TJX Options History — September 2020

In September 2020, TJX traded between $52.77 and $57.61. ATM implied volatility averaged 35.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.1% (HV 20d: 35.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2020-09-25: Highest Volume — 38,622 contracts
  • 2020-09-09: Largest IV drop — 16.6% change
  • 2020-09-08: Highest IV Rank — 26.8%
  • 2020-09-04: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.05$52.77$57.61$55.15$55.62
Max Pain$51.12$50.00$55.00$55.00$52.50
ATM IV35.0%31.6%40.5%35.4%36.8%
Expected Move10.2%9.1%11.3%10.1%10.3%
HV 20d35.1%26.2%41.5%39.4%35.3%
HV 60d34.0%32.5%35.6%35.3%34.6%
IV Rank20.9%17.3%26.8%21.4%22.8%
IV Percentile52.1%46.8%64.7%54.0%54.0%
Term Structure1.0%-2.5%5.9%2.3%3.4%
VWIV35.6%31.1%39.6%35.4%36.4%
Skew 25d2.7%-18.5%13.7%-11.4%3.9%
Skew 10d7.5%-1.9%18.8%0.3%18.8%
Call IV 25d35.9%30.3%56.5%53.4%35.9%
Put IV 25d38.6%28.9%48.2%41.9%39.8%
Bid-Ask Spread %38.9319.2059.5239.7424.95
Gamma HHI0.180.130.250.140.24
Net GEX9.8M3.1M23.1M9.2M11.3M
Net DEX-150.6M-306.6M-44.8M-170.8M-184.5M
Net VEX-1.3M-1.6M-1.1M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.050.760.220.50
Total Volume11,622.1433,65438,62220,0365,126
Total OI199,642.429163,655222,094206,161188,335

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$55.15$55.0035.4%10.1%39.4%21.4%35.4%-11.4%2.3%9.2M-170.8M-1.4M0.2239.74N/AN/A16,4373,599123,69782,464
2020-09-02$56.78$55.0036.1%10.5%40.5%22.0%36.1%-18.5%0.9%13.1M-256.7M-1.5M0.1249.90N/AN/A11,7601,366126,57684,937
2020-09-03$55.50$50.0038.1%11.0%41.5%24.2%37.8%0.4%3.0%10.9M-179.4M-1.4M0.2154.18N/AN/A7,1731,495123,77685,292
2020-09-04$55.25$50.0037.0%11.3%38.8%23.0%39.6%13.7%0.6%9.3M-152.2M-1.4M0.3059.32N/AN/A15,3204,587120,62886,064
2020-09-08$55.44$50.0040.5%11.3%38.4%26.8%39.4%10.2%0.2%9.9M-190.4M-1.6M0.4248.94N/AN/A3,3761,426135,85185,530
2020-09-09$55.00$50.0033.8%9.9%37.5%19.6%35.7%4.8%0.9%8.7M-137.8M-1.4M0.3840.48N/AN/A21,6758,132125,78785,992
2020-09-10$54.37$50.0033.3%9.7%37.6%19.1%33.6%1.7%0.5%5.3M-87.5M-1.3M0.3839.37N/AN/A4,7001,768124,51389,727
2020-09-11$54.21$50.0031.9%9.2%37.5%17.6%32.7%-0.2%0.5%5.0M-85.3M-1.2M0.4243.97N/AN/A3,1051,318125,81890,333
2020-09-14$55.57$50.0031.6%9.1%38.6%17.3%31.1%4.2%-0.0%12.8M-156.9M-1.2M0.1734.41N/AN/A4,719808124,34887,086
2020-09-15$56.84$50.0034.5%9.7%38.3%20.4%33.9%3.9%1.7%17.6M-233.2M-1.2M0.0559.52N/AN/A31,1731,490123,17987,169
2020-09-16$57.61$50.0033.4%9.6%37.1%19.1%34.1%4.8%-0.6%23.1M-306.6M-1.3M0.2256.10N/AN/A7,2901,611134,47187,623
2020-09-17$55.83$50.0034.5%9.9%33.4%20.3%34.0%3.8%-0.6%16.8M-186.2M-1.3M0.4943.36N/AN/A2,4581,196130,66587,670
2020-09-18$56.23$50.0033.6%9.7%26.2%19.3%33.5%4.2%-1.1%11.0M-198.3M-1.2M0.3542.87N/AN/A5,1041,764130,79688,179
2020-09-21$53.84$50.0034.5%10.3%31.2%20.4%36.1%4.8%5.9%5.5M-79.6M-1.2M0.7628.57N/AN/A3,7632,853103,01760,638
2020-09-22$53.91$50.0033.6%10.0%29.3%19.4%35.4%12.5%-0.2%5.9M-77.9M-1.2M0.3023.18N/AN/A4,3951,320105,01262,177
2020-09-23$53.07$51.0035.2%10.4%29.9%21.1%35.8%6.2%-0.3%4.0M-54.9M-1.2M0.3134.02N/AN/A2,997940107,26863,039
2020-09-24$52.77$52.5036.5%10.6%30.0%22.6%37.4%4.7%-0.1%3.1M-44.8M-1.1M0.1225.68N/AN/A9,2861,083108,52763,554
2020-09-25$53.22$52.5033.6%10.1%30.0%19.4%37.8%-3.4%-2.5%4.3M-65.6M-1.2M0.1729.77N/AN/A33,1275,495114,79663,975
2020-09-28$55.61$52.5035.2%10.2%32.8%21.1%35.5%2.4%2.9%11.3M-188.0M-1.3M0.3520.06N/AN/A3,5781,245121,67365,095
2020-09-29$54.22$52.5036.0%10.4%34.1%22.0%36.2%3.4%2.6%7.9M-126.2M-1.3M0.6419.20N/AN/A2,4381,569121,79665,418
2020-09-30$55.62$52.5036.8%10.3%35.3%22.8%36.4%3.9%3.4%11.3M-184.5M-1.3M0.5024.95N/AN/A3,4211,705122,46965,866