TTD Options History — October 2017

In October 2017, TTD traded between $5.96 and $6.65. ATM implied volatility averaged 61.4%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 19.0% (HV 20d: 42.4%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2017-10-06: Highest Volume — 67,460 contracts
2017-10-11: Largest IV spike — 23.0% change
2017-10-30: Highest IV Rank — 55.2%
2017-10-30: Largest Expected Move — 21.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.34	$5.96	$6.65	$5.96	$6.60
Max Pain	$5.82	$5.50	$6.00	$6.00	$6.00
ATM IV	61.4%	46.8%	73.6%	51.8%	72.4%
Expected Move	18.3%	14.7%	21.1%	14.9%	20.8%
HV 20d	42.4%	27.6%	51.6%	50.8%	28.7%
HV 60d	45.8%	43.4%	48.7%	47.7%	43.4%
IV Rank	41.6%	35.4%	55.2%	35.4%	53.1%
IV Percentile	75.3%	68.7%	89.1%	69.8%	88.5%
Term Structure	-7.1%	-15.6%	9.8%	6.9%	-14.6%
VWIV	64.5%	52.1%	73.8%	52.1%	73.2%
Skew 25d	3.2%	1.1%	5.3%	1.8%	1.9%
Skew 10d	5.9%	1.5%	10.9%	3.9%	8.6%
Call IV 25d	63.7%	52.0%	73.8%	53.6%	73.8%
Put IV 25d	66.9%	53.9%	76.6%	55.4%	75.7%
Bid-Ask Spread %	40.97	25.51	63.54	63.54	40.63
Gamma HHI	0.38	0.24	0.63	0.24	0.33
Net GEX	1.1M	454.4K	2.2M	576.4K	672.9K
Net DEX	-46.1M	-75.6M	-27.0M	-29.2M	-40.9M
Net VEX	-295.2K	-317.0K	-271.5K	-307.8K	-293.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.31	1.63	0.38	0.71
Total Volume	22,193.182	9,350	67,460	22,690	17,890
Total OI	260,572.273	178,150	299,280	285,000	210,240

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
2017-10-02	$5.96	$6.00	51.8%	14.9%	50.8%	0.0%	52.1%	1.8%	6.9%	576.4K	-29.2M	-307.8K	0.38	63.54	N/A	N/A	16,480	6,210	172,220	112,780
2017-10-03	$6.04	$6.00	53.3%	15.3%	50.8%	0.0%	52.7%	3.2%	4.3%	687.7K	-34.0M	-311.8K	0.44	47.61	N/A	N/A	12,990	5,680	176,390	113,730
2017-10-04	$6.01	$6.00	51.3%	14.7%	50.5%	0.0%	52.4%	1.1%	9.8%	741.7K	-34.0M	-313.7K	0.31	55.87	N/A	N/A	27,650	8,540	181,780	114,620
2017-10-05	$6.09	$5.50	46.8%	17.5%	48.9%	0.0%	59.7%	5.3%	-5.0%	783.3K	-35.9M	-317.0K	0.96	42.18	N/A	N/A	20,030	19,290	181,800	117,480
2017-10-06	$6.44	$5.50	52.0%	18.4%	51.6%	0.0%	65.1%	4.5%	-9.0%	1.2M	-55.8M	-312.1K	0.44	38.02	N/A	N/A	46,780	20,680	172,840	107,770
2017-10-09	$6.43	$5.50	55.3%	19.0%	45.3%	0.0%	67.0%	4.7%	-9.5%	1.4M	-60.8M	-309.0K	0.60	38.51	N/A	N/A	32,850	19,570	185,850	107,220
2017-10-10	$6.40	$5.50	53.8%	19.0%	45.0%	0.0%	67.2%	2.9%	-10.5%	1.3M	-56.0M	-304.0K	0.71	39.70	N/A	N/A	10,450	7,380	178,560	101,450
2017-10-11	$6.48	$5.50	66.2%	19.0%	44.0%	0.0%	66.0%	3.5%	-9.3%	1.8M	-65.2M	-305.2K	1.63	34.30	N/A	N/A	5,090	8,280	188,970	101,480
2017-10-12	$6.53	$5.50	62.2%	17.8%	43.8%	35.4%	63.9%	2.3%	-6.2%	1.9M	-65.9M	-303.3K	0.51	36.97	N/A	N/A	11,580	5,910	189,450	103,510
2017-10-13	$6.65	$5.50	64.3%	18.4%	44.1%	39.0%	63.8%	5.2%	-7.6%	2.0M	-75.6M	-294.1K	0.56	37.67	N/A	N/A	10,670	5,980	187,450	103,450
2017-10-16	$6.44	$5.50	64.1%	18.4%	46.0%	38.6%	65.5%	3.0%	-9.5%	2.0M	-59.4M	-291.6K	0.62	36.52	N/A	N/A	12,240	7,610	186,270	104,280
2017-10-17	$6.38	$6.00	63.2%	18.1%	45.3%	37.2%	65.9%	4.9%	-7.2%	2.0M	-59.4M	-284.9K	1.08	41.05	N/A	N/A	6,480	7,000	186,060	106,550
2017-10-18	$6.41	$6.00	64.2%	18.4%	43.8%	38.9%	67.2%	2.8%	-9.3%	2.2M	-61.5M	-280.7K	0.88	39.06	N/A	N/A	6,360	5,600	185,540	106,300
2017-10-19	$6.31	$6.00	65.2%	18.7%	44.2%	40.5%	66.0%	2.8%	-9.1%	2.0M	-51.6M	-278.2K	0.54	37.52	N/A	N/A	7,210	3,880	185,630	107,040
2017-10-20	$6.36	$6.00	64.0%	18.3%	44.2%	38.5%	64.8%	3.1%	-8.8%	454.4K	-53.4M	-271.5K	0.51	31.05	N/A	N/A	17,750	9,070	185,470	110,830
2017-10-23	$6.35	$6.00	63.9%	18.3%	37.6%	38.3%	66.0%	2.5%	-7.3%	500.9K	-28.8M	-277.3K	1.30	39.36	N/A	N/A	7,920	10,290	109,380	68,770
2017-10-24	$6.34	$6.00	63.7%	18.3%	37.4%	38.1%	66.3%	2.0%	-7.9%	461.2K	-28.1M	-282.8K	0.82	25.51	N/A	N/A	10,000	8,200	112,120	75,540
2017-10-25	$6.25	$6.00	66.0%	18.9%	36.5%	42.0%	66.3%	3.6%	-9.5%	470.5K	-27.0M	-287.3K	1.01	42.25	N/A	N/A	5,640	5,690	118,160	77,480
2017-10-26	$6.28	$6.00	66.0%	18.9%	36.5%	42.0%	66.7%	3.8%	-9.3%	485.2K	-27.9M	-288.9K	1.13	48.53	N/A	N/A	4,390	4,960	119,370	78,510
2017-10-27	$6.39	$6.00	67.9%	19.5%	30.7%	45.2%	68.4%	1.7%	-11.5%	532.9K	-31.3M	-291.2K	0.80	47.57	N/A	N/A	5,340	4,260	120,000	79,410
2017-10-30	$6.42	$6.00	73.6%	21.1%	27.6%	55.2%	73.8%	4.2%	-15.6%	546.1K	-31.8M	-288.9K	0.45	37.87	N/A	N/A	12,700	5,680	120,990	79,850
2017-10-31	$6.60	$6.00	72.4%	20.8%	28.7%	53.1%	73.2%	1.9%	-14.6%	672.9K	-40.9M	-293.8K	0.71	40.63	N/A	N/A	10,490	7,400	129,100	81,140