TTD Options History — May 2017 In May 2017, TTD traded between $3.76 and $5.49. ATM implied volatility averaged 60.4%. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 26.8% (HV 20d: 87.2%). Max pain ranged from $3.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.48.
Notable Days 2017-05-12 : Highest Volume — 48,750 contracts2017-05-02 : Largest IV drop — 37.7% change2017-05-01 : Largest Expected Move — 27.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.70 $3.76 $5.49 $3.76 $5.49 Max Pain $4.27 $3.50 $5.00 $4.00 $5.00 ATM IV 60.4% 48.3% 94.5% 94.5% 51.7% Expected Move 16.2% 13.8% 27.1% 27.1% 14.8% HV 20d 87.2% 30.6% 111.2% 32.6% 110.8% Term Structure -4.5% -32.4% 4.1% -32.4% -1.1% VWIV 56.0% 39.2% 100.3% 100.3% 51.7% Skew 25d -1.6% -35.8% 13.9% 10.9% 2.2% Skew 10d 6.8% -5.5% 36.1% 2.8% 7.0% Call IV 25d 63.4% 45.2% 114.7% 114.7% 49.9% Put IV 25d 61.8% 37.4% 125.6% 125.6% 52.1% Bid-Ask Spread % 75.42 35.79 132.03 122.78 35.79 Gamma HHI 0.69 0.41 0.97 0.91 0.57 Net GEX 185.6K 6.2K 737.5K 6.2K 438.8K Net DEX -5.6M -15.2M -207.7K -207.7K -15.2M Net VEX -18.2K -50.0K -780 -780 -50.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.18 1.12 0.18 1.12 Total Volume 11,381.364 650 48,750 1,530 22,260 Total OI 30,913.636 1,490 79,590 1,490 79,590
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 2017-05-01 $3.76 $4.00 94.5% 27.1% 0.0% 0.0% 100.3% 10.9% -32.4% 6.2K -207.7K -780 0.18 122.78 N/A N/A 1,300 230 1,270 220 2017-05-02 $3.83 $4.00 58.9% 16.9% 0.0% 0.0% 56.8% 8.1% -4.1% 11.7K -219.5K -810 0.76 120.05 N/A N/A 370 280 1,300 230 2017-05-03 $3.80 $4.00 75.0% 21.5% 0.0% 0.0% 75.4% 10.2% -17.4% 8.7K -213.1K -864 0.76 123.47 N/A N/A 370 280 1,370 320 2017-05-04 $3.97 $3.50 80.1% 16.7% 0.0% 0.0% 39.2% -2.3% -30.1% 9.7K -249.1K -856 0.67 126.93 N/A N/A 420 280 1,370 320 2017-05-05 $4.00 $3.50 77.4% 14.2% 32.6% 0.0% 44.9% -35.8% 1.2% 14.7K -333.1K -945 0.58 132.03 N/A N/A 480 280 1,730 320 2017-05-08 $4.03 $3.50 73.8% 15.9% 31.5% 0.0% 46.6% -5.1% 0.2% 18.5K -368.9K -938 0.23 123.75 N/A N/A 1,240 280 1,790 320 2017-05-09 $4.08 $3.50 67.2% 14.9% 30.6% 0.0% 63.9% -31.8% -9.2% 28.9K -596.1K -1.2K 0.59 131.75 N/A N/A 710 420 2,430 320 2017-05-10 $4.01 $3.50 55.9% 16.0% 31.2% 0.0% 48.7% 13.9% -7.8% 24.9K -561.0K -1.3K 0.46 105.75 N/A N/A 500 230 2,630 480 2017-05-11 $3.97 $3.50 56.5% 16.2% 30.6% 0.0% 57.2% 1.0% -1.5% 19.4K -496.8K -1.3K 0.30 89.35 N/A N/A 2,290 690 2,680 520 2017-05-12 $5.28 $3.50 66.9% 19.2% 104.0% 0.0% 68.6% -0.1% -4.9% 17.6K -2.4M -1.1K 0.25 36.32 N/A N/A 38,880 9,870 4,970 1,130 2017-05-15 $5.29 $4.50 56.4% 16.2% 103.9% 0.0% 56.4% -1.9% -1.7% 310.2K -12.5M -17.1K 0.32 43.93 N/A N/A 13,240 4,280 33,550 9,240 2017-05-16 $5.22 $4.50 50.3% 14.4% 102.3% 0.0% 51.7% 0.8% 1.3% 288.4K -10.9M -18.5K 0.63 36.11 N/A N/A 7,750 4,900 32,810 10,510 2017-05-17 $4.82 $4.50 50.2% 14.4% 108.0% 0.0% 51.7% -0.8% -1.1% 274.1K -6.3M -21.1K 0.55 43.53 N/A N/A 9,720 5,330 35,960 12,360 2017-05-18 $5.13 $4.50 53.7% 15.4% 109.3% 0.0% 53.6% -0.3% 3.5% 288.2K -9.7M -23.5K 0.37 43.04 N/A N/A 15,620 5,740 36,010 13,820 2017-05-19 $5.02 $4.50 50.7% 14.5% 109.8% 0.0% 51.8% 0.1% 2.3% 737.5K -9.7M -27.4K 0.56 46.30 N/A N/A 11,670 6,510 42,690 16,060 2017-05-22 $5.27 $5.00 54.3% 15.6% 110.4% 0.0% 55.0% 1.0% -0.8% 239.6K -8.4M -34.3K 0.25 54.61 N/A N/A 12,700 3,120 35,280 10,310 2017-05-23 $5.34 $5.00 52.7% 15.1% 110.1% 0.0% 52.8% -2.9% 0.1% 258.1K -9.4M -35.4K 0.26 46.89 N/A N/A 10,920 2,890 36,680 11,450 2017-05-24 $5.19 $5.00 51.6% 14.8% 111.2% 0.0% 53.6% -2.8% 4.1% 263.4K -8.4M -37.4K 0.65 59.11 N/A N/A 9,350 6,050 39,710 11,740 2017-05-25 $5.20 $5.00 49.4% 14.2% 111.2% 0.0% 48.6% 0.1% 1.2% 281.3K -8.3M -40.1K 0.46 37.64 N/A N/A 11,070 5,050 42,670 16,090 2017-05-26 $5.23 $5.00 48.3% 13.8% 110.8% 0.0% 49.2% 0.8% 1.7% 242.8K -8.3M -42.2K 0.32 46.45 N/A N/A 8,470 2,680 42,690 19,010 2017-05-30 $5.38 $5.00 53.0% 15.2% 110.8% 0.0% 54.0% 0.1% -3.2% 300.7K -11.2M -44.2K 0.38 53.72 N/A N/A 8,440 3,230 46,390 19,760 2017-05-31 $5.49 $5.00 51.7% 14.8% 110.8% 0.0% 51.7% 2.2% -1.1% 438.8K -15.2M -50.0K 1.12 35.79 N/A N/A 10,510 11,750 57,350 22,240
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