TJX Options History — November 2020 In November 2020, TJX traded between $51.42 and $64.33. ATM implied volatility averaged 37.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 18.0% (HV 20d: 55.0%). Max pain ranged from $52.50 to $54.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.48.
Notable Days 2020-11-18 : Highest Volume — 63,337 contracts2020-11-18 : Largest IV drop — 19.5% change2020-11-02 : Highest IV Rank — 34.9%2020-11-02 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $59.60 $51.42 $64.33 $51.42 $62.86 Max Pain $52.75 $52.50 $54.50 $54.50 $52.50 ATM IV 37.0% 31.6% 48.0% 48.0% 32.7% Expected Move 10.7% 8.9% 15.2% 15.2% 9.7% HV 20d 55.0% 32.6% 62.8% 32.6% 57.1% HV 60d 41.7% 35.0% 45.5% 35.0% 43.2% IV Rank 23.0% 17.2% 34.9% 34.9% 18.4% IV Percentile 46.1% 25.8% 83.3% 83.3% 29.8% Term Structure -0.7% -2.2% 1.2% -0.8% 0.7% VWIV 37.8% 31.4% 53.4% 49.9% 33.8% Skew 25d 3.6% 1.8% 7.4% 7.4% 2.6% Skew 10d 7.9% 3.1% 15.6% 14.4% 5.2% Call IV 25d 36.0% 30.5% 44.8% 44.8% 32.2% Put IV 25d 39.7% 34.1% 52.3% 52.3% 34.9% Bid-Ask Spread % 36.30 17.43 58.21 40.38 20.73 Gamma HHI 0.14 0.09 0.22 0.09 0.14 Net GEX 14.0M -482.6K 26.7M -158.8K 16.8M Net DEX -382.5M -616.4M 8.1M 8.1M -491.2M Net VEX -1.4M -1.6M -1.3M -1.3M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.04 1.22 0.36 0.43 Total Volume 18,256.8 3,084 63,337 4,533 6,403 Total OI 219,024.7 185,728 250,272 206,356 231,185
Daily Data (20 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 2020-11-02 $51.42 $54.50 48.0% 15.2% 32.6% 34.9% 49.9% 7.4% -0.8% -158.8K 8.1M -1.3M 0.36 40.38 N/A N/A 3,340 1,193 130,044 76,312 2020-11-03 $54.05 $54.50 46.1% 13.3% 38.0% 32.8% 53.4% 6.2% -1.4% 2.7M -101.3M -1.4M 0.30 56.42 N/A N/A 4,249 1,270 130,044 76,312 2020-11-04 $53.46 $53.50 41.1% 13.7% 36.1% 27.5% 46.8% 4.8% -0.8% -482.6K -67.9M -1.3M 0.24 58.21 N/A N/A 5,149 1,238 131,839 77,853 2020-11-05 $54.77 $52.50 39.2% 10.8% 37.5% 25.4% 39.0% 4.6% -1.2% 3.9M -131.6M -1.3M 0.40 57.27 N/A N/A 2,200 884 131,821 78,558 2020-11-06 $54.00 $52.50 39.0% 10.7% 37.7% 25.2% 39.1% 3.9% -2.1% 8.6M -106.2M -1.3M 1.22 39.58 N/A N/A 4,587 5,616 132,140 78,611 2020-11-09 $61.59 $52.50 37.2% 10.3% 61.0% 23.2% 39.4% 1.8% -1.2% 17.4M -437.3M -1.3M 0.04 42.64 N/A N/A 50,220 2,050 123,416 62,312 2020-11-10 $62.22 $52.50 39.5% 10.8% 60.9% 25.7% 38.8% 4.5% -2.2% 16.2M -541.9M -1.4M 0.72 40.37 N/A N/A 7,331 5,281 140,321 62,783 2020-11-11 $60.25 $52.50 37.2% 10.6% 62.3% 23.3% 37.0% 2.9% -0.1% 17.1M -446.3M -1.4M 0.59 36.99 N/A N/A 9,483 5,597 143,242 63,568 2020-11-12 $59.01 $52.50 40.2% 11.0% 62.8% 26.5% 39.1% 3.4% -1.3% 15.6M -397.5M -1.4M 0.42 26.52 N/A N/A 6,535 2,761 149,586 67,442 2020-11-13 $59.89 $52.50 38.4% 10.8% 62.8% 24.5% 37.9% 3.1% -0.8% 19.3M -439.6M -1.5M 1.02 43.83 N/A N/A 14,038 14,338 153,064 68,729 2020-11-16 $60.95 $52.50 38.4% 11.1% 61.8% 24.6% 38.5% 3.8% 1.2% 16.1M -472.4M -1.4M 0.87 40.56 N/A N/A 7,034 6,093 155,561 70,721 2020-11-17 $60.98 $52.50 39.6% 11.3% 61.8% 25.9% 38.1% 3.5% -1.2% 16.4M -477.6M -1.4M 0.56 41.60 N/A N/A 18,759 10,424 158,645 74,769 2020-11-18 $62.69 $52.50 31.9% 9.1% 62.2% 17.5% 31.4% 4.0% -0.0% 26.7M -616.4M -1.3M 0.24 31.41 N/A N/A 50,945 12,392 166,637 83,635 2020-11-19 $61.40 $52.50 32.3% 9.3% 62.7% 18.0% 33.0% 2.9% -1.1% 22.2M -494.7M -1.4M 0.68 30.26 N/A N/A 8,357 5,663 162,396 80,268 2020-11-20 $60.80 $52.50 31.6% 9.1% 62.8% 17.2% 32.0% 3.0% -0.6% 19.5M -458.7M -1.4M 0.34 24.68 N/A N/A 5,672 1,917 164,055 82,884 2020-11-23 $61.48 $52.50 31.6% 8.9% 60.8% 17.2% 31.6% 2.6% -0.7% 12.4M -400.1M -1.4M 0.49 17.43 N/A N/A 18,763 9,134 132,455 60,095 2020-11-24 $64.33 $52.50 32.3% 9.2% 62.1% 17.9% 32.3% 1.8% -0.5% 16.6M -564.7M -1.4M 0.08 23.73 N/A N/A 37,482 2,988 146,125 67,045 2020-11-25 $63.08 $52.50 31.7% 9.3% 58.6% 17.3% 32.3% 2.4% -0.2% 17.7M -508.6M -1.6M 0.46 29.36 N/A N/A 4,723 2,169 162,671 68,716 2020-11-27 $62.86 $52.50 31.6% 8.9% 58.8% 17.2% 31.8% 3.4% 0.1% 15.9M -505.0M -1.5M 0.08 23.96 N/A N/A 8,224 634 164,544 70,090 2020-11-30 $62.86 $52.50 32.7% 9.7% 57.1% 18.4% 33.8% 2.6% 0.7% 16.8M -491.2M -1.5M 0.43 20.73 N/A N/A 4,484 1,919 163,168 68,017
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