TJX Options History — June 2020 In June 2020, TJX traded between $49.78 and $57.42. ATM implied volatility averaged 42.3%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 3.5% (HV 20d: 45.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2020-06-05 : Highest Volume — 31,312 contracts2020-06-05 : Largest IV drop — 20.2% change2020-06-12 : Highest IV Rank — 37.0%2020-06-12 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $53.46 $49.78 $57.42 $53.22 $50.62 Max Pain $49.66 $47.50 $50.00 $47.50 $50.00 ATM IV 42.3% 32.4% 49.8% 41.5% 40.5% Expected Move 11.8% 9.7% 13.7% 11.6% 11.5% HV 20d 45.8% 37.6% 53.4% 50.6% 38.6% HV 60d 67.4% 54.0% 81.9% 81.5% 54.0% IV Rank 28.8% 18.2% 37.0% 28.0% 26.9% IV Percentile 78.0% 71.4% 86.1% 78.6% 71.4% Term Structure -0.4% -5.7% 5.6% 0.2% -5.7% VWIV 41.5% 34.9% 50.7% 41.6% 40.4% Skew 25d 7.2% -4.8% 16.9% 3.4% 8.9% Skew 10d 21.6% -4.7% 55.1% 32.8% 15.2% Call IV 25d 41.6% 30.8% 51.1% 49.7% 41.8% Put IV 25d 48.8% 36.2% 57.2% 53.1% 50.8% Bid-Ask Spread % 43.53 20.36 59.90 21.41 44.90 Gamma HHI 0.15 0.09 0.24 0.18 0.09 Net GEX 6.5M -676.1K 10.8M 7.4M 699.2K Net DEX -157.5M -320.2M -620.5K -183.8M -15.4M Net VEX -1.2M -1.3M -1.1M -1.3M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.08 1.37 0.35 0.68 Total Volume 8,426.136 2,432 31,312 2,432 3,122 Total OI 169,711.364 142,027 191,488 167,785 149,969
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 2020-06-01 $53.22 $47.50 41.5% 11.6% 50.6% 28.0% 41.6% 3.4% 0.2% 7.4M -183.8M -1.3M 0.35 21.41 N/A N/A 1,806 626 101,867 65,918 2020-06-02 $54.10 $47.50 45.3% 11.2% 50.5% 32.1% 40.7% 10.2% -4.7% 8.2M -209.3M -1.2M 0.33 20.36 N/A N/A 2,308 753 102,343 65,969 2020-06-03 $55.40 $47.50 40.9% 10.6% 50.9% 27.4% 38.2% -4.8% 2.3% 8.7M -253.6M -1.2M 0.60 24.16 N/A N/A 3,172 1,913 102,661 66,253 2020-06-04 $54.56 $50.00 40.7% 10.6% 51.4% 27.1% 38.3% 6.6% -3.3% 8.6M -226.6M -1.2M 0.87 34.29 N/A N/A 3,670 3,208 103,059 66,712 2020-06-05 $57.03 $50.00 32.4% 9.7% 52.9% 18.2% 34.9% 2.6% -3.3% 9.3M -301.5M -1.2M 0.54 44.51 N/A N/A 20,284 11,028 104,065 67,436 2020-06-08 $57.42 $50.00 38.9% 10.5% 52.7% 25.1% 36.7% 6.8% -2.3% 9.7M -320.2M -1.3M 0.64 40.26 N/A N/A 8,786 5,585 107,242 63,849 2020-06-09 $56.27 $50.00 40.4% 10.6% 53.4% 26.8% 37.5% -1.5% -3.5% 9.8M -282.4M -1.3M 1.19 42.95 N/A N/A 3,248 3,859 111,157 68,219 2020-06-10 $54.70 $50.00 40.9% 10.7% 51.5% 27.4% 36.0% 12.3% -2.3% 9.0M -220.4M -1.3M 0.08 51.46 N/A N/A 16,196 1,271 112,152 70,130 2020-06-11 $52.86 $50.00 44.6% 12.6% 49.1% 31.3% 44.1% 3.1% -0.4% 7.3M -156.9M -1.3M 0.91 52.11 N/A N/A 3,972 3,618 114,738 70,252 2020-06-12 $52.49 $50.00 49.8% 13.7% 49.4% 37.0% 46.9% -0.1% -2.2% 7.3M -136.7M -1.3M 0.72 55.94 N/A N/A 4,945 3,580 115,002 71,740 2020-06-15 $52.27 $50.00 43.1% 12.5% 48.2% 29.7% 43.4% 11.1% 2.9% 7.3M -135.0M -1.2M 0.52 58.12 N/A N/A 3,001 1,558 114,682 72,006 2020-06-16 $55.41 $50.00 41.3% 12.1% 44.3% 27.8% 40.6% 8.6% 1.7% 10.8M -260.3M -1.3M 0.17 56.92 N/A N/A 16,403 2,849 115,437 72,273 2020-06-17 $54.47 $50.00 41.2% 11.8% 44.9% 27.6% 41.3% 7.2% 2.0% 10.0M -213.1M -1.3M 0.17 45.97 N/A N/A 2,742 468 116,235 73,230 2020-06-18 $53.41 $50.00 43.8% 12.6% 45.6% 30.4% 41.1% 9.1% -1.4% 9.2M -171.3M -1.2M 0.30 55.13 N/A N/A 3,787 1,145 116,284 73,382 2020-06-19 $53.02 $50.00 44.3% 12.6% 39.7% 31.0% 42.7% 7.7% 1.0% 8.5M -154.4M -1.2M 0.24 59.90 N/A N/A 9,670 2,360 117,556 73,932 2020-06-22 $52.75 $50.00 44.6% 12.3% 39.4% 31.4% 42.7% 11.0% 0.2% 3.2M -66.0M -1.2M 0.23 36.88 N/A N/A 4,343 1,017 84,343 57,684 2020-06-23 $53.32 $50.00 41.2% 11.8% 37.6% 27.7% 41.5% 6.7% 0.4% 4.0M -79.8M -1.2M 0.68 37.33 N/A N/A 4,444 3,026 87,337 58,231 2020-06-24 $51.62 $50.00 44.5% 13.2% 39.1% 31.2% 50.7% 7.8% -0.2% 2.4M -40.8M -1.2M 1.18 43.58 N/A N/A 3,528 4,173 88,082 58,959 2020-06-25 $50.81 $50.00 40.3% 12.7% 38.9% 26.7% 46.0% 16.9% 2.6% 1.5M -23.5M -1.1M 1.24 44.93 N/A N/A 3,321 4,131 88,969 61,819 2020-06-26 $49.78 $50.00 46.0% 13.0% 38.8% 32.8% 45.2% 12.8% 0.5% -676.1K -620.5K -1.1M 1.37 43.03 N/A N/A 1,617 2,221 90,068 63,467 2020-06-29 $50.52 $50.00 43.7% 12.6% 39.2% 30.4% 42.5% 12.7% 5.6% 816.1K -14.4M -1.1M 0.27 43.54 N/A N/A 2,064 557 86,979 61,962 2020-06-30 $50.62 $50.00 40.5% 11.5% 38.6% 26.9% 40.4% 8.9% -5.7% 699.2K -15.4M -1.1M 0.68 44.90 N/A N/A 1,862 1,260 87,832 62,137
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