TTD Options History — August 2017

In August 2017, TTD traded between $4.87 and $5.55. ATM implied volatility averaged 60.5%. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 9.6% (HV 20d: 50.9%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-08-11: Highest Volume — 61,180 contracts
  • 2017-08-09: Largest IV drop — 31.1% change
  • 2017-08-01: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.21$4.87$5.55$5.33$5.30
Max Pain$4.74$4.00$5.00$5.00$5.00
ATM IV60.5%43.7%99.5%78.3%43.9%
Expected Move16.1%12.5%22.4%22.4%12.6%
HV 20d50.9%43.4%62.7%43.6%50.5%
HV 60d54.3%47.6%75.2%74.8%47.6%
Term Structure-2.4%-15.9%3.9%-15.9%3.9%
VWIV55.8%42.1%79.1%79.1%42.1%
Skew 25d5.0%2.6%7.2%5.6%3.6%
Skew 10d8.9%3.7%13.2%8.0%9.9%
Call IV 25d53.9%42.5%76.1%76.1%42.5%
Put IV 25d58.9%46.1%82.4%81.7%46.1%
Bid-Ask Spread %34.4216.7548.3347.2041.46
Gamma HHI0.300.220.500.270.33
Net GEX673.9K192.3K1.4M650.4K640.8K
Net DEX-17.7M-32.8M-3.8M-21.9M-15.4M
Net VEX-87.2K-104.6K-73.8K-97.4K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.171.250.270.71
Total Volume21,464.7835,23061,18011,9808,950
Total OI160,510.87122,970207,190139,890136,440

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$5.33$5.0078.3%22.4%43.6%0.0%79.1%5.6%-15.9%650.4K-21.9M-97.4K0.2747.20N/AN/A9,4102,570110,09029,800
2017-08-02$5.30$5.0077.5%22.2%43.7%0.0%76.4%7.0%-14.2%692.4K-22.2M-101.1K0.2445.92N/AN/A10,0602,420115,89030,520
2017-08-03$5.45$4.0081.2%17.8%43.4%0.0%61.5%4.8%-3.4%773.3K-26.6M-104.6K0.1739.77N/AN/A23,0603,960118,83031,160
2017-08-04$5.34$4.0085.7%18.4%43.7%0.0%64.1%4.7%-5.0%807.9K-26.2M-104.4K0.4236.99N/AN/A27,16011,410126,28031,930
2017-08-07$5.55$4.5097.7%19.1%45.3%0.0%65.3%6.8%-9.5%900.8K-32.8M-104.1K0.5934.51N/AN/A23,81014,040128,69033,580
2017-08-08$5.44$4.5099.5%19.4%45.8%0.0%67.0%5.6%-6.4%901.2K-30.8M-104.2K0.7836.10N/AN/A15,05011,720134,16036,490
2017-08-09$5.40$4.5068.5%19.6%45.9%0.0%65.6%7.1%-7.8%861.9K-28.5M-102.7K0.3026.77N/AN/A17,3805,150135,38038,920
2017-08-10$5.03$4.5075.3%21.6%52.5%0.0%76.7%7.2%-10.3%663.8K-18.6M-96.8K0.2642.78N/AN/A48,12012,330138,97041,440
2017-08-11$5.45$4.5052.8%15.1%59.9%0.0%55.2%5.3%0.2%1.4M-31.8M-101.0K0.2540.63N/AN/A48,93012,250153,39049,330
2017-08-14$5.37$4.5050.1%14.4%60.0%0.0%50.8%5.9%-0.1%1.4M-25.2M-90.8K0.2530.02N/AN/A25,4006,280147,58051,210
2017-08-15$5.11$4.5052.2%15.0%62.7%0.0%50.2%6.2%-1.5%764.3K-12.8M-80.9K0.4334.66N/AN/A18,9808,200147,07053,880
2017-08-16$5.05$4.5050.9%14.6%53.9%0.0%51.8%4.3%-0.2%604.0K-10.8M-80.1K0.7032.60N/AN/A13,0209,120151,47055,350
2017-08-17$4.87$5.0051.5%14.8%55.2%0.0%53.0%3.1%0.3%192.3K-3.8M-76.6K0.6345.57N/AN/A10,2106,420148,92058,270
2017-08-18$4.97$5.0049.0%14.0%54.4%0.0%50.0%5.0%2.1%343.1K-5.3M-75.7K0.8448.33N/AN/A11,1909,430147,47056,490
2017-08-21$5.00$5.0048.6%13.9%52.8%0.0%47.8%4.2%1.4%341.2K-8.5M-73.8K0.3033.28N/AN/A11,8103,54090,00032,970
2017-08-22$5.03$5.0048.7%14.0%51.5%0.0%48.5%5.7%0.9%419.9K-9.7M-76.1K0.4116.75N/AN/A6,5002,64095,82034,000
2017-08-23$5.00$5.0046.9%13.5%51.4%0.0%48.3%3.7%1.7%413.5K-9.2M-75.5K0.7947.41N/AN/A3,6302,86095,90034,300
2017-08-24$5.10$5.0046.8%13.4%50.8%0.0%46.7%3.4%2.2%476.5K-11.3M-76.2K0.5522.48N/AN/A5,8203,21096,03034,150
2017-08-25$5.11$5.0047.1%13.5%50.8%0.0%47.3%2.6%2.4%526.8K-12.4M-77.6K1.0016.97N/AN/A2,6102,62098,63034,560
2017-08-28$5.14$5.0048.9%14.0%50.8%0.0%47.4%4.0%-0.3%545.1K-12.7M-76.3K1.2526.49N/AN/A3,0703,84099,15034,730
2017-08-29$5.20$5.0047.6%13.7%51.0%0.0%45.0%4.6%1.8%566.4K-13.5M-76.6K0.9022.65N/AN/A4,1703,77099,58036,640
2017-08-30$5.31$5.0043.7%12.5%51.6%0.0%43.4%4.8%3.6%640.7K-16.0M-77.1K0.5722.36N/AN/A4,8202,75099,55036,740
2017-08-31$5.30$5.0043.9%12.6%50.5%0.0%42.1%3.6%3.9%640.8K-15.4M-76.1K0.7141.46N/AN/A5,2203,73099,60036,840