TTD Options History — March 2018

In March 2018, TTD traded between $4.96 and $5.96. ATM implied volatility averaged 44.7%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 32.6% (HV 20d: 77.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-03-29: Highest Volume — 47,530 contracts
  • 2018-03-12: Largest IV spike — 17.2% change
  • 2018-03-28: Highest IV Rank — 18.4%
  • 2018-03-28: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.62$4.96$5.96$5.42$4.96
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV44.7%39.1%50.2%47.6%47.8%
Expected Move12.8%11.7%14.4%13.7%13.7%
HV 20d77.3%40.4%91.5%91.5%43.2%
HV 60d59.8%58.0%61.5%61.5%60.6%
IV Rank8.3%0.0%18.4%10.7%14.4%
IV Percentile14.8%0.0%46.3%27.1%32.0%
Term Structure7.2%-2.0%11.7%-1.5%10.8%
VWIV44.8%41.0%49.4%49.4%47.5%
Skew 25d4.4%3.3%6.3%3.3%4.2%
Skew 10d9.1%4.7%13.1%4.7%9.1%
Call IV 25d43.4%39.7%47.9%47.9%47.3%
Put IV 25d47.8%43.2%54.0%51.2%51.5%
Bid-Ask Spread %46.5222.9168.0247.9356.45
Gamma HHI0.270.160.510.240.18
Net GEX1.1M42.6K2.4M863.5K42.6K
Net DEX-52.3M-91.5M-3.4M-40.0M-3.4M
Net VEX-563.7K-624.9K-484.4K-620.9K-484.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.341.641.071.09
Total Volume29,303.8118,56047,53044,31047,530
Total OI505,181.905365,840605,670602,410394,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$5.42$5.0047.6%13.7%91.5%10.7%49.4%3.3%-1.5%863.5K-40.0M-620.9K1.0747.93N/AN/A21,42022,890311,090291,320
2018-03-02$5.69$5.0048.3%13.8%89.6%11.8%48.6%3.3%-2.0%1.3M-62.4M-624.9K1.3252.34N/AN/A16,94022,300309,190293,280
2018-03-05$5.82$5.0044.6%12.6%89.6%5.5%44.8%5.8%5.0%1.6M-75.1M-618.3K0.3543.95N/AN/A23,3108,170312,320284,900
2018-03-06$5.79$5.0043.9%12.4%88.1%4.3%46.0%4.3%4.7%1.8M-74.4M-614.7K0.6235.30N/AN/A11,8907,380317,420285,600
2018-03-07$5.87$5.0043.3%12.8%88.1%3.2%44.8%4.5%4.1%1.9M-81.2M-610.0K0.5734.45N/AN/A12,2807,060317,490285,940
2018-03-08$5.78$5.0042.3%12.6%87.7%1.5%44.5%3.3%5.4%1.9M-74.4M-603.5K0.3422.91N/AN/A23,2707,960317,480285,730
2018-03-09$5.88$5.0039.1%12.0%86.8%0.0%41.9%4.8%6.5%2.1M-83.9M-599.7K0.4843.27N/AN/A14,9607,140318,190286,920
2018-03-12$5.96$5.0045.8%12.2%86.1%11.1%42.7%4.2%5.4%2.3M-91.5M-590.2K0.4137.89N/AN/A16,8706,900318,170286,780
2018-03-13$5.80$5.0047.2%11.8%87.5%13.4%41.6%3.4%6.7%2.1M-75.3M-584.7K0.8335.91N/AN/A14,11011,690319,310286,360
2018-03-14$5.88$5.0041.4%11.9%87.2%3.9%42.4%4.3%6.7%2.4M-81.6M-577.4K0.3548.65N/AN/A27,4109,690317,080281,100
2018-03-15$5.86$5.0041.9%12.0%86.6%4.6%42.5%4.9%6.2%2.2M-76.7M-574.7K0.7854.99N/AN/A19,04014,940312,120280,620
2018-03-16$5.80$5.0040.7%11.7%86.9%2.7%41.0%3.5%6.1%479.1K-68.0M-546.1K1.3461.56N/AN/A13,08017,540297,060272,370
2018-03-19$5.56$5.0044.3%12.7%88.7%8.6%45.4%3.8%11.7%414.1K-33.2M-535.4K1.6428.16N/AN/A14,08023,080206,330159,510
2018-03-20$5.71$5.0043.9%12.6%88.4%7.9%42.7%4.7%11.0%440.3K-38.2M-542.4K1.2157.24N/AN/A13,47016,350205,700164,790
2018-03-21$5.65$5.0042.7%12.2%88.5%6.0%41.8%4.2%11.6%447.0K-36.3M-536.0K1.1843.97N/AN/A13,99016,470210,570165,920
2018-03-22$5.46$5.0044.4%12.7%88.8%8.8%43.8%4.9%11.3%339.5K-27.0M-530.4K0.3642.69N/AN/A14,6505,300212,230167,900
2018-03-23$5.35$5.0044.4%12.7%41.3%8.9%45.5%3.9%11.7%292.8K-21.8M-521.8K0.4068.02N/AN/A13,2405,320213,360168,130
2018-03-26$5.52$5.0045.8%13.1%40.4%11.1%45.4%4.3%11.5%397.7K-30.0M-527.3K0.3444.66N/AN/A14,8005,050214,430169,150
2018-03-27$5.21$5.0050.1%14.4%44.1%18.3%48.7%6.1%9.5%194.7K-13.9M-501.9K0.4052.23N/AN/A16,5706,630214,980169,610
2018-03-28$5.10$5.0050.2%14.4%44.1%18.4%49.4%6.3%9.8%129.7K-9.2M-493.0K0.4364.28N/AN/A21,3809,230214,270170,100
2018-03-29$4.96$5.0047.8%13.7%43.2%14.4%47.5%4.2%10.8%42.6K-3.4M-484.4K1.0956.45N/AN/A22,74024,790221,490172,510