TTD Options History — July 2017

In July 2017, TTD traded between $4.86 and $5.57. ATM implied volatility averaged 63.8%. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 18.3% (HV 20d: 45.5%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2017-07-19: Highest Volume — 52,570 contracts
  • 2017-07-12: Largest IV spike — 19.1% change
  • 2017-07-31: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.19$4.86$5.57$4.97$5.34
Max Pain$4.70$4.50$5.00$5.00$5.00
ATM IV63.8%50.9%75.5%51.0%75.5%
Expected Move18.9%14.6%21.7%14.6%21.7%
HV 20d45.5%37.8%49.7%49.2%43.9%
HV 60d73.9%72.1%75.6%75.6%74.8%
Term Structure-6.9%-13.9%10.2%9.4%-13.9%
VWIV66.3%53.1%75.8%53.1%75.8%
Skew 25d4.5%2.1%7.1%3.6%3.9%
Skew 10d9.0%4.0%15.0%12.8%9.5%
Call IV 25d64.4%50.6%74.4%50.6%74.4%
Put IV 25d68.8%54.2%78.4%54.2%78.4%
Bid-Ask Spread %47.0239.7458.0452.6753.33
Gamma HHI0.330.250.590.330.29
Net GEX572.1K268.4K1.4M348.5K618.4K
Net DEX-15.6M-29.4M-5.7M-7.6M-19.3M
Net VEX-78.1K-98.4K-62.1K-63.0K-94.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.082.332.330.20
Total Volume17,434.56,43052,5709,62014,180
Total OI123,826103,810159,300103,810133,320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$4.97$5.0051.0%14.6%49.2%0.0%53.1%3.6%9.4%348.5K-7.6M-63.0K2.3352.67N/AN/A2,8906,73077,27026,540
2017-07-05$4.98$5.0052.1%14.9%49.3%0.0%57.4%5.9%10.2%332.3K-7.7M-64.9K1.1144.05N/AN/A5,6206,24077,73030,300
2017-07-06$4.86$4.5051.5%17.9%49.3%0.0%63.9%5.3%-5.3%268.4K-5.7M-62.1K1.2047.34N/AN/A2,9203,51079,28029,990
2017-07-07$4.98$4.5050.9%17.9%49.6%0.0%63.8%5.3%-4.6%348.7K-7.8M-64.3K0.3045.51N/AN/A8,1902,49079,61030,200
2017-07-10$5.02$4.5054.3%18.0%42.2%0.0%66.5%4.6%-6.7%384.6K-9.2M-64.3K0.2446.58N/AN/A9,3802,27082,34030,800
2017-07-11$5.11$4.5053.9%19.1%41.7%0.0%64.6%4.0%-9.0%434.2K-10.4M-64.9K0.1140.18N/AN/A22,5902,47080,04030,940
2017-07-12$5.16$4.5064.2%18.4%41.8%0.0%62.1%5.1%-7.7%524.2K-12.3M-68.2K0.2541.77N/AN/A9,8002,42083,89031,410
2017-07-13$5.10$4.5064.2%18.4%41.7%0.0%64.0%4.4%-6.4%458.6K-10.4M-66.2K0.2042.57N/AN/A9,5201,90083,22032,160
2017-07-14$5.10$4.5065.8%18.9%41.4%0.0%65.0%4.6%-6.7%474.2K-11.4M-72.0K0.1751.67N/AN/A10,9101,89089,28032,630
2017-07-17$5.05$4.5066.5%19.1%41.2%0.0%66.8%4.2%-8.4%583.0K-12.2M-72.8K0.5840.80N/AN/A4,5002,60096,16033,350
2017-07-18$4.99$4.5067.3%19.3%37.8%0.0%68.0%3.9%-8.9%473.1K-10.2M-71.0K0.3745.03N/AN/A7,0302,59098,08034,590
2017-07-19$5.45$4.5067.1%19.2%48.5%0.0%67.1%4.8%-9.7%1.0M-25.5M-78.2K0.0839.74N/AN/A48,6303,940101,53035,160
2017-07-20$5.43$4.5067.5%19.3%47.8%0.0%66.4%4.9%-10.0%1.4M-29.4M-89.4K0.2146.15N/AN/A18,6103,830120,66035,630
2017-07-21$5.23$4.5070.9%20.3%49.7%0.0%68.1%7.1%-12.4%535.7K-22.9M-86.6K0.2749.84N/AN/A15,4104,180122,35036,950
2017-07-24$5.41$5.0069.2%19.8%48.5%0.0%69.1%4.8%-6.6%603.2K-20.7M-91.3K0.2043.07N/AN/A14,8202,92091,95021,270
2017-07-25$5.57$5.0071.0%20.4%49.0%0.0%71.1%5.2%-9.5%683.0K-26.1M-98.2K0.1649.91N/AN/A21,3203,48099,80022,880
2017-07-26$5.48$5.0070.0%20.1%46.4%0.0%70.5%2.1%-7.9%678.1K-24.3M-97.2K0.2051.86N/AN/A18,9103,720101,42024,050
2017-07-27$5.30$5.0072.0%20.6%46.3%0.0%71.2%3.5%-10.4%588.0K-18.8M-93.7K0.1958.04N/AN/A27,4305,19099,70026,200
2017-07-28$5.33$5.0071.0%20.4%44.0%0.0%71.0%2.3%-12.5%629.6K-20.2M-98.4K0.2250.35N/AN/A11,2402,420105,14028,700
2017-07-31$5.34$5.0075.5%21.7%43.9%0.0%75.8%3.9%-13.9%618.4K-19.3M-94.8K0.2053.33N/AN/A11,7702,410103,86029,460