TJX Options History — March 2020 In March 2020, TJX traded between $36.63 and $62.11. ATM implied volatility averaged 67.3%, placing in the 76.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 6.0% (HV 20d: 73.3%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.14.
Notable Days 2020-03-31 : Highest Volume — 9,958 contracts2020-03-12 : Largest IV spike — 70.8% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 31.0%Monthly Statistics Metric Avg Min Max Open Close Price $49.49 $36.63 $62.11 $61.40 $47.85 Max Pain $59.89 $57.50 $62.50 $62.50 $57.50 ATM IV 67.3% 27.7% 108.1% 31.4% 72.0% Expected Move 18.8% 8.0% 31.0% 9.0% 20.7% HV 20d 73.3% 39.3% 109.2% 40.2% 107.5% HV 60d 45.5% 25.0% 66.3% 25.0% 66.3% IV Rank 76.2% 43.7% 100.0% 56.5% 61.1% IV Percentile 98.4% 94.4% 100.0% 98.0% 96.4% Term Structure -9.0% -31.2% 30.1% -4.6% -11.1% VWIV 69.4% 30.9% 119.2% 34.3% 72.9% Skew 25d 21.0% 8.8% 39.5% 8.8% 22.1% Skew 10d 42.9% 13.6% 68.0% 14.4% 42.5% Call IV 25d 57.9% 25.1% 96.6% 28.9% 62.0% Put IV 25d 78.9% 34.3% 128.1% 37.7% 84.2% Bid-Ask Spread % 43.27 20.32 75.17 41.94 44.87 Gamma HHI 0.12 0.07 0.23 0.18 0.10 Net GEX 319.3K -564.8K 3.6M 2.3M -227.4K Net DEX 51.1M -68.8M 129.9M -47.2M 51.2M Net VEX -821.2K -1.1M -430.8K -946.8K -832.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.38 2.96 1.66 0.62 Total Volume 5,597.545 952 9,958 4,257 9,958 Total OI 107,269.909 92,907 117,857 92,907 114,119
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $61.40 $62.50 31.4% 9.0% 40.2% 56.5% 34.3% 8.8% -4.6% 2.3M -47.2M -946.8K 1.66 41.94 N/A N/A 1,598 2,659 51,768 41,139 2020-03-03 $60.99 $62.50 35.7% 10.2% 39.3% 71.7% 41.2% 10.4% -4.5% 1.9M -38.7M -959.8K 0.39 35.22 N/A N/A 6,172 2,416 52,096 42,260 2020-03-04 $62.11 $62.50 27.7% 8.0% 39.6% 43.7% 30.9% 9.2% -3.3% 3.6M -68.8M -1.0M 0.38 40.70 N/A N/A 691 261 57,182 43,581 2020-03-05 $59.48 $60.00 41.8% 10.1% 42.0% 93.0% 34.8% 11.3% -4.8% 1.3M -17.1M -1.0M 1.23 26.34 N/A N/A 1,603 1,973 57,253 43,752 2020-03-06 $58.14 $60.00 53.7% 12.1% 42.6% 100.0% 41.9% 14.3% -6.5% 805.5K 421.1K -1.0M 0.57 39.81 N/A N/A 2,878 1,652 57,962 44,261 2020-03-09 $57.53 $60.00 58.4% 13.3% 42.6% 100.0% 50.4% 14.6% -8.4% 817.1K 7.9M -1.0M 1.20 32.72 N/A N/A 2,583 3,106 59,396 44,297 2020-03-10 $57.43 $60.00 55.6% 14.1% 42.6% 93.7% 54.0% 17.6% -10.2% 565.1K 9.2M -1.1M 2.48 23.83 N/A N/A 1,050 2,604 60,236 46,191 2020-03-11 $55.56 $60.00 53.6% 15.4% 43.2% 89.0% 60.7% 17.2% -14.8% -237.7K 39.3M -992.4K 2.96 20.32 N/A N/A 1,549 4,590 60,413 47,132 2020-03-12 $49.60 $60.00 91.6% 26.3% 56.9% 100.0% 86.9% 29.8% -27.0% -101.9K 74.4M -926.4K 2.34 29.03 N/A N/A 2,218 5,183 60,908 48,986 2020-03-13 $50.32 $60.00 74.0% 21.2% 57.5% 76.9% 73.5% 35.4% -15.3% -564.8K 90.6M -843.9K 1.88 46.93 N/A N/A 1,437 2,704 61,590 47,904 2020-03-16 $41.92 $60.00 97.9% 28.1% 83.4% 100.0% 99.7% 29.8% -31.2% -481.2K 124.4M -620.0K 0.89 38.34 N/A N/A 2,043 1,811 61,982 48,941 2020-03-17 $42.84 $60.00 87.8% 25.2% 84.5% 87.8% 90.1% 32.1% -24.5% -459.5K 118.5M -662.3K 1.15 52.68 N/A N/A 2,534 2,914 62,825 49,021 2020-03-18 $39.98 $60.00 108.1% 31.0% 85.6% 100.0% 119.2% 31.5% -24.1% -283.8K 112.1M -637.8K 0.92 34.76 N/A N/A 3,657 3,358 63,633 50,112 2020-03-19 $41.50 $60.00 92.5% 26.5% 87.9% 83.2% 106.7% 39.5% -16.9% -281.6K 112.1M -668.9K 0.78 54.25 N/A N/A 5,548 4,323 64,391 50,924 2020-03-20 $37.81 $60.00 65.4% 18.7% 91.3% 53.9% 72.6% 17.8% 11.7% -371.3K 129.9M -516.0K 0.73 64.09 N/A N/A 3,902 2,856 65,392 52,465 2020-03-23 $36.63 $60.00 68.7% 19.7% 91.3% 57.5% 75.8% 32.2% 0.2% -305.9K 115.8M -430.8K 0.38 55.68 N/A N/A 4,023 1,523 56,987 46,899 2020-03-24 $40.66 $60.00 67.6% 19.4% 102.4% 56.3% 71.0% 17.2% -6.9% -341.7K 104.5M -526.2K 1.54 46.59 N/A N/A 1,431 2,199 58,686 46,912 2020-03-25 $44.55 $60.00 78.5% 22.5% 106.1% 68.1% 84.7% 19.7% -10.0% -229.1K 69.1M -748.0K 0.62 36.13 N/A N/A 4,722 2,936 58,915 47,546 2020-03-26 $47.47 $57.50 82.9% 23.8% 109.2% 72.8% 87.3% 22.9% -12.6% -117.5K 49.3M -840.2K 0.90 53.74 N/A N/A 2,832 2,545 60,610 48,321 2020-03-27 $47.44 $57.50 77.7% 22.3% 109.0% 67.2% 80.7% 12.7% -3.0% -57.4K 43.7M -861.3K 1.08 58.88 N/A N/A 3,039 3,271 60,898 48,857 2020-03-30 $47.67 $57.50 57.1% 16.4% 107.3% 45.1% 56.7% 15.9% 30.1% -198.8K 42.9M -879.3K 0.42 75.17 N/A N/A 1,965 829 62,279 50,916 2020-03-31 $47.85 $57.50 72.0% 20.7% 107.5% 61.1% 72.9% 22.1% -11.1% -227.4K 51.2M -832.7K 0.62 44.87 N/A N/A 6,163 3,795 63,004 51,115
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