TJX Options History — October 2020 In October 2020, TJX traded between $50.48 and $58.47. ATM implied volatility averaged 40.7%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.8% (HV 20d: 31.9%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2020-10-09 : Highest Volume — 66,130 contracts2020-10-19 : Largest IV spike — 17.8% change2020-10-30 : Highest IV Rank — 36.7%2020-10-30 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $56.00 $50.48 $58.47 $56.69 $50.48 Max Pain $54.77 $52.50 $55.00 $52.50 $55.00 ATM IV 40.7% 36.4% 49.6% 37.8% 49.6% Expected Move 12.4% 10.3% 15.5% 10.5% 15.5% HV 20d 31.9% 27.5% 35.4% 34.4% 31.4% HV 60d 33.5% 32.1% 35.8% 34.8% 35.8% IV Rank 27.0% 22.4% 36.7% 23.9% 36.7% IV Percentile 64.8% 48.4% 85.7% 56.3% 85.7% Term Structure 1.1% -2.7% 8.6% 2.7% 0.8% VWIV 43.0% 35.8% 52.3% 35.8% 52.3% Skew 25d 6.5% 3.1% 23.5% 3.1% 9.9% Skew 10d 14.0% 4.1% 23.0% 18.8% 13.4% Call IV 25d 38.3% 26.8% 47.0% 36.7% 44.5% Put IV 25d 44.8% 39.2% 54.4% 39.8% 54.4% Bid-Ask Spread % 43.36 21.99 58.10 21.99 51.85 Gamma HHI 0.20 0.08 0.37 0.27 0.08 Net GEX 11.0M -393.5K 22.7M 14.2M -215.3K Net DEX -171.8M -308.2M 58.1M -236.1M 58.1M Net VEX -1.4M -1.6M -1.3M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.02 2.05 0.23 1.01 Total Volume 13,217.682 2,088 66,130 13,296 5,697 Total OI 196,857.955 174,398 227,348 189,370 215,256
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 2020-10-01 $56.69 $52.50 37.8% 10.5% 34.4% 23.9% 35.8% 3.1% 2.7% 14.2M -236.1M -1.3M 0.23 21.99 N/A N/A 10,846 2,450 122,734 66,636 2020-10-02 $57.66 $52.50 37.3% 10.3% 33.8% 23.4% 36.3% 3.2% 3.3% 16.5M -281.3M -1.4M 0.30 29.74 N/A N/A 4,065 1,219 124,576 67,571 2020-10-05 $57.48 $55.00 38.5% 12.0% 33.8% 24.6% 42.7% 4.9% 0.7% 16.4M -262.6M -1.3M 0.49 52.77 N/A N/A 1,640 805 122,643 65,832 2020-10-06 $56.75 $55.00 39.0% 12.1% 34.2% 25.2% 42.5% 5.4% 1.2% 15.0M -226.9M -1.3M 0.63 54.42 N/A N/A 2,615 1,660 122,995 66,275 2020-10-07 $58.47 $55.00 37.5% 12.0% 35.4% 23.6% 41.7% 5.3% -0.4% 20.3M -308.2M -1.3M 0.28 49.33 N/A N/A 3,564 995 122,886 67,411 2020-10-08 $58.28 $55.00 37.3% 12.0% 35.1% 23.4% 42.3% 5.9% 0.4% 21.0M -294.9M -1.3M 0.63 51.93 N/A N/A 1,280 808 122,709 67,903 2020-10-09 $58.08 $55.00 39.3% 12.6% 35.1% 25.5% 44.2% 7.1% -1.7% 22.7M -279.1M -1.3M 0.02 57.14 N/A N/A 64,716 1,414 122,730 68,150 2020-10-12 $58.00 $55.00 38.0% 12.1% 34.2% 24.2% 42.4% 5.0% 4.5% 20.5M -292.4M -1.5M 2.05 55.67 N/A N/A 1,896 3,882 135,393 67,025 2020-10-13 $57.50 $55.00 38.4% 12.0% 33.5% 24.5% 45.1% 4.7% 3.5% 18.3M -258.3M -1.4M 0.48 52.76 N/A N/A 8,141 3,947 136,635 68,960 2020-10-14 $57.59 $55.00 37.6% 12.0% 33.2% 23.6% 41.0% 4.0% 3.9% 19.7M -267.4M -1.5M 1.39 49.86 N/A N/A 6,800 9,461 140,287 72,110 2020-10-15 $57.41 $55.00 38.3% 11.8% 31.1% 24.5% 41.2% 4.5% 3.1% 20.1M -245.7M -1.5M 0.60 53.97 N/A N/A 1,712 1,019 144,977 81,275 2020-10-16 $56.94 $55.00 36.4% 11.2% 31.2% 22.4% 37.8% 23.5% 8.6% 6.9M -201.3M -1.5M 0.79 58.10 N/A N/A 13,267 10,493 145,603 81,745 2020-10-19 $55.24 $55.00 42.9% 12.6% 29.0% 29.5% 42.2% 4.6% -1.9% 4.1M -89.3M -1.5M 1.50 35.26 N/A N/A 6,422 9,608 108,832 65,566 2020-10-20 $55.16 $55.00 41.6% 12.0% 29.0% 28.0% 40.8% 6.1% 0.2% 3.4M -89.6M -1.5M 0.37 34.80 N/A N/A 5,521 2,031 109,884 66,703 2020-10-21 $54.95 $55.00 42.5% 12.2% 28.4% 29.0% 41.4% 4.5% -2.7% 3.4M -82.0M -1.5M 0.13 30.06 N/A N/A 12,506 1,660 114,099 68,237 2020-10-22 $56.01 $55.00 41.6% 12.0% 28.9% 28.0% 42.0% 7.7% -2.1% 6.1M -140.4M -1.5M 0.45 31.98 N/A N/A 3,234 1,441 120,964 69,042 2020-10-23 $56.90 $55.00 41.5% 12.1% 29.2% 27.9% 41.8% 5.2% -1.8% 6.8M -181.5M -1.6M 0.61 30.23 N/A N/A 3,314 2,030 122,683 69,816 2020-10-26 $54.70 $55.00 44.6% 13.5% 28.9% 31.3% 46.2% 3.8% 1.1% 3.6M -88.1M -1.5M 0.50 36.81 N/A N/A 3,835 1,917 122,356 69,589 2020-10-27 $54.34 $55.00 41.8% 13.1% 27.5% 28.2% 45.6% 4.2% -1.0% 2.5M -63.3M -1.5M 0.78 30.94 N/A N/A 15,042 11,659 124,557 70,944 2020-10-28 $51.45 $55.00 47.5% 15.2% 32.0% 34.5% 51.5% 7.3% 1.8% -393.5K 44.9M -1.3M 0.99 42.88 N/A N/A 19,655 19,526 118,480 73,725 2020-10-29 $51.97 $55.00 45.6% 14.2% 31.3% 32.3% 50.1% 13.8% -0.1% 267.4K 4.6M -1.4M 0.11 41.47 N/A N/A 6,292 704 135,196 79,885 2020-10-30 $50.48 $55.00 49.6% 15.5% 31.4% 36.7% 52.3% 9.9% 0.8% -215.3K 58.1M -1.3M 1.01 51.85 N/A N/A 2,833 2,864 134,937 80,319
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