TJX Options History — September 2023

In September 2023, TJX traded between $87.91 and $93.45. ATM implied volatility averaged 16.3%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.3% (HV 20d: 16.5%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2023-09-22: Highest Volume — 24,174 contracts
  • 2023-09-21: Largest IV spike — 14.0% change
  • 2023-09-26: Highest IV Rank — 24.8%
  • 2023-09-26: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.75$87.91$93.45$92.59$88.94
Max Pain$86.50$85.00$87.50$87.50$87.50
ATM IV16.3%13.8%20.4%13.8%18.7%
Expected Move4.7%3.2%5.9%3.2%5.3%
HV 20d16.5%12.7%20.8%19.9%13.1%
HV 60d15.6%15.1%16.2%16.1%15.4%
IV Rank9.2%0.0%24.8%0.0%18.4%
IV Percentile10.2%0.0%26.6%0.0%23.0%
Term Structure0.1%-0.5%0.6%0.6%0.2%
VWIV16.0%11.4%19.2%11.4%17.7%
Skew 25d2.9%2.2%4.0%2.2%3.5%
Skew 10d5.7%4.1%7.4%4.1%6.9%
Call IV 25d15.0%12.8%18.6%12.8%17.0%
Put IV 25d17.8%15.0%22.3%15.1%20.5%
Bid-Ask Spread %2.711.753.662.243.12
Gamma HHI0.240.100.780.220.30
Net GEX36.9M7.8M166.6M43.1M39.8M
Net DEX-352.5M-578.1M-171.1M-535.4M-217.9M
Net VEX-2.6M-2.8M-2.4M-2.6M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.101.571.220.49
Total Volume7,996.93,31224,1745,6976,552
Total OI192,815.15170,037210,945194,154210,945

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$92.59$87.5013.8%3.2%19.9%0.0%11.4%2.2%0.6%43.1M-535.4M-2.6M1.222.24N/AN/A2,5693,128108,67885,476
2023-09-05$91.72$85.0014.6%4.2%20.4%2.9%14.9%2.4%0.2%41.7M-452.9M-2.5M1.133.01N/AN/A1,8452,081106,86683,447
2023-09-06$90.88$85.0015.3%4.6%20.8%5.5%15.6%2.7%0.2%31.4M-383.5M-2.6M0.652.23N/AN/A3,9702,592107,46984,575
2023-09-07$91.18$85.0015.2%4.7%20.8%5.4%15.2%2.7%0.2%36.6M-405.4M-2.6M0.872.32N/AN/A3,1782,772108,24485,060
2023-09-08$91.59$85.0014.3%4.2%20.7%1.9%15.4%2.4%0.2%43.5M-441.3M-2.5M0.392.63N/AN/A4,0841,592109,41886,612
2023-09-11$91.28$85.0014.7%4.1%20.7%3.4%15.0%2.4%-0.5%39.6M-395.6M-2.6M0.913.33N/AN/A2,2032,008107,60684,274
2023-09-12$92.18$85.0014.6%4.2%20.8%3.0%15.3%2.7%0.0%53.8M-480.0M-2.5M0.711.86N/AN/A2,3281,664108,28485,502
2023-09-13$92.78$85.0013.9%4.2%20.4%0.5%14.6%2.6%0.6%61.7M-537.6M-2.4M0.951.75N/AN/A3,2403,092108,32786,540
2023-09-14$93.45$85.0014.1%4.1%14.9%0.9%13.8%2.2%0.3%50.5M-578.1M-2.5M0.652.44N/AN/A5,8793,813108,07887,793
2023-09-15$92.38$87.5014.2%4.1%14.7%1.5%13.6%2.4%0.2%166.6M-435.4M-2.5M0.392.36N/AN/A8,8273,410109,79190,015
2023-09-18$91.99$87.5014.8%4.2%13.9%3.6%14.0%2.5%0.0%19.7M-359.6M-2.6M0.572.90N/AN/A4,7552,69992,04977,988
2023-09-19$91.34$87.5016.0%4.6%14.2%8.2%15.5%2.9%0.1%17.1M-323.1M-2.6M0.893.66N/AN/A3,6533,26695,08879,751
2023-09-20$90.75$87.5016.2%4.6%14.0%8.9%16.6%2.7%0.0%15.5M-291.5M-2.6M0.802.88N/AN/A1,8371,47597,93180,737
2023-09-21$89.27$87.5018.4%5.3%14.8%17.4%18.3%3.2%-0.0%10.1M-211.2M-2.7M1.573.62N/AN/A4,4276,94898,51380,785
2023-09-22$89.31$87.5017.9%5.1%13.5%15.4%16.6%3.0%0.0%7.8M-209.3M-2.7M0.102.73N/AN/A22,0372,137100,24084,510
2023-09-25$88.16$87.5019.4%5.6%14.1%20.9%18.9%3.6%0.1%11.0M-171.1M-2.8M0.222.24N/AN/A8,7361,918112,72380,728
2023-09-26$87.97$87.5020.4%5.9%13.2%24.8%19.2%3.7%-0.0%12.3M-179.9M-2.8M0.482.91N/AN/A8,3934,060120,36781,247
2023-09-27$87.91$87.5019.7%5.7%12.7%22.3%19.0%4.0%0.2%14.6M-176.8M-2.8M0.822.47N/AN/A3,5132,870126,27784,351
2023-09-28$89.32$87.5019.0%5.4%13.2%19.6%18.6%3.6%0.3%21.9M-264.3M-2.8M0.733.41N/AN/A3,7022,685126,16983,849
2023-09-29$88.94$87.5018.7%5.3%13.1%18.4%17.7%3.5%0.2%39.8M-217.9M-2.8M0.493.12N/AN/A4,4022,150125,73085,215