TJX Options History — December 2018

In December 2018, TJX traded between $41.90 and $48.29. ATM implied volatility averaged 30.7%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.8% (HV 20d: 32.5%). Max pain ranged from $46.25 to $50.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-12-21: Highest Volume — 11,478 contracts
  • 2018-12-12: Largest IV drop — 12.7% change
  • 2018-12-10: Highest IV Rank — 33.8%
  • 2018-12-27: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.86$41.90$48.29$48.29$44.65
Max Pain$47.63$46.25$50.00$50.00$46.25
ATM IV30.7%26.9%34.9%27.3%31.3%
Expected Move8.7%7.7%9.8%7.8%9.0%
HV 20d32.5%28.6%35.5%33.5%28.6%
HV 60d25.4%23.6%27.7%23.6%27.7%
IV Rank29.3%25.4%33.8%25.8%30.0%
IV Percentile92.7%85.7%96.8%88.9%92.5%
Term Structure-1.7%-3.7%0.2%-0.2%-2.1%
VWIV29.7%26.5%33.9%27.2%31.2%
Skew 25d3.5%1.2%5.1%1.2%3.5%
Skew 10d6.7%0.0%10.2%0.0%8.1%
Call IV 25d29.0%26.1%33.2%26.9%30.6%
Put IV 25d32.5%28.1%36.6%28.1%34.1%
Bid-Ask Spread %17.9110.2123.6911.4018.29
Gamma HHI0.220.120.310.290.16
Net GEX1.4M-1.5M4.4M4.4M2.7M
Net DEX34.8M-48.2M103.4M-48.2M12.8M
Net VEX-776.8K-945.1K-602.1K-945.1K-696.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.242.210.290.48
Total Volume4,795.91,18811,4785,3201,188
Total OI166,656.4141,190179,771163,111143,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$48.29$50.0027.3%7.8%33.5%25.8%27.2%1.2%-0.2%4.4M-48.2M-945.1K0.2911.40N/AN/A4,1221,19898,03065,081
2018-12-04$47.29$50.0027.8%8.0%33.5%26.2%27.7%3.8%0.2%3.5M-16.4M-879.7K0.2413.16N/AN/A4,5661,074101,21665,768
2018-12-05$47.17$50.0029.2%8.4%33.6%27.8%28.7%2.6%-1.0%3.2M-11.0M-900.5K0.2414.83N/AN/A4,6161,093101,21665,768
2018-12-06$46.55$48.7531.1%8.9%32.7%29.8%30.5%3.1%-2.8%2.5M6.8M-909.7K0.2518.18N/AN/A7,8561,939103,47966,251
2018-12-07$45.20$47.5032.3%8.9%33.2%31.0%30.6%2.4%-2.3%1.6M37.6M-873.2K0.5019.99N/AN/A4,1582,059107,90466,950
2018-12-10$46.25$47.5034.9%9.1%35.0%33.8%30.8%3.2%-3.3%3.0M3.5M-913.9K0.8315.62N/AN/A1,7601,456109,93166,725
2018-12-11$45.77$47.5031.8%8.6%34.9%30.6%29.2%2.6%-1.9%2.0M25.3M-873.5K0.4816.75N/AN/A3,8231,847110,43967,733
2018-12-12$46.24$47.5027.8%8.0%35.4%26.3%27.2%2.7%-1.1%2.3M16.7M-867.7K1.2121.98N/AN/A2,3212,818110,94368,306
2018-12-13$45.80$47.5026.9%7.7%35.1%25.4%26.5%2.9%-0.5%1.6M32.8M-816.5K0.6017.95N/AN/A1,631982111,52567,535
2018-12-14$45.12$47.5028.1%8.1%35.2%26.6%27.3%3.4%-0.4%1.2M40.5M-794.0K1.9010.21N/AN/A3,5456,733111,90966,246
2018-12-17$44.12$47.5030.8%8.8%35.5%29.4%29.1%3.5%-3.7%-889.8K70.9M-737.7K0.6117.35N/AN/A1,267774111,29468,153
2018-12-18$44.30$47.5030.6%8.8%31.7%29.2%29.4%5.1%-3.3%-1.3M71.4M-725.2K0.5518.76N/AN/A1,270696111,40268,369
2018-12-19$43.57$47.5030.0%8.6%28.8%28.6%29.1%4.9%-0.9%-1.5M88.4M-687.2K2.2120.88N/AN/A1,1492,541111,32068,226
2018-12-20$42.23$47.5030.9%8.8%30.3%29.5%30.2%4.0%-2.0%-436.0K97.6M-628.5K2.0222.22N/AN/A1,0412,104111,18264,331
2018-12-21$41.98$47.5030.5%8.7%30.3%29.2%28.8%4.5%-1.8%-323.9K103.4M-602.1K0.2820.18N/AN/A8,9732,505111,07563,789
2018-12-24$41.90$46.2532.2%9.2%30.1%30.9%31.5%4.6%-1.8%429.8K64.6M-621.0K0.9823.69N/AN/A91089286,70254,736
2018-12-26$43.59$46.2533.7%9.7%34.0%32.5%32.8%4.8%-2.9%1.6M33.3M-696.3K0.3718.68N/AN/A3,0811,14786,87554,315
2018-12-27$43.58$46.2534.1%9.8%29.4%33.0%33.9%3.4%-1.6%1.5M33.8M-686.1K0.4520.83N/AN/A2,8331,26686,93154,643
2018-12-28$43.66$46.2532.5%9.3%29.4%31.3%31.9%3.7%-1.3%1.7M31.6M-680.9K0.5117.33N/AN/A1,78290288,56354,696
2018-12-31$44.65$46.2531.3%9.0%28.6%30.0%31.2%3.5%-2.1%2.7M12.8M-696.6K0.4818.29N/AN/A80138788,59654,975