TTD Options History — February 2018

In February 2018, TTD traded between $4.29 and $6.01. ATM implied volatility averaged 61.5%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 10.4% (HV 20d: 51.1%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.11.

Notable Days

  • 2018-02-23: Highest Volume — 173,850 contracts
  • 2018-02-23: Largest IV drop — 38.1% change
  • 2018-02-22: Highest IV Rank — 55.5%
  • 2018-02-22: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.87$4.29$6.01$4.58$5.63
Max Pain$4.74$4.50$5.00$5.00$5.00
ATM IV61.5%45.6%73.7%63.7%45.7%
Expected Move17.9%13.1%21.1%18.1%13.1%
HV 20d51.1%36.1%91.5%36.1%90.2%
HV 60d47.8%39.7%61.3%51.9%61.2%
IV Rank34.5%7.3%55.5%38.4%7.4%
IV Percentile66.1%15.2%90.7%73.8%15.9%
Term Structure-8.5%-17.0%-0.8%-6.8%-0.8%
VWIV62.3%45.6%74.9%62.6%46.7%
Skew 25d6.4%1.5%10.0%3.8%2.7%
Skew 10d12.3%1.6%23.3%4.1%8.2%
Call IV 25d59.9%45.4%72.0%60.7%46.0%
Put IV 25d66.3%47.0%77.0%64.4%48.7%
Bid-Ask Spread %39.1728.1253.3146.8849.19
Gamma HHI0.280.200.590.250.25
Net GEX535.4K-27.9K1.5M299.5K1.2M
Net DEX-15.0M-94.5M15.5M-2.9M-58.9M
Net VEX-519.8K-634.5K-438.4K-445.0K-630.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.372.470.470.99
Total Volume60,925.78922,520173,85064,38028,860
Total OI471,374.737379,290605,410379,290605,410

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$4.58$5.0063.7%18.1%36.1%38.4%62.6%3.8%-6.8%299.5K-2.9M-445.0K0.4746.88N/AN/A43,82020,560216,000163,290
2018-02-02$4.68$4.5059.0%18.4%37.0%30.3%65.6%3.9%-7.4%460.7K-7.3M-467.2K2.4744.11N/AN/A18,97046,780234,550175,640
2018-02-05$4.51$4.5063.9%19.9%38.4%38.7%68.2%5.0%-10.3%356.3K-664.6K-469.3K0.3740.25N/AN/A25,5609,470240,430179,660
2018-02-06$4.54$4.5061.3%19.3%38.5%34.2%64.4%8.4%-8.3%310.3K2.1M-463.8K0.6443.36N/AN/A20,47013,180229,200180,660
2018-02-07$4.44$4.5065.2%18.7%39.0%40.9%64.7%8.7%-8.5%141.1K7.2M-449.9K1.0037.21N/AN/A18,97018,910232,380182,320
2018-02-08$4.35$4.5066.7%19.1%39.1%43.5%68.1%8.8%-9.2%-9.8K12.2M-450.5K2.0738.00N/AN/A12,45025,720239,670188,960
2018-02-09$4.29$4.5067.3%19.3%38.0%44.6%68.8%9.8%-8.1%-26.4K15.5M-438.4K0.9445.27N/AN/A11,60010,920242,950188,690
2018-02-12$4.39$4.5067.5%19.3%39.4%44.8%69.0%10.0%-11.7%-27.9K12.0M-452.4K1.1733.67N/AN/A12,06014,100245,440189,090
2018-02-13$4.53$4.5065.7%18.8%41.4%41.8%60.7%9.5%-10.1%162.0K5.9M-465.9K0.9429.86N/AN/A18,73017,610250,080191,030
2018-02-14$4.73$4.5067.5%19.3%43.6%44.9%65.6%7.0%-10.4%698.4K-3.1M-498.1K0.6753.31N/AN/A45,22030,210256,850197,410
2018-02-15$4.83$4.5066.0%18.9%43.7%42.4%68.4%9.8%-11.5%1.4M-8.5M-537.6K1.3537.42N/AN/A20,26027,310280,590209,130
2018-02-16$4.84$5.0065.2%18.7%43.0%40.9%67.5%6.6%-10.1%305.3K-6.9M-542.3K2.3334.07N/AN/A14,78034,430285,860213,310
2018-02-20$5.01$5.0066.0%18.9%43.7%42.3%65.2%8.9%-12.4%292.1K-14.2M-559.8K0.7434.87N/AN/A26,72019,820226,490198,270
2018-02-21$4.98$5.0064.3%18.4%43.5%39.4%64.7%6.9%-12.2%403.0K-13.9M-558.7K1.3548.55N/AN/A50,85068,840239,750200,490
2018-02-22$4.84$5.0073.7%21.1%44.5%55.5%74.9%5.1%-17.0%231.4K-4.9M-566.4K1.8341.50N/AN/A50,22092,060268,360233,640
2018-02-23$6.01$5.0045.6%13.1%89.1%7.3%45.6%1.5%-1.6%1.4M-94.5M-617.7K0.4329.00N/AN/A121,97051,880295,480279,830
2018-02-26$5.74$5.0046.3%13.3%90.7%8.4%45.7%1.6%-1.9%1.5M-71.1M-634.5K0.6129.60N/AN/A46,06028,300309,890282,200
2018-02-27$5.56$5.0047.3%13.6%91.5%10.2%47.7%3.4%-3.0%1.1M-53.1M-628.9K0.8128.12N/AN/A22,02017,900312,870290,250
2018-02-28$5.63$5.0045.7%13.1%90.2%7.4%46.7%2.7%-0.8%1.2M-58.9M-630.1K0.9949.19N/AN/A14,48014,380312,320293,090