TTD Options History — September 2017

In September 2017, TTD traded between $5.35 and $6.17. ATM implied volatility averaged 47.2%. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 5.4% (HV 20d: 41.7%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2017-09-21: Highest Volume — 55,140 contracts
  • 2017-09-13: Largest IV drop — 18.0% change
  • 2017-09-25: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.84$5.35$6.17$5.37$6.16
Max Pain$5.40$5.00$6.00$5.00$6.00
ATM IV47.2%41.8%56.7%41.8%49.6%
Expected Move13.4%12.0%14.8%12.0%14.2%
HV 20d41.7%33.2%50.6%50.3%48.7%
HV 60d46.2%44.7%47.6%47.5%47.2%
Term Structure6.3%3.5%9.3%5.5%7.2%
VWIV46.6%42.5%50.1%42.6%49.0%
Skew 25d3.3%1.8%5.4%2.8%2.3%
Skew 10d6.8%-0.5%11.4%10.6%6.8%
Call IV 25d45.7%40.8%52.5%40.8%49.1%
Put IV 25d48.9%43.6%55.3%43.6%51.4%
Bid-Ask Spread %43.5725.0062.8137.5538.61
Gamma HHI0.290.200.450.330.27
Net GEX924.1K396.1K1.9M707.3K796.9K
Net DEX-28.4M-43.2M-12.0M-17.4M-39.4M
Net VEX-155.4K-309.5K-73.0K-76.9K-309.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.181.591.110.44
Total Volume27,4027,08055,1407,08045,120
Total OI185,805.5132,300270,280137,780270,280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$5.37$5.0041.8%12.0%50.3%0.0%42.6%2.8%5.5%707.3K-17.4M-76.9K1.1137.55N/AN/A3,3503,730100,14037,640
2017-09-05$5.35$5.0048.2%13.9%48.4%0.0%48.9%4.0%3.5%684.7K-16.6M-73.0K1.5934.25N/AN/A3,3905,38099,67038,120
2017-09-06$5.49$5.0046.8%13.5%48.8%0.0%48.5%5.4%4.2%850.4K-21.0M-75.1K0.4836.16N/AN/A6,4403,100100,97038,480
2017-09-07$5.71$5.0044.4%13.1%50.6%0.0%44.9%5.1%6.3%995.3K-27.8M-74.7K0.1845.87N/AN/A24,8204,460101,59038,730
2017-09-08$5.62$5.0045.9%13.4%43.2%0.0%45.8%4.4%5.5%962.8K-25.8M-79.3K0.3643.57N/AN/A17,9906,400107,54038,890
2017-09-11$6.05$5.0049.8%13.0%41.6%0.0%45.3%4.3%5.6%1.1M-38.9M-82.7K0.3942.22N/AN/A21,9508,650110,22042,280
2017-09-12$6.17$5.0056.7%13.4%41.2%0.0%47.7%4.2%5.1%1.2M-43.0M-89.3K0.2345.83N/AN/A34,0107,660116,89045,030
2017-09-13$6.01$5.0046.5%13.3%37.6%0.0%47.9%3.4%4.5%1.7M-43.2M-101.6K0.7843.48N/AN/A10,2808,030135,47047,490
2017-09-14$5.98$5.0045.6%13.1%37.2%0.0%46.5%3.7%4.9%1.9M-40.1M-101.5K0.2545.56N/AN/A18,6704,680134,55049,970
2017-09-15$5.98$5.0044.3%12.7%33.3%0.0%44.6%3.0%6.9%911.9K-33.9M-97.0K0.5047.89N/AN/A13,8906,970126,22050,860
2017-09-18$6.01$5.5045.8%13.1%33.2%0.0%45.7%3.5%6.2%895.8K-27.4M-98.5K0.8125.00N/AN/A15,13012,32097,70034,600
2017-09-19$6.17$5.5044.6%12.8%33.8%0.0%42.5%3.3%8.1%1.0M-33.5M-136.8K0.4528.06N/AN/A19,4908,740106,20043,850
2017-09-20$5.99$5.5046.3%13.3%36.6%0.0%45.5%2.8%8.4%954.1K-30.1M-162.7K0.4349.77N/AN/A28,66012,210116,00049,790
2017-09-21$5.96$5.5045.1%12.9%36.6%0.0%44.5%2.3%9.0%1.0M-32.3M-208.4K1.0740.30N/AN/A26,58028,560129,36059,420
2017-09-22$5.98$6.0044.9%12.9%36.5%0.0%45.1%1.8%9.3%750.6K-28.7M-246.5K0.2343.47N/AN/A22,6205,230145,25084,170
2017-09-25$5.63$6.0051.5%14.8%43.7%0.0%49.7%2.8%5.0%504.5K-15.2M-236.7K0.6660.93N/AN/A31,69020,910146,88085,730
2017-09-26$5.59$6.0048.8%14.0%43.9%0.0%49.5%1.8%7.2%396.1K-12.0M-269.3K0.7162.81N/AN/A8,4605,980157,90098,290
2017-09-27$5.78$6.0050.0%14.3%45.2%0.0%50.1%2.0%5.8%527.2K-20.6M-291.0K0.3738.90N/AN/A16,8106,200160,800100,910
2017-09-28$5.81$6.0047.4%13.6%44.8%0.0%47.5%2.1%8.2%577.8K-21.3M-296.6K0.4261.26N/AN/A13,7005,780165,130103,100
2017-09-29$6.16$6.0049.6%14.2%48.7%0.0%49.0%2.3%7.2%796.9K-39.4M-309.5K0.4438.61N/AN/A31,40013,720165,630104,650