TJX Options History — August 2020 In August 2020, TJX traded between $51.67 and $59.36. ATM implied volatility averaged 35.7%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.8% (HV 20d: 32.9%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.
Notable Days 2020-08-19 : Highest Volume — 70,681 contracts2020-08-19 : Largest IV drop — 18.6% change2020-08-04 : Highest IV Rank — 27.5%2020-08-04 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $54.92 $51.67 $59.36 $51.86 $55.05 Max Pain $52.86 $50.00 $55.00 $50.00 $55.00 ATM IV 35.7% 30.4% 41.1% 38.4% 34.5% Expected Move 10.3% 8.7% 12.6% 11.5% 10.1% HV 20d 32.9% 23.7% 40.1% 31.8% 40.1% HV 60d 37.1% 33.3% 41.1% 40.9% 35.3% IV Rank 21.7% 15.9% 27.5% 24.5% 20.3% IV Percentile 56.7% 51.6% 68.7% 59.9% 53.6% Term Structure -0.1% -5.6% 5.2% 5.2% 1.8% VWIV 36.6% 30.8% 45.7% 40.8% 35.3% Skew 25d 3.8% -9.6% 22.8% -6.4% 5.4% Skew 10d 9.9% -25.7% 50.9% 15.1% 2.8% Call IV 25d 37.7% 29.3% 71.2% 71.2% 37.4% Put IV 25d 41.5% 32.9% 64.8% 64.8% 42.8% Bid-Ask Spread % 42.39 16.53 62.83 50.67 41.25 Gamma HHI 0.13 0.09 0.44 0.10 0.13 Net GEX 3.5M -26.5M 11.4M 2.7M 7.6M Net DEX -100.8M -269.3M 141.3M -50.6M -143.9M Net VEX -1.2M -1.3M -1.0M -1.0M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.20 3.48 0.57 0.20 Total Volume 19,475.524 2,117 70,681 2,117 28,389 Total OI 172,675.81 128,304 255,343 128,304 187,974
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 2020-08-03 $51.86 $50.00 38.4% 11.5% 31.8% 24.5% 40.8% -6.4% 5.2% 2.7M -50.6M -1.0M 0.57 50.67 N/A N/A 1,346 771 71,072 57,232 2020-08-04 $53.00 $50.00 41.1% 12.6% 30.3% 27.5% 44.0% -2.3% -3.5% 4.0M -72.4M -1.0M 0.25 46.89 N/A N/A 3,841 942 71,763 57,650 2020-08-05 $53.52 $50.00 38.2% 12.5% 30.3% 24.3% 45.7% 14.7% -1.7% 5.1M -89.8M -1.1M 1.31 46.77 N/A N/A 3,615 4,751 74,512 58,252 2020-08-06 $53.33 $50.00 41.1% 10.7% 29.8% 27.5% 37.5% 0.7% -5.6% 4.7M -82.3M -1.1M 1.46 51.16 N/A N/A 1,272 1,853 76,223 61,820 2020-08-07 $55.59 $50.00 39.1% 10.7% 32.3% 25.3% 38.2% 2.0% -3.7% 6.1M -141.1M -1.1M 0.41 48.43 N/A N/A 6,827 2,792 76,571 62,684 2020-08-10 $56.45 $50.00 36.8% 10.9% 32.2% 22.9% 38.8% -3.2% -0.2% 6.9M -162.7M -1.1M 0.46 49.30 N/A N/A 7,440 3,444 77,821 63,113 2020-08-11 $57.68 $50.00 37.6% 10.7% 31.2% 23.7% 39.6% 22.8% -0.3% 7.7M -198.0M -1.1M 0.80 48.62 N/A N/A 8,350 6,685 80,183 65,455 2020-08-12 $57.85 $50.00 35.1% 10.5% 24.4% 20.9% 37.9% 10.6% 2.7% 8.0M -199.5M -1.1M 0.23 50.51 N/A N/A 7,149 1,614 80,113 70,838 2020-08-13 $57.27 $50.00 36.5% 10.7% 24.7% 22.5% 37.1% 7.6% 2.0% 8.0M -179.5M -1.1M 0.84 58.07 N/A N/A 21,685 18,200 83,666 71,585 2020-08-14 $57.84 $55.00 38.8% 11.2% 24.6% 24.9% 41.2% -9.6% -0.3% 9.3M -211.9M -1.3M 0.55 62.21 N/A N/A 8,116 4,487 103,178 86,520 2020-08-17 $59.36 $55.00 37.1% 10.5% 23.7% 23.2% 37.6% 5.7% 0.2% 11.4M -269.3M -1.2M 0.22 58.22 N/A N/A 10,436 2,297 104,856 87,059 2020-08-18 $57.60 $55.00 37.3% 10.8% 26.2% 23.4% 37.5% 6.3% -3.0% 9.9M -193.1M -1.2M 0.53 53.45 N/A N/A 14,447 7,620 107,152 88,385 2020-08-19 $54.56 $55.00 30.4% 8.7% 33.3% 15.9% 30.8% 3.8% 1.6% 2.9M -37.3M -1.1M 0.56 62.83 N/A N/A 45,291 25,390 114,178 90,734 2020-08-20 $51.67 $55.00 33.4% 9.6% 38.7% 19.1% 34.2% 2.3% -0.3% -3.3M 77.4M -1.2M 1.10 24.89 N/A N/A 25,517 28,130 129,356 102,341 2020-08-21 $51.73 $55.00 30.9% 8.8% 38.6% 16.5% 31.1% 2.3% 0.9% -26.5M 141.3M -1.2M 3.48 28.34 N/A N/A 9,724 33,869 131,662 123,681 2020-08-24 $53.33 $55.00 31.2% 8.7% 39.9% 16.8% 33.4% 8.0% 0.3% -306.3K -28.6M -1.2M 0.54 20.69 N/A N/A 7,273 3,912 96,095 78,581 2020-08-25 $53.30 $55.00 32.7% 8.8% 39.9% 18.4% 31.3% 1.0% 0.7% -109.7K -32.0M -1.2M 0.24 16.53 N/A N/A 3,577 852 98,742 80,828 2020-08-26 $53.36 $55.00 33.1% 9.0% 39.8% 18.8% 31.4% 5.3% -1.2% 390.6K -38.4M -1.2M 0.21 19.39 N/A N/A 10,059 2,124 101,524 81,085 2020-08-27 $53.77 $55.00 33.9% 9.3% 39.3% 19.7% 32.1% 1.3% 0.1% 1.1M -67.3M -1.3M 0.33 23.17 N/A N/A 7,438 2,464 104,395 81,766 2020-08-28 $55.10 $55.00 33.4% 9.4% 40.0% 19.2% 33.4% 1.2% 1.1% 6.9M -138.2M -1.3M 0.28 28.71 N/A N/A 19,562 5,435 103,283 82,264 2020-08-31 $55.05 $55.00 34.5% 10.1% 40.1% 20.3% 35.3% 5.4% 1.8% 7.6M -143.9M -1.3M 0.20 41.25 N/A N/A 23,755 4,634 109,050 78,924
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