TJX Options History — November 2018

In November 2018, TJX traded between $45.78 and $55.68. ATM implied volatility averaged 32.7%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 9.1% (HV 20d: 23.7%). Max pain ranged from $50.00 to $105.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2018-11-30: Highest Volume — 37,347 contracts
  • 2018-11-14: Largest IV spike — 868.1% change
  • 2018-11-07: Highest IV Rank — 100.0%
  • 2018-11-12: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.20$45.78$55.68$55.11$48.90
Max Pain$55.00$50.00$105.00$55.00$50.00
ATM IV32.7%3.1%97.0%24.0%29.3%
Expected Move9.1%6.9%17.1%6.9%8.4%
HV 20d23.7%19.0%33.4%20.1%33.4%
HV 60d19.3%16.2%23.5%18.5%23.5%
IV Rank33.2%0.0%100.0%35.8%27.9%
IV Percentile86.7%0.0%100.0%84.1%91.7%
Term Structure-1.5%-29.0%9.6%1.8%-0.4%
VWIV24.0%3.7%42.2%24.5%29.6%
Skew 25d11.4%2.8%40.8%3.6%3.4%
Skew 10d15.1%4.6%51.6%11.0%6.7%
Call IV 25d22.9%5.5%40.6%22.2%28.3%
Put IV 25d34.3%25.8%62.6%25.8%31.6%
Bid-Ask Spread %13.917.4121.048.2521.04
Gamma HHI0.260.080.820.340.17
Net GEX2.5M-7.5M19.8M6.4M2.5M
Net DEX-61.5M-275.3M53.0M-168.0M-35.7M
Net VEX-1.0499083629305476e+21B-2.2048075621541496e+22B-387.3K-741.7K-889.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.294.370.790.29
Total Volume17,603.7624,12637,3474,12637,347
Total OI153,106.14366,688203,000124,572148,953

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$55.11$55.0024.0%6.9%20.1%35.8%24.5%3.6%1.8%6.4M-168.0M-741.7K0.798.25N/AN/A2,3101,81667,71256,860
2018-11-02$54.83$55.0024.8%7.1%20.2%38.9%25.1%2.8%2.1%5.7M-157.1M-749.7K0.5517.17N/AN/A6,5603,61668,28256,964
2018-11-05$55.12$55.0025.9%7.6%20.0%43.3%26.6%4.0%-2.1%7.4M-175.7M-754.2K0.4316.45N/AN/A5,0382,15671,79458,784
2018-11-06$54.66$52.5023.9%7.4%20.2%35.3%26.2%3.4%-1.7%7.6M-164.0M-783.2K0.6415.41N/AN/A3,2062,06074,03659,330
2018-11-07$55.41$105.0097.0%9.2%19.4%100.0%42.2%40.8%-0.1%55.0K53.0M-415.4K4.379.16N/AN/A3,62215,83337,31929,369
2018-11-08$55.52$55.0021.5%8.3%19.2%8.0%4.6%29.3%-1.5%9.1M-211.1M-535.6K3.4716.92N/AN/A4,29114,875109,96290,930
2018-11-09$55.68$55.0061.6%15.1%19.0%56.8%5.7%26.2%2.1%1.4M-161.6M-2.2048075621541496e+22B2.6116.34N/AN/A6,38216,634111,11890,904
2018-11-12$54.74$55.0043.5%17.1%19.4%34.9%3.7%22.1%-0.4%771.7K-275.3M-1.2M2.8815.74N/AN/A5,06814,575111,38590,038
2018-11-13$53.83$55.003.1%9.3%19.6%0.0%7.4%40.0%-1.4%19.8M-116.0M-387.3K3.8313.56N/AN/A3,85814,787112,92790,073
2018-11-14$52.79$55.0030.3%8.7%20.3%28.9%29.3%2.8%-29.0%-1.7M-79.3M-502.3K3.8414.49N/AN/A3,90915,010111,31490,116
2018-11-15$52.30$55.0043.5%12.5%20.3%43.0%26.6%25.0%9.6%-7.5M-2.1M-699.9K3.4515.91N/AN/A4,28014,786111,76789,911
2018-11-16$51.40$52.5029.9%8.6%19.7%28.5%30.3%3.4%-3.2%2.4M-10.1M-900.9K1.3714.64N/AN/A10,36514,20783,99967,337
2018-11-19$48.83$50.0036.8%10.5%25.2%35.8%37.4%4.9%-3.9%1.9M-27.2M-904.5K1.8113.33N/AN/A12,01221,79370,59556,076
2018-11-20$46.79$50.0030.9%8.8%28.1%29.5%31.6%3.8%0.4%-97.2K28.0M-844.1K1.7411.64N/AN/A8,01713,94475,00062,521
2018-11-21$46.25$50.0027.4%7.9%27.7%25.9%25.8%3.4%-0.2%-723.0K41.7M-813.7K1.5310.10N/AN/A7,60111,59475,28065,112
2018-11-23$45.86$50.0028.3%8.1%27.7%26.8%27.4%4.6%-1.1%-999.7K50.2M-791.7K1.7512.95N/AN/A5,84110,23975,18465,246
2018-11-26$46.07$50.0027.9%8.0%28.1%26.4%25.3%3.2%-1.1%-1.2M47.8M-756.7K1.197.41N/AN/A8,2559,79075,28664,987
2018-11-27$45.78$50.0026.5%7.6%27.2%24.9%24.6%4.3%-1.3%-825.7K52.8M-732.3K2.8711.74N/AN/A2,7948,01280,60064,724
2018-11-28$47.81$50.0024.7%7.1%31.1%22.9%24.5%4.8%0.2%790.2K7.4M-810.8K2.8911.49N/AN/A3,1639,14780,89564,914
2018-11-29$47.52$50.0026.3%7.5%30.9%24.6%25.8%2.8%-0.2%598.6K10.0M-809.8K2.3518.35N/AN/A3,2547,63281,67565,950
2018-11-30$48.90$50.0029.3%8.4%33.4%27.9%29.6%3.4%-0.4%2.5M-35.7M-889.6K0.2921.04N/AN/A29,0568,29182,89066,063