TTD Options History — January 2018

In January 2018, TTD traded between $4.64 and $5.13. ATM implied volatility averaged 51.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 15.8% (HV 20d: 35.7%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-01-03: Highest Volume — 44,150 contracts
  • 2018-01-10: Largest IV spike — 12.1% change
  • 2018-01-17: Highest IV Rank — 28.8%
  • 2018-01-17: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.86$4.64$5.13$4.64$4.84
Max Pain$4.88$4.50$5.00$5.00$5.00
ATM IV51.4%42.4%58.2%46.9%55.4%
Expected Move15.1%12.9%16.7%13.5%15.9%
HV 20d35.7%26.0%47.7%47.7%31.8%
HV 60d49.9%49.3%50.8%50.4%50.8%
IV Rank17.3%1.7%28.8%9.5%24.1%
IV Percentile44.7%2.2%66.0%23.2%63.2%
Term Structure-0.4%-8.4%7.3%7.3%2.7%
VWIV53.4%45.8%57.6%46.7%57.5%
Skew 25d4.2%1.0%8.9%4.4%4.9%
Skew 10d8.2%1.7%15.9%4.0%9.2%
Call IV 25d51.5%44.8%56.4%44.8%54.1%
Put IV 25d55.7%47.0%59.6%49.2%58.9%
Bid-Ask Spread %61.5132.5778.4950.7478.40
Gamma HHI0.310.260.550.260.28
Net GEX450.5K160.0K955.3K160.0K561.6K
Net DEX-8.4M-25.2M5.8M5.8M-13.5M
Net VEX-441.9K-484.7K-404.0K-404.0K-464.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.282.011.250.73
Total Volume22,645.23812,09044,15014,37013,350
Total OI393,649.524316,790450,720390,220376,610

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$4.64$5.0046.9%13.5%47.7%9.5%46.7%4.4%7.3%160.0K5.8M-404.0K1.2550.74N/AN/A6,3807,990235,160155,060
2018-01-03$4.79$5.0045.0%12.9%44.4%6.2%45.8%2.0%4.5%378.2K-1.7M-422.2K0.5658.59N/AN/A28,33015,820236,090155,610
2018-01-04$4.76$5.0043.1%14.3%44.5%3.0%55.1%4.0%0.7%274.3K-251.2K-425.4K2.0167.55N/AN/A5,73011,540245,490163,800
2018-01-05$4.84$5.0043.3%14.6%43.8%3.2%52.2%4.0%-0.7%395.9K-5.2M-437.5K0.7453.00N/AN/A10,5507,820245,840169,060
2018-01-08$4.79$4.5042.4%14.9%43.5%1.7%52.4%5.9%-1.9%302.3K-1.5M-423.6K0.8550.45N/AN/A8,4107,180249,380169,050
2018-01-09$4.74$5.0045.9%14.6%43.7%7.8%50.9%4.1%0.1%188.3K405.5K-421.2K0.9360.36N/AN/A6,3205,900251,430169,450
2018-01-10$4.79$4.5051.5%14.8%37.3%17.4%51.7%3.6%-1.7%309.6K-2.4M-425.3K0.8362.44N/AN/A8,1306,730251,890169,970
2018-01-11$4.89$4.5050.7%14.5%36.4%16.0%51.9%7.2%-1.8%586.5K-9.1M-437.6K0.4558.91N/AN/A16,3607,310254,230170,880
2018-01-12$4.91$4.5052.4%15.0%32.8%19.0%52.7%5.5%-4.5%594.2K-9.4M-439.9K1.0454.78N/AN/A12,78013,280256,000172,210
2018-01-16$4.83$4.5056.3%16.1%33.2%25.6%56.2%1.0%-6.4%447.9K-5.3M-430.1K0.7560.32N/AN/A19,44014,600258,760177,030
2018-01-17$4.95$5.0058.2%16.7%34.2%28.8%57.3%2.4%-6.5%955.3K-12.8M-447.1K1.0257.40N/AN/A9,4809,630267,210179,860
2018-01-18$4.84$5.0056.0%16.1%34.7%25.2%56.9%2.9%-5.8%655.6K-5.3M-433.1K0.6248.25N/AN/A17,44010,760268,230178,920
2018-01-19$4.74$5.0058.1%16.7%35.0%28.8%55.3%2.6%-8.4%279.4K-1.7M-429.5K1.3763.23N/AN/A12,63017,290270,490180,230
2018-01-22$4.87$5.0053.0%15.2%36.1%20.0%54.3%4.3%1.5%304.6K-8.9M-440.8K0.2832.57N/AN/A31,1408,630173,490143,300
2018-01-23$4.94$5.0054.2%15.5%26.0%22.0%55.2%3.4%-1.2%363.1K-14.8M-456.7K0.3569.01N/AN/A13,5104,770182,150144,440
2018-01-24$4.88$5.0056.4%16.2%26.5%25.8%56.7%4.0%-2.5%382.0K-12.3M-452.2K0.5368.35N/AN/A20,39010,810185,170145,560
2018-01-25$4.95$5.0054.9%15.7%26.9%23.2%53.7%5.5%-0.2%495.2K-16.7M-471.4K0.3470.40N/AN/A10,3403,490198,230152,860
2018-01-26$5.13$5.0049.1%14.1%28.9%13.2%49.1%8.9%6.4%643.9K-25.2M-484.7K0.3971.28N/AN/A13,7205,350199,760153,030
2018-01-29$5.05$5.0052.5%15.0%29.1%19.1%52.4%2.4%3.4%639.6K-22.4M-474.5K0.4778.49N/AN/A8,2403,850201,200152,480
2018-01-30$4.87$5.0054.7%15.7%31.9%22.9%57.6%4.4%5.6%544.1K-14.8M-459.4K0.5777.21N/AN/A19,15010,980203,080153,950
2018-01-31$4.84$5.0055.4%15.9%31.8%24.1%57.5%4.9%2.7%561.6K-13.5M-464.7K0.7378.40N/AN/A7,7005,650214,830161,780