TTD Options History — June 2017

In June 2017, TTD traded between $4.87 and $5.68. ATM implied volatility averaged 48.8%. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 20.4% (HV 20d: 69.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2017-06-09: Highest Volume — 38,040 contracts
  • 2017-06-12: Largest IV spike — 18.1% change
  • 2017-06-13: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.22$4.87$5.68$5.47$5.03
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV48.8%44.5%61.5%46.9%48.6%
Expected Move13.7%13.0%14.4%13.5%13.9%
HV 20d69.2%44.0%116.0%110.7%49.4%
HV 60d78.0%76.2%80.3%80.3%76.2%
Term Structure7.1%-0.1%12.4%-0.1%9.5%
VWIV47.4%44.5%50.3%47.1%49.3%
Skew 25d2.5%-0.0%6.0%3.7%3.5%
Skew 10d5.4%1.3%12.2%6.4%7.3%
Call IV 25d46.8%43.8%50.3%44.8%46.9%
Put IV 25d49.3%45.6%52.9%48.5%50.4%
Bid-Ask Spread %49.6126.1767.2560.8049.81
Gamma HHI0.310.230.430.430.34
Net GEX306.3K20.7K515.7K315.1K394.7K
Net DEX-9.6M-19.1M-54.5K-13.5M-9.3M
Net VEX-57.9K-70.8K-45.1K-52.5K-67.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.111.620.420.71
Total Volume16,760.4555,36038,04025,0205,360
Total OI96,707.72767,740105,30088,790103,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$5.47$5.0046.9%13.5%110.7%0.0%47.1%3.7%-0.1%315.1K-13.5M-52.5K0.4260.80N/AN/A17,6207,40057,35031,440
2017-06-02$5.68$5.0046.2%13.2%110.5%0.0%45.4%3.6%1.3%319.3K-19.1M-54.6K0.4267.25N/AN/A26,22010,98062,74034,740
2017-06-05$5.57$5.0046.3%13.5%111.2%0.0%47.6%2.3%5.7%419.6K-18.2M-59.5K0.3726.17N/AN/A13,7205,14071,09031,590
2017-06-06$5.56$5.0044.5%13.0%111.4%0.0%44.5%0.9%5.2%334.4K-16.7M-58.6K0.3836.74N/AN/A12,8304,89069,28034,790
2017-06-07$5.44$5.0045.3%13.0%112.2%0.0%45.2%1.4%4.2%264.1K-12.4M-55.7K0.3643.55N/AN/A10,7303,82066,99034,470
2017-06-08$5.55$5.0047.9%13.1%111.6%0.0%46.6%0.1%6.1%319.4K-14.8M-55.1K0.1739.54N/AN/A12,3202,13066,76034,400
2017-06-09$5.14$5.0052.0%13.8%116.0%0.0%47.0%3.2%6.2%110.6K-3.8M-48.3K0.5048.01N/AN/A25,44012,60065,83034,470
2017-06-12$5.01$5.0061.5%14.2%56.9%0.0%50.3%-0.0%5.0%26.9K-54.5K-45.6K0.9251.45N/AN/A11,68010,69066,66038,640
2017-06-13$5.01$5.0058.5%14.4%56.9%0.0%48.7%3.3%3.7%107.1K-4.2M-47.8K0.3347.80N/AN/A14,1104,62070,07031,410
2017-06-14$4.94$5.0049.6%14.2%56.9%0.0%49.1%2.4%4.5%48.8K-2.2M-45.9K0.4737.94N/AN/A10,5305,00070,54031,710
2017-06-15$4.87$5.0049.3%14.1%49.6%0.0%49.4%1.4%3.1%20.7K-990.2K-45.1K0.7237.52N/AN/A6,5204,67070,56032,440
2017-06-16$4.96$5.0048.3%13.8%44.6%0.0%48.0%2.9%5.8%169.5K-122.3K-45.4K0.5549.88N/AN/A8,3204,61069,72033,600
2017-06-19$5.19$5.0047.0%13.5%47.0%0.0%46.5%1.5%10.2%277.9K-6.4M-50.0K0.1145.85N/AN/A23,9102,72048,97018,770
2017-06-20$5.08$5.0047.3%13.6%44.2%0.0%46.9%1.6%9.2%393.8K-8.9M-64.6K0.1555.86N/AN/A17,0102,54067,60019,280
2017-06-21$5.22$5.0048.6%13.9%45.0%0.0%45.8%1.9%9.5%454.5K-11.2M-67.5K0.2956.32N/AN/A9,3702,73068,31019,790
2017-06-22$5.15$5.0047.8%13.7%44.0%0.0%46.9%4.4%8.9%429.8K-10.8M-67.3K0.3851.38N/AN/A5,6902,17069,75020,570
2017-06-23$5.39$5.0045.5%13.1%46.9%0.0%45.1%1.8%12.0%515.7K-14.2M-70.3K0.3048.86N/AN/A9,0302,68069,36021,040
2017-06-26$5.29$5.0045.9%13.1%47.4%0.0%45.3%3.2%12.4%507.1K-13.0M-67.7K0.5939.83N/AN/A5,1703,06070,85021,680
2017-06-27$5.07$5.0048.9%14.0%48.6%0.0%48.8%2.5%10.5%421.9K-9.6M-66.1K1.6266.51N/AN/A4,0706,60073,07022,500
2017-06-28$5.26$5.0048.9%14.0%50.2%0.0%50.0%6.0%11.6%464.4K-12.3M-70.8K0.7765.89N/AN/A7,4505,71073,50024,910
2017-06-29$5.06$5.0049.6%14.2%51.8%0.0%49.1%4.7%11.3%423.8K-10.4M-68.9K1.0664.53N/AN/A3,3403,53077,78024,910
2017-06-30$5.03$5.0048.6%13.9%49.4%0.0%49.3%3.5%9.5%394.7K-9.3M-67.2K0.7149.81N/AN/A3,1402,22077,65025,990