TJX Options History — September 2019

In September 2019, TJX traded between $54.26 and $56.84. ATM implied volatility averaged 21.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 5.0% (HV 20d: 26.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2019-09-20: Highest Volume — 4,659 contracts
  • 2019-09-06: Largest IV drop — 12.9% change
  • 2019-09-03: Highest IV Rank — 21.6%
  • 2019-09-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.76$54.26$56.84$54.26$55.75
Max Pain$54.25$52.50$55.00$52.50$55.00
ATM IV21.2%19.0%23.4%23.4%21.9%
Expected Move6.1%5.4%6.7%6.7%6.3%
HV 20d26.2%19.6%33.9%33.9%20.7%
HV 60d25.5%24.7%26.1%24.8%26.0%
IV Rank19.2%16.9%21.6%21.6%20.0%
IV Percentile48.0%31.7%60.7%60.7%52.4%
Term Structure1.8%-0.2%3.5%0.1%0.3%
VWIV21.0%19.6%23.4%23.4%20.1%
Skew 25d3.5%2.6%4.3%4.3%3.6%
Skew 10d7.0%4.4%11.0%11.0%10.1%
Call IV 25d19.9%18.3%22.0%22.0%19.2%
Put IV 25d23.4%21.9%26.3%26.3%22.8%
Bid-Ask Spread %14.579.1522.9110.3010.64
Gamma HHI0.290.180.360.180.35
Net GEX3.9M1.3M6.9M1.3M3.8M
Net DEX-101.3M-130.1M-61.6M-61.6M-99.9M
Net VEX-746.2K-807.2K-691.7K-785.5K-807.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.181.281.010.21
Total Volume1,9033954,6591,470907
Total OI101,988.7589,592108,442102,11796,022

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$54.26$52.5023.4%6.7%33.9%21.6%23.4%4.3%0.1%1.3M-61.6M-785.5K1.0110.30N/AN/A73373744,86057,257
2019-09-04$54.45$52.5022.2%6.4%32.6%20.4%22.6%2.6%0.1%1.6M-66.3M-772.6K0.5412.79N/AN/A25613945,09357,849
2019-09-05$55.84$52.5023.2%6.5%33.7%21.4%21.9%3.8%2.0%3.4M-99.2M-748.7K0.4018.82N/AN/A2,47199345,15857,848
2019-09-06$56.26$52.5020.2%6.0%33.0%18.2%21.2%3.5%3.0%4.0M-110.6M-745.0K0.2719.38N/AN/A1,75046445,60657,622
2019-09-09$56.84$52.5021.4%6.1%32.9%19.4%21.7%4.1%2.5%4.7M-124.7M-719.0K0.1822.91N/AN/A2,45443345,99257,655
2019-09-10$56.64$52.5021.0%6.1%31.2%19.1%22.6%3.5%2.5%4.7M-122.9M-736.0K0.8214.52N/AN/A1,6301,33446,79957,903
2019-09-11$56.67$55.0020.1%5.8%29.9%18.0%20.0%3.9%3.5%5.0M-129.0M-726.7K0.6215.95N/AN/A1,9121,19047,88058,901
2019-09-12$56.83$55.0020.1%5.8%26.7%18.1%20.3%3.0%3.1%5.5M-130.1M-727.9K0.3815.12N/AN/A50719347,92258,935
2019-09-13$56.66$55.0019.7%5.6%24.5%17.6%19.7%3.2%3.2%5.6M-128.3M-713.8K0.2614.31N/AN/A1,15630548,06658,912
2019-09-16$55.49$55.0021.7%6.2%25.5%19.8%20.9%3.0%2.0%4.1M-99.1M-733.7K0.7712.49N/AN/A59846048,73058,950
2019-09-17$55.94$55.0022.2%6.4%25.5%20.3%20.9%3.9%1.5%4.9M-110.0M-728.2K0.3012.73N/AN/A64719348,89758,959
2019-09-18$56.27$55.0019.7%5.6%25.3%17.6%20.0%4.2%3.1%5.5M-117.5M-713.5K1.2814.54N/AN/A37548148,94059,085
2019-09-19$56.50$55.0019.0%5.4%22.7%16.9%20.2%3.7%3.4%4.0M-124.8M-691.7K0.3310.69N/AN/A69723149,02758,936
2019-09-20$54.75$55.0020.7%5.9%23.7%18.8%20.5%3.0%2.7%6.9M-76.8M-711.2K0.2914.92N/AN/A3,6181,04149,35159,091
2019-09-23$55.25$55.0019.8%5.7%20.8%17.7%20.1%3.1%0.6%2.7M-83.1M-726.7K0.1815.44N/AN/A2,51944243,31046,282
2019-09-24$55.31$55.0021.9%6.3%20.8%20.0%21.4%3.2%-0.2%2.9M-86.7M-764.2K0.3615.58N/AN/A2,19179945,34646,490
2019-09-25$55.50$55.0021.0%6.0%20.8%19.0%19.6%3.6%0.9%3.3M-92.3M-786.4K1.079.15N/AN/A57060846,41347,030
2019-09-26$55.34$55.0021.7%6.2%19.7%19.8%20.5%4.0%0.5%2.9M-88.7M-792.9K0.4514.57N/AN/A57626246,57147,520
2019-09-27$54.70$55.0022.3%6.4%19.6%20.4%21.9%3.2%0.7%2.2M-75.2M-792.5K0.3916.57N/AN/A1,57061846,89247,675
2019-09-30$55.75$55.0021.9%6.3%20.7%20.0%20.1%3.6%0.3%3.8M-99.9M-807.2K0.2110.64N/AN/A75215548,01648,006