742.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.131.200.490.86
Total Volume9,989.6844,01629,2389,0145,526
Total OI192,226174,976233,866180,926178,634

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$55.60$50.0017.6%5.1%21.3%10.7%17.6%2.2%0.0%12.8M-500.3M-641.7K0.496.54N/AN/A6,0462,968111,71069,216
2018-09-05$55.60$50.0018.2%5.2%21.4%12.8%17.6%2.4%0.2%12.9M-502.0M-664.4K0.457.63N/AN/A3,8361,722113,59270,206
2018-09-06$55.45$47.5017.9%5.3%21.5%11.6%18.8%2.8%1.9%13.5M-497.1M-662.1K1.2011.01N/AN/A2,6203,142114,02470,346
2018-09-07$54.98$47.5017.6%5.2%22.0%10.4%18.3%2.6%2.2%14.7M-476.3M-681.4K0.6412.72N/AN/A6,4224,114114,24670,972
2018-09-10$55.50$47.5017.8%5.3%22.1%11.2%19.0%2.9%1.4%13.7M-509.2M-694.7K0.8910.89N/AN/A2,1281,888118,77072,998
2018-09-11$55.23$47.5017.7%5.4%21.7%10.8%19.1%2.5%1.1%13.9M-495.6M-693.1K0.499.45N/AN/A5,0902,500118,07673,092
2018-09-12$55.02$47.5017.7%5.1%21.5%11.1%17.5%2.7%1.8%16.6M-492.9M-697.3K0.9515.82N/AN/A3,5363,352121,40674,032
2018-09-13$54.54$48.7517.2%4.9%20.2%9.0%17.1%2.4%2.7%18.0M-464.2M-724.5K0.6111.51N/AN/A3,6502,242122,11675,036
2018-09-14$54.35$48.7517.3%5.0%20.4%9.5%17.7%2.5%2.5%19.0M-451.9M-735.9K0.939.01N/AN/A3,0782,854123,34075,190
2018-09-17$53.99$48.7517.8%5.1%20.8%11.4%18.2%2.2%2.3%19.4M-433.3M-721.5K0.6016.70N/AN/A4,3842,618123,92475,524
2018-09-18$54.65$48.7518.5%5.3%20.7%14.1%18.7%1.6%1.9%19.4M-480.8M-693.3K0.1313.37N/AN/A23,2442,908125,39675,722
2018-09-19$54.63$48.7518.7%5.4%12.8%14.9%18.6%1.9%1.9%23.5M-509.6M-746.2K0.6413.05N/AN/A5,1643,286136,49076,340
2018-09-20$54.79$48.7517.4%5.0%12.4%9.9%17.8%2.0%2.4%25.1M-515.2M-718.7K0.476.63N/AN/A19,9409,298134,97077,650
2018-09-21$54.73$48.7516.9%4.8%11.5%7.9%17.1%1.4%2.7%43.4M-533.1M-812.5K0.155.75N/AN/A20,5403,012150,12483,742
2018-09-24$54.86$48.7517.7%5.1%11.3%10.9%17.8%1.8%0.6%13.8M-372.7M-807.7K0.506.09N/AN/A4,4542,236111,55263,424
2018-09-25$55.20$48.7517.7%5.1%11.1%11.0%17.8%2.4%0.4%14.5M-386.7M-799.8K0.826.66N/AN/A2,7122,228111,80864,094
2018-09-26$56.03$48.7517.8%5.1%12.1%11.1%16.9%2.2%0.5%15.4M-433.8M-766.8K0.288.16N/AN/A9,1042,510112,11464,716
2018-09-27$55.84$48.7517.8%5.1%11.9%11.4%16.8%2.3%0.4%14.7M-425.7M-753.9K0.708.69N/AN/A3,2102,242112,25665,446
2018-09-28$55.97$48.7517.4%5.0%11.9%9.7%17.2%2.8%1.1%15.2M-430.0M-742.0K0.865.05N/AN/A2,9682,558112,57866,056