TJX Options History — December 2019

In December 2019, TJX traded between $59.53 and $61.15. ATM implied volatility averaged 18.2%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.6% (HV 20d: 14.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-12-23: Highest Volume — 4,584 contracts
  • 2019-12-09: Largest IV spike — 10.4% change
  • 2019-12-03: Highest IV Rank — 24.6%
  • 2019-12-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.37$59.53$61.15$60.50$60.98
Max Pain$55.71$55.00$60.00$60.00$55.00
ATM IV18.2%16.4%20.1%19.9%18.0%
Expected Move5.3%4.7%5.8%5.7%5.1%
HV 20d14.6%10.6%17.0%16.1%10.6%
HV 60d18.2%15.8%19.5%19.1%15.8%
IV Rank15.3%6.0%24.6%23.5%15.1%
IV Percentile22.2%2.8%42.1%39.7%22.2%
Term Structure1.8%-0.5%4.0%-0.5%0.0%
VWIV18.1%16.2%21.0%19.4%17.2%
Skew 25d2.2%1.2%3.4%1.7%3.2%
Skew 10d5.5%0.4%10.1%6.4%10.1%
Call IV 25d17.1%15.1%19.9%18.6%15.6%
Put IV 25d19.3%17.7%21.5%20.3%18.8%
Bid-Ask Spread %9.786.3814.218.306.71
Gamma HHI0.280.200.520.310.21
Net GEX6.5M3.7M13.0M6.4M5.2M
Net DEX-156.9M-183.5M-122.5M-157.1M-167.4M
Net VEX-740.2K-828.6K-674.5K-819.2K-683.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.082.230.670.66
Total Volume1,938.0485134,5843,362767
Total OI119,253.04899,532129,162121,433104,287

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$60.50$60.0019.9%5.7%16.1%23.5%19.4%1.7%-0.5%6.4M-157.1M-819.2K0.678.30N/AN/A2,0171,34561,61359,820
2019-12-03$59.53$60.0020.1%5.8%17.0%24.6%21.0%1.7%0.0%3.7M-122.5M-828.6K0.998.06N/AN/A86385861,41960,615
2019-12-04$59.89$60.0019.4%5.6%16.9%21.0%19.7%1.5%0.4%4.7M-136.0M-815.1K0.698.00N/AN/A88260661,94660,969
2019-12-05$59.64$55.0018.6%5.5%16.9%17.0%18.4%3.1%2.5%3.7M-124.4M-817.5K0.4714.21N/AN/A1,05450062,23961,626
2019-12-06$59.82$55.0017.8%5.4%16.8%12.8%18.9%2.0%2.7%4.4M-132.5M-803.0K0.149.52N/AN/A89912762,48561,768
2019-12-09$60.40$55.0019.7%5.6%17.0%22.3%18.5%2.8%2.8%6.7M-154.8M-787.2K0.1910.52N/AN/A1,03519462,58861,721
2019-12-10$60.32$55.0018.9%5.6%16.5%18.4%19.6%2.7%2.6%6.2M-150.8M-781.1K0.199.70N/AN/A95917962,94361,693
2019-12-11$60.34$55.0019.3%5.5%16.4%21.1%19.3%2.8%2.8%6.4M-154.4M-758.8K0.0810.13N/AN/A3,84028963,10761,771
2019-12-12$60.89$55.0018.9%5.4%16.6%19.3%18.9%2.7%2.7%9.7M-183.5M-762.4K0.4913.87N/AN/A1,40568565,83761,763
2019-12-13$60.40$55.0018.4%5.3%16.4%16.7%18.3%2.6%3.2%7.5M-164.1M-764.1K0.3710.61N/AN/A1,27747365,78061,717
2019-12-16$60.66$55.0018.0%5.2%16.1%14.3%17.8%2.1%2.4%9.4M-182.7M-693.1K0.697.53N/AN/A2,1391,46866,07261,782
2019-12-17$60.70$55.0017.5%5.0%16.1%11.9%17.3%1.7%2.7%8.5M-180.9M-700.6K0.6510.22N/AN/A79751766,36862,363
2019-12-18$60.60$55.0017.3%4.9%15.1%10.5%17.1%1.4%3.1%7.6M-178.5M-685.3K0.426.38N/AN/A91538866,28762,622
2019-12-19$60.23$55.0017.0%4.9%12.1%9.2%17.0%1.2%3.5%8.6M-164.9M-697.4K0.708.63N/AN/A1,15480766,29762,684
2019-12-20$60.14$55.0016.4%4.7%12.1%6.0%16.2%2.0%4.0%13.0M-167.9M-680.5K0.1010.78N/AN/A2,81127766,20262,960
2019-12-23$59.91$55.0016.7%4.8%12.3%7.5%17.0%1.6%1.1%4.9M-137.7M-674.5K2.238.12N/AN/A1,4173,16749,13150,401
2019-12-24$60.23$55.0017.1%4.9%12.3%9.3%16.9%1.8%0.9%4.7M-142.9M-728.5K0.3110.42N/AN/A39112249,94253,200
2019-12-26$60.84$55.0017.3%5.0%11.1%10.5%16.7%3.3%0.3%5.1M-161.5M-693.8K0.6511.59N/AN/A1,05368550,06353,181
2019-12-27$60.66$55.0017.6%5.0%10.8%12.3%17.5%1.7%1.1%5.1M-159.6M-695.8K0.7013.45N/AN/A40828650,05553,284
2019-12-30$61.15$55.0018.5%5.3%11.1%18.1%18.2%3.4%-0.1%5.1M-171.7M-674.6K0.588.58N/AN/A1,03960450,23353,480
2019-12-31$60.98$55.0018.0%5.1%10.6%15.1%17.2%3.2%0.0%5.2M-167.4M-683.4K0.666.71N/AN/A46130650,53953,748