TTD Options History — December 2017

In December 2017, TTD traded between $4.42 and $4.98. ATM implied volatility averaged 47.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 5.8% (HV 20d: 52.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-12-06: Highest Volume — 50,440 contracts
  • 2017-12-11: Largest IV spike — 33.1% change
  • 2017-12-11: Highest IV Rank — 34.3%
  • 2017-12-12: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.71$4.42$4.98$4.78$4.58
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV47.1%41.4%61.6%47.6%46.7%
Expected Move13.0%11.9%13.9%13.6%13.4%
HV 20d52.9%44.2%66.8%65.6%48.3%
HV 60d51.2%49.6%52.5%51.2%50.4%
IV Rank9.5%0.0%34.3%10.1%9.1%
IV Percentile20.6%0.0%64.1%22.4%21.1%
Term Structure6.7%-2.2%11.7%-2.2%7.8%
VWIV45.2%41.6%48.1%47.9%46.6%
Skew 25d2.3%0.4%4.5%1.4%1.3%
Skew 10d4.7%1.1%8.7%7.3%1.1%
Call IV 25d44.7%40.9%48.0%47.2%48.0%
Put IV 25d47.1%43.0%50.6%48.6%49.3%
Bid-Ask Spread %35.9316.3652.4352.4337.09
Gamma HHI0.300.240.400.320.25
Net GEX200.7K-289.5K635.7K24.7K175.6K
Net DEX2.9M-11.8M17.6M2.6M7.0M
Net VEX-411.8K-447.7K-359.3K-397.0K-404.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.221.740.391.06
Total Volume29,02913,21050,44041,97017,870
Total OI395,599.5351,760447,940374,530387,940

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$4.78$5.0047.6%13.6%65.6%10.1%47.9%1.4%-2.2%24.7K2.6M-397.0K0.3952.43N/AN/A30,25011,720220,790153,740
2017-12-04$4.52$5.0050.7%13.4%66.8%15.4%46.6%4.5%5.4%-217.9K13.3M-369.6K0.6741.76N/AN/A22,25014,890224,240154,350
2017-12-05$4.51$5.0051.6%13.5%65.8%17.0%46.9%2.1%5.7%-214.6K13.5M-370.5K1.0131.53N/AN/A15,06015,230227,230155,740
2017-12-06$4.42$5.0051.9%13.7%65.8%17.5%47.8%2.6%4.7%-256.5K17.6M-359.3K0.7928.63N/AN/A28,17022,270230,440156,660
2017-12-07$4.52$5.0048.2%13.2%66.5%11.1%44.5%2.5%6.4%-280.3K13.2M-376.8K0.8524.16N/AN/A22,82019,320243,270166,600
2017-12-08$4.53$5.0046.3%12.8%66.2%7.8%44.5%1.3%7.2%-289.5K14.5M-394.4K0.6334.01N/AN/A16,78010,640255,860177,080
2017-12-11$4.83$5.0061.6%13.2%47.1%34.3%46.7%3.3%5.5%248.2K-1.5M-433.1K0.7543.07N/AN/A27,76020,750260,770177,010
2017-12-12$4.69$5.0054.6%13.9%45.3%22.2%48.1%3.5%4.6%50.4K3.4M-414.1K0.8228.52N/AN/A14,15011,570262,610176,830
2017-12-13$4.90$5.0044.1%12.6%46.7%4.1%44.2%2.7%6.8%635.7K-6.4M-444.6K0.6732.99N/AN/A12,5708,420266,790180,960
2017-12-14$4.89$5.0045.1%12.9%46.0%5.8%45.7%1.5%5.2%505.5K-5.6M-445.6K0.5645.77N/AN/A13,5107,500267,720180,220
2017-12-15$4.92$5.0042.6%12.2%45.7%1.4%42.9%1.6%7.8%584.4K-3.2M-444.8K1.0037.80N/AN/A14,53014,600266,520180,450
2017-12-18$4.98$5.0042.0%12.0%45.1%0.3%41.6%3.1%11.7%616.7K-11.8M-447.7K0.2238.92N/AN/A23,2705,220220,990130,770
2017-12-19$4.89$5.0042.4%12.1%45.5%1.0%43.7%0.4%8.9%563.3K-7.9M-432.4K0.4137.95N/AN/A15,7206,430220,720131,500
2017-12-20$4.95$5.0041.4%11.9%44.2%0.0%43.2%2.5%9.5%630.3K-10.8M-440.1K0.6229.38N/AN/A8,1405,070222,870132,870
2017-12-21$4.62$5.0047.8%13.7%50.0%11.1%46.4%3.2%3.1%337.6K2.1M-401.2K1.7448.60N/AN/A15,10026,320222,820133,620
2017-12-22$4.62$5.0044.1%12.7%50.0%4.7%43.4%2.5%7.8%219.8K5.3M-416.4K1.1744.16N/AN/A13,93016,290227,950150,710
2017-12-26$4.64$5.0045.1%12.9%49.5%6.4%44.0%2.8%8.4%196.7K5.6M-411.2K0.9632.46N/AN/A8,7608,410226,830151,550
2017-12-27$4.70$5.0045.2%13.0%49.8%6.5%46.2%2.5%9.0%250.7K2.9M-419.0K0.8016.36N/AN/A9,7407,780228,640152,190
2017-12-28$4.64$5.0043.9%12.6%48.6%4.4%43.6%0.9%10.0%234.1K4.0M-414.0K0.8132.94N/AN/A9,8207,950231,450152,690
2017-12-29$4.58$5.0046.7%13.4%48.3%9.1%46.6%1.3%7.8%175.6K7.0M-404.0K1.0637.09N/AN/A8,6809,190234,540153,400