TJX Options History — July 2020

In July 2020, TJX traded between $49.61 and $53.42. ATM implied volatility averaged 41.3%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.9% (HV 20d: 34.4%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2020-07-09: Highest Volume — 24,311 contracts
  • 2020-07-13: Largest IV spike — 13.7% change
  • 2020-07-13: Highest IV Rank — 34.4%
  • 2020-07-13: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.91$49.61$53.42$51.51$51.84
Max Pain$50.25$47.50$52.50$50.00$50.00
ATM IV41.3%36.0%47.5%41.2%38.8%
Expected Move12.2%10.2%13.5%11.2%12.5%
HV 20d34.4%32.2%38.1%38.1%32.5%
HV 60d44.9%41.0%48.7%48.7%41.1%
IV Rank27.7%22.1%34.4%27.6%25.0%
IV Percentile71.4%61.1%83.3%73.4%61.1%
Term Structure-1.4%-17.7%6.4%-17.7%-0.0%
VWIV43.0%35.6%52.5%39.1%40.2%
Skew 25d5.5%-10.9%18.2%8.8%4.5%
Skew 10d21.8%1.9%50.5%21.4%21.4%
Call IV 25d43.5%35.4%58.5%38.3%45.2%
Put IV 25d48.9%42.0%60.5%47.1%49.7%
Bid-Ask Spread %50.3340.9967.7241.0767.72
Gamma HHI0.100.080.140.090.09
Net GEX2.5M333.5K4.2M2.3M2.4M
Net DEX-51.1M-94.0M-603.9K-36.2M-46.6M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.102.850.100.95
Total Volume7,357.2272,19624,31110,1383,946
Total OI148,794.591122,747182,717151,372130,689

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$51.51$50.0041.2%11.2%38.1%27.6%39.1%8.8%-17.7%2.3M-36.2M-1.1M0.1041.07N/AN/A9,18395588,59262,780
2020-07-02$51.58$50.0036.0%10.2%37.9%22.1%35.6%-5.6%-13.3%3.1M-40.8M-1.1M1.1949.22N/AN/A2,8173,34493,75663,133
2020-07-06$52.53$52.5037.9%11.6%34.6%24.1%40.0%3.9%-0.9%3.5M-60.1M-1.1M1.3453.89N/AN/A3,0594,10692,31662,679
2020-07-07$50.81$52.5039.5%12.7%35.8%25.7%42.2%-3.5%3.4%1.7M-23.3M-1.1M0.2651.31N/AN/A2,86274492,91962,889
2020-07-08$50.70$52.5041.4%12.7%35.4%27.8%42.0%7.2%-6.5%1.5M-21.3M-1.0M0.3446.53N/AN/A4,6651,56693,72763,346
2020-07-09$49.99$52.5043.2%13.2%34.6%29.7%46.0%10.8%-2.9%611.5K-7.0M-1.0M0.9449.32N/AN/A12,52811,78394,79964,241
2020-07-10$51.00$50.0041.8%13.3%33.7%28.3%43.1%16.9%1.8%1.8M-29.8M-1.1M0.4447.84N/AN/A2,015877103,10274,000
2020-07-13$50.59$50.0047.5%13.5%33.7%34.4%46.2%10.3%0.7%1.1M-19.6M-1.1M0.5957.25N/AN/A6,0313,561101,26872,857
2020-07-14$49.61$50.0043.9%13.3%34.3%30.5%52.5%2.9%3.7%333.5K-603.9K-1.1M2.8546.36N/AN/A4,41612,589100,48471,737
2020-07-15$52.66$50.0044.1%13.1%34.6%30.7%47.5%12.6%1.5%3.4M-82.6M-1.2M0.7952.86N/AN/A10,2858,147102,15580,562
2020-07-16$53.33$50.0044.2%13.1%34.6%30.8%46.4%9.2%4.3%3.3M-91.3M-1.1M1.4254.71N/AN/A2,5793,661100,14377,548
2020-07-17$53.05$50.0044.8%12.7%33.9%31.5%48.9%4.4%3.4%4.0M-94.0M-1.1M0.5057.81N/AN/A5,9922,996100,69075,756
2020-07-20$51.91$50.0040.5%12.3%34.7%26.9%41.1%-10.9%-5.1%1.4M-51.1M-1.1M0.3650.79N/AN/A3,0601,11265,39759,261
2020-07-21$53.16$50.0039.1%11.3%35.8%25.3%39.5%6.7%-2.5%3.0M-73.4M-1.1M0.1742.04N/AN/A4,22771166,28660,025
2020-07-22$53.42$50.0041.1%11.8%35.6%27.5%41.4%5.9%-3.2%3.9M-82.9M-1.1M0.2044.80N/AN/A3,14162168,89660,272
2020-07-23$53.28$47.5041.1%11.8%33.5%27.4%42.5%7.7%-0.2%4.2M-80.7M-1.1M0.8740.99N/AN/A1,4081,21970,81360,555
2020-07-24$52.77$48.0037.0%10.3%33.1%23.1%39.8%5.8%6.4%3.6M-73.2M-1.1M0.4442.53N/AN/A1,52966771,11261,293
2020-07-27$52.10$50.0040.4%11.5%32.6%26.7%47.9%-4.4%-2.0%2.9M-54.5M-1.0M2.6850.62N/AN/A1,6314,37468,26154,486
2020-07-28$52.02$50.0043.1%12.0%32.2%29.6%42.4%4.4%3.7%2.6M-55.5M-1.1M0.5156.05N/AN/A2,0111,03068,89956,773
2020-07-29$52.48$50.0040.0%11.0%32.3%26.3%40.1%4.3%-3.2%3.2M-60.2M-1.1M0.1249.60N/AN/A4,43651969,98257,354
2020-07-30$51.58$50.0041.9%12.7%32.5%28.3%42.6%18.2%-3.0%2.1M-39.8M-1.0M0.5353.95N/AN/A3,5611,89570,00457,644
2020-07-31$51.84$50.0038.8%12.5%32.5%25.0%40.2%4.5%-0.0%2.4M-46.6M-1.0M0.9567.72N/AN/A2,0221,92471,55259,137