TJX Options History — April 2020 In April 2020, TJX traded between $40.89 and $52.08. ATM implied volatility averaged 54.5%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 41.0% (HV 20d: 95.4%). Max pain ranged from $45.00 to $57.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2020-04-30 : Highest Volume — 19,376 contracts2020-04-08 : Largest IV drop — 21.4% change2020-04-01 : Highest IV Rank — 65.9%2020-04-01 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $47.36 $40.89 $52.08 $44.20 $49.30 Max Pain $47.50 $45.00 $57.50 $57.50 $47.50 ATM IV 54.5% 39.7% 76.5% 76.5% 42.3% Expected Move 15.2% 11.4% 21.9% 21.9% 12.1% HV 20d 95.4% 72.4% 121.9% 109.4% 73.2% HV 60d 75.3% 68.1% 79.5% 68.1% 79.5% IV Rank 42.0% 26.0% 65.9% 65.9% 28.8% IV Percentile 90.3% 84.5% 96.8% 96.8% 84.9% Term Structure -1.1% -10.9% 5.7% -7.8% 5.2% VWIV 55.9% 41.9% 82.6% 82.6% 48.3% Skew 25d 14.8% 7.0% 21.9% 16.7% 7.0% Skew 10d 35.0% 3.0% 67.8% 44.8% 17.3% Call IV 25d 48.3% 37.7% 74.4% 74.4% 42.2% Put IV 25d 63.1% 46.1% 91.0% 91.0% 49.2% Bid-Ask Spread % 55.37 27.27 78.41 46.41 27.27 Gamma HHI 0.13 0.09 0.25 0.10 0.10 Net GEX 695.9K -686.4K 2.9M -368.8K 1.9M Net DEX 33.7M -57.4M 103.8M 85.3M -19.9M Net VEX -873.0K -1.0M -655.2K -749.3K -973.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.18 2.35 0.92 1.15 Total Volume 6,023.381 875 19,376 8,792 19,376 Total OI 117,252.476 91,834 153,355 118,350 102,717
Daily Data (21 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 2020-04-01 $44.20 $57.50 76.5% 21.9% 109.4% 65.9% 82.6% 16.7% -7.8% -368.8K 85.3M -749.3K 0.92 46.41 N/A N/A 4,585 4,207 64,620 53,730 2020-04-02 $43.60 $47.50 75.0% 17.1% 108.9% 64.3% 66.0% 15.2% 5.7% -288.0K 93.1M -742.9K 0.24 72.69 N/A N/A 6,754 1,624 65,237 56,145 2020-04-03 $40.89 $47.50 71.8% 19.8% 110.3% 60.9% 61.5% 18.1% -7.9% -33.4K 103.8M -655.2K 2.35 78.41 N/A N/A 970 2,275 69,383 55,907 2020-04-06 $45.91 $45.00 66.5% 17.3% 120.0% 55.1% 61.3% 21.9% -9.2% 252.5K 65.6M -799.7K 1.39 73.20 N/A N/A 2,478 3,456 69,805 55,913 2020-04-07 $47.23 $45.00 64.6% 17.0% 120.8% 52.9% 59.6% 17.4% -6.3% 365.2K 57.4M -837.0K 1.32 45.98 N/A N/A 2,636 3,482 70,693 57,893 2020-04-08 $49.28 $47.50 50.7% 14.5% 121.9% 38.0% 55.2% 20.9% 0.7% 593.0K 38.4M -897.1K 0.60 60.66 N/A N/A 4,756 2,870 71,989 60,009 2020-04-09 $48.88 $47.50 51.8% 14.8% 115.1% 39.0% 59.6% 21.0% 0.2% 587.1K 35.2M -914.9K 1.49 58.92 N/A N/A 1,614 2,409 72,999 61,374 2020-04-13 $47.78 $47.50 59.5% 17.1% 115.2% 47.4% 54.4% 18.1% -6.8% 416.8K 57.4M -862.3K 0.41 32.47 N/A N/A 4,565 1,884 73,039 62,060 2020-04-14 $50.11 $47.50 49.3% 14.1% 94.6% 36.4% 49.1% 16.1% -2.6% 1.2M 29.8M -878.9K 0.72 64.22 N/A N/A 4,944 3,577 74,810 63,270 2020-04-15 $48.58 $47.50 53.1% 15.2% 95.5% 40.5% 52.5% 16.6% -1.8% 627.0K 56.2M -889.0K 1.78 52.65 N/A N/A 2,091 3,717 74,733 65,348 2020-04-16 $46.43 $47.50 53.1% 15.2% 93.4% 40.5% 56.0% 14.5% -3.7% -686.4K 84.5M -855.4K 0.22 54.14 N/A N/A 11,645 2,530 75,769 67,425 2020-04-17 $49.50 $47.50 48.6% 13.9% 95.0% 35.6% 52.8% 13.6% -0.3% 1.5M 30.9M -990.1K 1.29 54.96 N/A N/A 2,268 2,931 86,620 66,735 2020-04-20 $48.01 $47.50 54.2% 15.5% 88.4% 41.7% 60.0% 13.2% -10.9% 1.1M -4.4M -949.7K 0.77 49.11 N/A N/A 1,243 954 51,507 40,327 2020-04-21 $46.23 $47.50 57.0% 16.4% 88.9% 44.8% 55.7% 11.6% 0.8% 624.9K 12.7M -884.9K 1.13 57.15 N/A N/A 848 954 52,103 41,082 2020-04-22 $46.81 $47.50 49.1% 14.1% 81.9% 36.2% 54.9% 12.9% 3.4% 624.6K 12.8M -875.6K 1.22 57.42 N/A N/A 394 481 52,515 41,381 2020-04-23 $46.03 $47.50 52.4% 15.0% 75.9% 39.7% 53.7% 10.8% 1.2% 406.5K 19.1M -872.0K 1.76 64.19 N/A N/A 499 879 52,782 41,692 2020-04-24 $46.52 $47.50 43.8% 12.6% 72.4% 30.5% 52.2% 13.1% 3.4% 435.9K 20.4M -846.7K 0.58 41.40 N/A N/A 1,253 729 53,001 41,982 2020-04-27 $48.07 $45.00 42.6% 12.2% 73.4% 29.1% 47.2% 14.4% 3.2% 1.0M 941.0K -880.6K 0.43 49.91 N/A N/A 4,363 1,870 53,538 42,271 2020-04-28 $49.22 $45.00 42.6% 12.2% 73.8% 29.2% 48.7% 10.1% 5.1% 1.6M -13.6M -950.0K 0.91 61.02 N/A N/A 2,349 2,133 55,916 43,251 2020-04-29 $52.08 $47.50 39.7% 11.4% 76.4% 26.0% 41.9% 7.2% 4.8% 2.9M -57.4M -1.0M 0.18 60.56 N/A N/A 3,304 594 56,445 44,286 2020-04-30 $49.30 $47.50 42.3% 12.1% 73.2% 28.8% 48.3% 7.0% 5.2% 1.9M -19.9M -973.7K 1.15 27.27 N/A N/A 9,016 10,360 58,299 44,418
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