TJX Options History — September 2021

In September 2021, TJX traded between $66.20 and $72.03. ATM implied volatility averaged 23.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.8% (HV 20d: 22.5%). Max pain ranged from $67.50 to $72.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2021-09-16: Highest Volume — 35,513 contracts
2021-09-20: Largest IV spike — 18.4% change
2021-09-30: Highest IV Rank — 27.1%
2021-09-30: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.97	$66.20	$72.03	$72.03	$66.20
Max Pain	$67.71	$67.50	$72.00	$72.00	$67.50
ATM IV	23.3%	21.1%	27.5%	21.1%	27.5%
Expected Move	6.7%	6.0%	8.3%	6.0%	8.3%
HV 20d	22.5%	16.4%	28.8%	28.2%	25.8%
HV 60d	23.5%	23.0%	26.3%	23.4%	26.3%
IV Rank	13.2%	6.2%	27.1%	6.2%	27.1%
IV Percentile	17.4%	3.6%	42.5%	3.6%	42.5%
Term Structure	0.1%	-1.4%	1.6%	0.9%	0.0%
VWIV	23.6%	20.2%	29.2%	20.2%	28.4%
Skew 25d	4.2%	2.5%	7.1%	2.5%	6.6%
Skew 10d	10.8%	6.7%	14.1%	8.7%	14.1%
Call IV 25d	22.1%	19.9%	25.3%	20.9%	25.3%
Put IV 25d	26.4%	22.8%	31.9%	23.5%	31.9%
Bid-Ask Spread %	43.80	26.87	59.44	50.34	34.62
Gamma HHI	0.17	0.12	0.34	0.16	0.15
Net GEX	7.7M	-9.2M	40.2M	12.1M	-9.2M
Net DEX	-80.6M	-230.3M	118.4M	-192.3M	118.4M
Net VEX	-1.3M	-1.4M	-1.1M	-1.3M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.15	1.24	0.28	1.11
Total Volume	11,389.714	2,091	35,513	12,165	21,470
Total OI	208,040.238	184,068	229,889	188,425	200,483

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
2021-09-01	$72.03	$72.00	21.1%	6.0%	28.2%	6.2%	20.2%	2.5%	0.9%	12.1M	-192.3M	-1.3M	0.28	50.34	N/A	N/A	9,499	2,666	107,662	80,763
2021-09-02	$71.76	$67.50	21.5%	6.2%	27.9%	7.3%	21.9%	3.1%	0.2%	2.2M	-135.5M	-1.4M	1.22	45.07	N/A	N/A	1,433	1,748	108,370	93,992
2021-09-03	$71.12	$67.50	21.2%	6.3%	28.0%	6.2%	22.4%	2.9%	-1.0%	5.4M	-76.4M	-1.4M	1.24	53.36	N/A	N/A	4,389	5,449	113,160	95,591
2021-09-07	$69.84	$67.50	23.9%	6.4%	28.8%	15.4%	22.4%	3.4%	-0.1%	2.7M	-64.1M	-1.3M	0.22	41.24	N/A	N/A	11,777	2,647	112,490	87,376
2021-09-08	$69.58	$67.50	21.9%	6.6%	26.8%	8.5%	23.6%	3.1%	1.6%	615.2K	-23.7M	-1.4M	0.50	28.88	N/A	N/A	5,429	2,698	113,946	91,258
2021-09-09	$69.65	$67.50	23.0%	6.5%	26.6%	12.4%	24.0%	3.0%	-0.5%	9.7M	-49.6M	-1.4M	0.43	43.49	N/A	N/A	6,286	2,713	121,799	92,756
2021-09-10	$69.01	$67.50	23.3%	6.5%	26.8%	13.3%	23.6%	3.9%	-1.1%	-185.9K	541.4K	-1.4M	0.42	47.05	N/A	N/A	6,179	2,584	125,263	93,994
2021-09-13	$68.56	$67.50	23.3%	6.7%	26.4%	13.1%	23.1%	4.9%	-0.2%	-1.6M	20.9M	-1.3M	0.68	35.89	N/A	N/A	5,240	3,540	120,260	93,242
2021-09-14	$69.53	$67.50	23.2%	6.6%	26.9%	12.8%	23.8%	4.3%	0.3%	2.3M	-25.2M	-1.3M	0.19	50.35	N/A	N/A	10,890	2,085	120,961	94,544
2021-09-15	$69.59	$67.50	21.8%	6.2%	26.5%	8.2%	22.1%	4.4%	0.0%	1.3M	-28.3M	-1.3M	0.17	52.37	N/A	N/A	6,565	1,103	121,556	97,011
2021-09-16	$70.59	$67.50	22.0%	6.3%	17.5%	9.0%	21.9%	2.7%	-0.3%	16.5M	-141.6M	-1.3M	0.15	59.44	N/A	N/A	30,905	4,608	127,279	98,055
2021-09-17	$70.31	$67.50	22.9%	6.6%	17.4%	11.9%	22.8%	4.0%	-0.7%	17.4M	-144.4M	-1.3M	0.17	57.94	N/A	N/A	15,111	2,550	131,471	98,418
2021-09-20	$68.83	$67.50	27.1%	7.8%	18.2%	25.9%	29.2%	7.1%	-0.1%	3.2M	-36.7M	-1.4M	1.05	42.99	N/A	N/A	5,352	5,613	119,306	86,550
2021-09-21	$69.50	$67.50	25.7%	7.2%	17.7%	21.1%	27.1%	4.6%	-1.4%	9.7M	-70.2M	-1.3M	0.27	46.15	N/A	N/A	10,028	2,659	121,979	85,703
2021-09-22	$69.69	$67.50	22.8%	6.5%	17.7%	11.5%	23.0%	5.3%	1.6%	9.4M	-75.9M	-1.3M	0.77	49.65	N/A	N/A	1,393	1,072	121,100	88,074
2021-09-23	$70.90	$67.50	21.9%	6.4%	18.6%	8.6%	22.3%	4.2%	0.4%	27.1M	-177.1M	-1.2M	0.27	44.27	N/A	N/A	9,454	2,522	123,054	89,521
2021-09-24	$71.24	$67.50	22.3%	6.2%	16.4%	10.0%	21.7%	4.5%	0.4%	40.2M	-230.3M	-1.3M	0.39	27.04	N/A	N/A	12,218	4,821	123,657	89,963
2021-09-27	$71.27	$67.50	22.8%	6.5%	16.4%	11.7%	22.3%	4.1%	0.2%	8.0M	-158.2M	-1.2M	0.21	44.99	N/A	N/A	5,663	1,208	97,141	86,927
2021-09-28	$70.13	$67.50	25.0%	7.3%	16.8%	18.9%	25.5%	5.5%	0.5%	3.1M	-101.9M	-1.2M	0.60	37.81	N/A	N/A	3,444	2,082	105,585	90,000
2021-09-29	$70.09	$67.50	24.5%	7.2%	16.8%	17.2%	24.7%	5.2%	0.3%	2.3M	-100.6M	-1.2M	0.57	26.87	N/A	N/A	1,329	762	108,028	90,557
2021-09-30	$66.20	$67.50	27.5%	8.3%	25.8%	27.1%	28.4%	6.6%	0.0%	-9.2M	118.4M	-1.1M	1.11	34.62	N/A	N/A	10,168	11,302	109,476	91,007