TTD Options History — November 2017

In November 2017, TTD traded between $4.70 and $6.55. ATM implied volatility averaged 56.1%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 4.2% (HV 20d: 51.9%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-11-10: Highest Volume — 119,820 contracts
  • 2017-11-08: Largest IV drop — 26.9% change
  • 2017-11-07: Highest IV Rank — 78.2%
  • 2017-11-01: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.43$4.70$6.55$6.51$4.92
Max Pain$5.33$5.00$6.00$6.00$5.00
ATM IV56.1%43.5%87.0%74.6%48.0%
Expected Move14.9%12.5%21.4%21.4%13.8%
HV 20d51.9%22.4%66.6%29.3%65.4%
HV 60d47.2%37.3%51.8%43.3%51.6%
IV Rank24.8%2.9%78.2%56.9%10.7%
IV Percentile38.6%0.6%97.9%90.0%24.4%
Term Structure-3.6%-15.9%0.8%-15.9%-1.6%
VWIV52.1%41.8%75.1%75.1%47.8%
Skew 25d2.0%-0.6%5.2%2.4%-0.6%
Skew 10d3.9%-2.4%8.9%8.3%8.3%
Call IV 25d51.4%42.9%72.7%72.7%48.5%
Put IV 25d53.4%44.5%75.1%75.1%47.9%
Bid-Ask Spread %40.9826.3258.9546.9234.62
Gamma HHI0.260.150.760.320.26
Net GEX427.5K-215.3K2.6M693.0K118.3K
Net DEX-11.9M-41.4M15.7M-38.7M-1.5M
Net VEX-332.6K-412.2K-262.3K-299.3K-412.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.281.020.850.29
Total Volume37,85012,320119,82017,53051,010
Total OI297,616.667216,830372,380216,830372,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$6.51$6.0074.6%21.4%29.3%56.9%75.1%2.4%-15.9%693.0K-38.7M-299.3K0.8546.92N/AN/A9,4508,080133,89082,940
2017-11-02$6.42$5.5075.4%16.4%29.7%58.3%58.6%1.6%-4.8%669.7K-37.4M-311.1K1.0228.33N/AN/A6,1206,270138,25085,400
2017-11-03$6.43$5.5077.5%16.9%22.4%62.0%59.2%5.2%-6.2%681.8K-37.9M-313.3K0.9726.32N/AN/A7,9507,700139,27087,650
2017-11-06$6.55$5.5083.5%17.0%23.2%72.2%59.3%2.9%-6.8%748.2K-41.4M-313.1K0.2835.01N/AN/A33,0709,230141,50090,040
2017-11-07$6.46$6.0087.0%17.5%23.6%78.2%60.3%2.6%-8.0%800.8K-39.6M-319.9K0.5336.24N/AN/A12,6506,730154,07093,640
2017-11-08$6.16$6.0063.6%18.2%28.8%37.7%63.0%2.2%-8.8%548.8K-28.1M-310.6K0.5835.57N/AN/A22,64013,150152,22094,960
2017-11-09$5.93$6.0062.2%17.8%31.2%35.4%63.3%4.0%-8.4%391.8K-21.2M-309.2K0.6547.89N/AN/A43,96028,520154,23097,640
2017-11-10$5.08$6.0050.0%14.3%60.6%14.3%49.0%2.2%-2.4%-215.3K10.5M-262.3K0.6533.45N/AN/A72,65047,170162,660112,150
2017-11-13$4.85$5.5049.3%14.1%61.4%12.9%50.1%0.9%-0.0%-69.1K15.4M-289.2K0.5150.20N/AN/A49,10025,070194,420131,290
2017-11-14$4.70$5.0048.9%14.0%61.7%12.4%48.3%-0.1%-0.9%65.7K15.7M-289.9K0.8553.06N/AN/A23,35019,900207,650134,570
2017-11-15$4.82$5.0048.6%13.9%63.0%11.8%49.3%3.3%-0.8%127.5K11.1M-317.0K0.6936.02N/AN/A14,0109,700215,750140,610
2017-11-16$4.89$5.0045.4%13.0%63.8%6.3%46.5%2.9%0.8%156.0K7.5M-322.0K0.5435.76N/AN/A20,95011,410216,110138,610
2017-11-17$5.00$5.0045.5%13.0%64.7%6.4%45.7%1.3%-1.0%2.6M35.4K-337.3K0.6630.46N/AN/A21,60014,240221,820138,360
2017-11-20$5.04$5.0045.2%13.0%65.0%6.0%45.7%2.5%-1.5%205.5K-8.9M-339.9K0.5140.60N/AN/A13,8006,970167,250110,660
2017-11-21$5.19$5.0045.7%13.1%66.6%6.8%41.8%2.2%-3.0%301.4K-15.1M-354.5K0.3643.44N/AN/A19,8607,240171,230113,220
2017-11-22$5.11$5.0043.5%12.5%66.6%2.9%44.8%0.0%-0.5%340.1K-13.5M-356.8K0.8745.04N/AN/A19,69017,210179,170114,980
2017-11-24$5.12$5.0045.4%13.0%66.5%6.3%44.9%1.5%-0.8%346.2K-14.0M-371.1K0.6058.95N/AN/A7,6804,640193,480128,020
2017-11-27$4.99$5.0044.3%12.7%65.9%4.5%45.8%1.1%-0.5%190.9K-7.9M-357.4K1.0239.11N/AN/A20,06020,530192,190128,790
2017-11-28$5.01$5.0045.2%13.0%65.8%5.9%45.5%1.0%-1.5%192.9K-7.2M-396.4K0.7757.66N/AN/A17,37013,440205,960144,160
2017-11-29$4.84$5.0048.7%14.0%64.5%12.1%49.9%3.3%-2.9%64.3K1.5M-402.0K0.9246.00N/AN/A15,97014,710217,220151,540
2017-11-30$4.92$5.0048.0%13.8%65.4%10.7%47.8%-0.6%-1.6%118.3K-1.5M-412.2K0.2934.62N/AN/A39,52011,490218,820153,560