TJX Options History — November 2019

In November 2019, TJX traded between $57.95 and $61.08. ATM implied volatility averaged 20.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.8% (HV 20d: 17.2%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2019-11-19: Highest Volume — 29,695 contracts
  • 2019-11-13: Largest IV spike — 57.4% change
  • 2019-11-13: Highest IV Rank — 57.7%
  • 2019-11-18: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.33$57.95$61.08$57.95$61.08
Max Pain$58.38$57.50$60.00$60.00$60.00
ATM IV20.0%15.8%27.5%20.5%19.0%
Expected Move6.4%5.1%7.9%5.9%5.4%
HV 20d17.2%14.8%20.0%19.9%15.5%
HV 60d21.4%19.0%25.2%25.2%19.0%
IV Rank24.4%13.5%57.7%18.5%18.9%
IV Percentile33.9%2.0%83.3%40.1%30.2%
Term Structure-0.7%-4.1%3.7%3.7%0.7%
VWIV22.2%17.3%27.5%19.3%18.0%
Skew 25d2.6%1.4%4.4%2.5%1.9%
Skew 10d5.6%1.2%9.0%8.0%3.5%
Call IV 25d21.0%16.8%26.5%18.8%17.6%
Put IV 25d23.6%19.0%28.4%21.3%19.5%
Bid-Ask Spread %11.806.3618.4311.389.50
Gamma HHI0.250.200.470.220.34
Net GEX4.6M672.0K10.2M3.5M7.5M
Net DEX-124.1M-176.0M-89.4M-107.9M-176.0M
Net VEX-822.7K-884.2K-795.1K-795.1K-815.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.052.151.240.13
Total Volume5,526.3555929,6953,6442,111
Total OI107,013.8593,917120,51895,921120,518

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$57.95$60.0020.5%5.9%19.9%18.5%19.3%2.5%3.7%3.5M-107.9M-795.1K1.2411.38N/AN/A1,6272,01753,09442,827
2019-11-04$58.57$57.5021.4%7.2%20.0%19.5%24.5%3.2%-1.4%3.9M-118.1M-795.4K2.1518.43N/AN/A9982,14753,33444,218
2019-11-05$59.09$57.5019.2%6.8%19.9%17.1%26.3%4.4%-1.2%4.4M-126.8M-827.3K0.7611.98N/AN/A60746153,89646,007
2019-11-06$58.90$57.5018.7%6.8%19.7%16.6%24.3%3.1%-1.1%4.5M-124.2M-819.3K0.6811.43N/AN/A43529654,14946,364
2019-11-07$59.34$57.5017.7%6.8%18.9%15.5%24.1%2.7%-0.8%5.0M-134.8M-807.3K0.7215.39N/AN/A99671654,31146,633
2019-11-08$59.14$57.5015.8%6.7%16.7%21.7%23.3%3.2%-0.6%4.8M-127.6M-810.3K0.3712.99N/AN/A40715254,56146,880
2019-11-11$58.51$57.5016.8%7.5%16.8%23.3%25.1%3.6%-2.3%3.7M-113.1M-799.7K0.7314.42N/AN/A3,0242,20954,61847,006
2019-11-12$58.34$57.5016.8%7.4%16.7%33.8%25.1%3.1%-2.3%672.0K-111.2M-805.8K0.0513.73N/AN/A6,01029756,63248,875
2019-11-13$58.36$57.5026.4%7.6%16.1%57.7%25.2%3.8%-2.9%1.7M-89.4M-810.6K0.289.07N/AN/A86024152,08848,968
2019-11-14$59.17$57.5025.6%7.3%14.8%36.6%25.8%3.5%-2.5%5.2M-106.6M-806.1K0.9014.84N/AN/A2,4252,18152,06648,982
2019-11-15$59.69$57.5024.8%7.1%15.2%33.6%24.8%3.4%-2.4%10.2M-118.4M-805.8K0.4517.90N/AN/A2,9891,33252,34450,160
2019-11-18$59.59$57.5027.5%7.9%14.8%57.0%27.5%1.9%-4.1%4.0M-121.2M-810.2K0.4811.18N/AN/A10,4155,04148,39745,520
2019-11-19$60.58$57.5019.5%5.6%15.8%19.6%19.4%1.8%0.0%5.9M-151.2M-797.5K0.6511.57N/AN/A17,98511,71054,54549,583
2019-11-20$59.09$60.0019.4%5.6%17.7%20.8%19.7%1.8%-0.1%3.4M-104.4M-884.2K0.646.90N/AN/A4,3302,75260,26156,725
2019-11-21$59.18$60.0019.2%5.5%17.5%20.0%19.8%1.6%-0.1%3.5M-106.4M-880.3K0.889.56N/AN/A1,3821,21461,10557,673
2019-11-22$59.15$57.5017.9%5.1%17.5%13.5%18.1%1.4%0.7%3.2M-104.4M-862.6K0.529.52N/AN/A2,2591,16961,46657,948
2019-11-25$59.44$60.0017.9%5.1%16.8%13.5%19.4%1.7%0.4%3.9M-116.3M-849.0K0.219.80N/AN/A7,0641,51062,08558,298
2019-11-26$60.50$60.0018.0%5.2%17.0%13.8%17.3%2.0%0.7%5.7M-153.5M-844.3K0.3210.17N/AN/A3,8671,25458,96459,536
2019-11-27$61.00$60.0018.5%5.3%16.6%16.3%17.5%2.4%0.9%7.1M-170.6M-828.1K0.116.36N/AN/A3,65038759,94559,695
2019-11-29$61.08$60.0019.0%5.4%15.5%18.9%18.0%1.9%0.7%7.5M-176.0M-815.9K0.139.50N/AN/A1,87323860,90959,609