TJX Options History — December 2020

In December 2020, TJX traded between $64.70 and $68.38. ATM implied volatility averaged 31.1%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.3% (HV 20d: 31.4%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-12-30: Highest Volume — 34,926 contracts
  • 2020-12-21: Largest IV spike — 7.9% change
  • 2020-12-01: Highest IV Rank — 18.8%
  • 2020-12-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.72$64.70$68.38$64.70$68.37
Max Pain$55.57$52.50$57.50$52.50$57.50
ATM IV31.1%28.9%33.1%33.1%30.3%
Expected Move9.0%8.2%9.8%9.8%8.4%
HV 20d31.4%17.4%57.4%57.4%17.4%
HV 60d42.1%40.2%43.6%43.6%40.2%
IV Rank16.6%14.3%18.8%18.8%15.7%
IV Percentile22.5%16.3%30.6%30.6%17.1%
Term Structure0.4%-1.6%1.9%1.1%0.4%
VWIV32.0%29.5%35.3%34.0%29.5%
Skew 25d2.5%1.1%4.2%1.1%1.3%
Skew 10d7.1%3.2%11.5%3.2%5.7%
Call IV 25d30.8%28.1%33.1%33.1%30.7%
Put IV 25d33.2%31.6%35.3%34.3%32.0%
Bid-Ask Spread %19.7810.3834.1228.5914.23
Gamma HHI0.180.140.320.150.19
Net GEX21.3M15.1M41.2M17.6M15.1M
Net DEX-641.6M-1.22B-519.6M-586.5M-595.8M
Net VEX-1.3M-1.6M-1.1M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.071.681.200.80
Total Volume6,865.5451,31034,9269,4916,583
Total OI227,216.409203,286326,330226,496218,413

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$64.70$52.5033.1%9.8%57.4%18.8%34.0%1.1%1.1%17.6M-586.5M-1.5M1.2028.59N/AN/A4,3085,183157,46469,032
2020-12-02$64.80$52.5032.6%9.5%55.7%18.3%33.3%1.8%1.1%16.6M-586.1M-1.5M0.6334.12N/AN/A2,8761,818158,64172,263
2020-12-03$65.48$55.0031.7%9.2%55.2%17.3%32.9%1.1%1.2%17.6M-622.5M-1.5M0.1516.06N/AN/A17,0182,585159,62273,520
2020-12-04$66.58$55.0031.9%9.3%55.0%17.5%32.9%1.9%1.9%18.1M-686.9M-1.4M0.2813.63N/AN/A6,9451,945161,48772,491
2020-12-07$65.74$55.0032.1%9.3%54.9%17.8%34.5%1.8%0.0%17.6M-620.5M-1.4M1.4112.96N/AN/A1,5762,217157,83170,487
2020-12-08$65.45$55.0031.8%9.3%30.9%17.5%32.5%2.1%0.4%17.7M-608.2M-1.4M1.6818.09N/AN/A2,3713,972158,47669,337
2020-12-09$66.63$55.0032.1%9.2%31.2%17.8%32.5%2.9%-0.0%41.2M-1.22B-1.6M0.3614.11N/AN/A1,554552253,77072,560
2020-12-10$66.73$55.0032.0%9.2%28.3%17.6%35.2%2.3%0.1%19.6M-666.8M-1.4M1.3229.07N/AN/A8911,173159,27672,751
2020-12-11$66.07$55.0032.2%9.5%27.2%17.9%35.3%2.3%1.4%19.7M-636.5M-1.4M0.3625.19N/AN/A3,3051,192159,47373,009
2020-12-14$65.44$55.0032.4%9.3%27.5%18.1%32.6%4.2%-0.4%21.2M-598.6M-1.3M0.2921.13N/AN/A2,337681158,47268,967
2020-12-15$66.49$55.0030.7%8.8%27.4%16.2%32.3%3.2%-0.2%22.8M-656.4M-1.3M1.6125.83N/AN/A1,8462,978159,03169,262
2020-12-16$66.58$55.0030.3%8.7%27.4%15.8%30.5%3.1%0.1%23.5M-662.4M-1.3M0.0810.38N/AN/A4,125330159,47169,302
2020-12-17$67.56$55.0030.0%8.6%26.3%15.5%29.6%2.8%-0.7%24.1M-714.1M-1.3M0.0723.80N/AN/A9,010596160,03471,117
2020-12-18$67.83$55.0029.2%8.5%24.6%14.6%30.3%3.5%-1.6%27.6M-739.1M-1.3M0.7324.87N/AN/A3,7622,756165,76671,048
2020-12-21$66.94$55.0031.5%9.3%24.9%17.1%33.2%2.4%1.1%19.8M-527.6M-1.3M0.4719.65N/AN/A3,1071,456138,23165,055
2020-12-22$67.02$57.5030.7%8.9%24.8%16.2%30.5%2.5%1.1%20.7M-532.5M-1.3M1.3118.50N/AN/A9981,303139,89666,180
2020-12-23$67.66$57.5029.5%8.6%19.7%15.0%31.3%3.1%0.9%21.6M-561.9M-1.3M1.0721.04N/AN/A882944141,19468,230
2020-12-24$66.92$57.5028.9%8.2%18.7%14.3%30.5%3.5%0.1%23.3M-519.6M-1.2M0.8016.99N/AN/A728582141,51168,693
2020-12-28$68.38$57.5029.8%8.6%19.6%15.2%30.6%2.2%0.5%22.1M-598.0M-1.1M1.3514.27N/AN/A2,8733,893139,83266,467
2020-12-29$68.19$57.5030.5%8.7%19.7%16.0%31.2%2.6%0.4%21.2M-582.6M-1.2M0.8414.46N/AN/A1,5591,306140,79868,935
2020-12-30$68.34$57.5030.3%8.5%17.4%15.8%30.0%2.3%0.6%20.8M-594.4M-1.2M0.3518.25N/AN/A25,8099,117141,74369,623
2020-12-31$68.37$57.5030.3%8.4%17.4%15.7%29.5%1.3%0.4%15.1M-595.8M-1.3M0.8014.23N/AN/A3,6482,935146,39572,018