TTD Options History — May 2018 In May 2018, TTD traded between $4.94 and $8.53. ATM implied volatility averaged 48.5%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 44.7% (HV 20d: 93.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2018-05-11 : Highest Volume — 299,400 contracts2018-05-11 : Largest IV drop — 26.4% change2018-05-01 : Highest IV Rank — 37.8%2018-05-01 : Largest Expected Move — 22.2%Monthly Statistics Metric Avg Min Max Open Close Price $7.02 $4.94 $8.53 $4.94 $8.53 Max Pain $6.28 $5.00 $7.50 $5.40 $7.50 ATM IV 48.5% 40.1% 61.9% 61.9% 40.1% Expected Move 14.1% 11.5% 22.2% 22.2% 11.6% HV 20d 93.2% 30.1% 129.4% 36.6% 124.8% HV 60d 76.7% 59.6% 93.1% 60.6% 80.8% IV Rank 15.6% 1.6% 37.8% 37.8% 1.6% IV Percentile 28.4% 0.4% 73.8% 73.8% 0.4% Term Structure -1.1% -4.8% 2.5% -3.6% -1.0% VWIV 49.0% 40.8% 76.8% 76.8% 41.4% Skew 25d 4.4% 1.6% 7.0% 6.4% 3.0% Skew 10d 8.4% 4.8% 12.7% 12.2% 6.7% Call IV 25d 47.2% 39.5% 59.2% 58.0% 39.5% Put IV 25d 51.6% 42.3% 66.2% 64.4% 42.6% Bid-Ask Spread % 19.72 10.95 47.32 28.24 12.42 Gamma HHI 0.20 0.09 0.51 0.21 0.10 Net GEX 1.2M 143.3K 4.8M 194.6K 2.2M Net DEX -109.0M -237.9M -2.0M -3.7M -163.4M Net VEX -509.8K -572.1K -455.0K -456.0K -540.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.35 1.59 1.40 0.48 Total Volume 79,094.091 19,570 299,400 21,580 43,110 Total OI 516,857.273 397,560 669,180 397,560 556,530
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-05-01 $4.94 $5.40 61.9% 22.2% 36.6% 37.8% 76.8% 6.4% -3.6% 194.6K -3.7M -456.0K 1.40 28.24 N/A N/A 9,010 12,570 228,520 169,040 2018-05-02 $4.95 $5.35 60.1% 22.1% 36.4% 34.8% 75.5% 6.6% -2.6% 163.4K -3.4M -461.4K 1.09 15.69 N/A N/A 9,370 10,200 230,990 173,990 2018-05-03 $4.94 $5.00 61.4% 16.0% 35.0% 37.0% 55.1% 7.0% -4.8% 152.9K -2.0M -455.0K 0.82 14.07 N/A N/A 14,290 11,660 234,050 176,250 2018-05-04 $4.95 $5.00 60.3% 15.8% 32.6% 35.2% 55.8% 6.6% -2.3% 143.3K -3.7M -457.4K 0.97 15.53 N/A N/A 12,550 12,140 240,020 179,550 2018-05-07 $5.10 $5.00 58.2% 15.8% 34.1% 31.6% 53.1% 6.1% -1.7% 391.2K -12.4M -469.2K 0.70 14.61 N/A N/A 16,480 11,600 240,510 179,410 2018-05-08 $5.09 $5.00 58.6% 16.1% 31.2% 32.2% 54.3% 5.8% -2.2% 366.2K -11.9M -467.9K 0.84 16.31 N/A N/A 11,090 9,330 241,450 182,520 2018-05-09 $5.17 $5.00 58.6% 16.2% 30.9% 32.2% 54.1% 6.0% -2.1% 469.3K -16.4M -476.0K 0.60 34.21 N/A N/A 18,640 11,250 248,290 183,710 2018-05-10 $5.25 $5.00 60.6% 16.7% 30.1% 35.7% 57.3% 5.9% -3.1% 638.7K -24.6M -487.5K 0.82 23.58 N/A N/A 56,300 46,180 259,360 186,930 2018-05-11 $7.43 $5.00 44.6% 12.7% 126.8% 9.2% 44.0% 4.8% -0.6% 766.0K -171.0M -455.1K 0.40 13.61 N/A N/A 213,190 86,210 283,110 223,010 2018-05-14 $7.43 $5.50 41.9% 12.0% 126.9% 4.6% 43.0% 3.8% -0.0% 1.4M -152.8M -492.7K 0.61 47.32 N/A N/A 87,590 53,000 300,690 221,990 2018-05-15 $7.99 $6.00 45.0% 12.8% 128.3% 9.9% 46.5% 3.2% 2.5% 2.4M -194.4M -492.6K 0.46 20.51 N/A N/A 101,270 46,310 329,310 246,080 2018-05-16 $8.09 $7.00 43.1% 12.4% 127.9% 6.6% 44.9% 4.0% -0.7% 2.9M -204.8M -528.1K 0.50 19.03 N/A N/A 79,710 39,860 358,180 269,760 2018-05-17 $8.07 $7.00 41.4% 11.9% 127.9% 3.9% 41.7% 3.4% 0.9% 2.6M -196.2M -527.0K 0.85 22.53 N/A N/A 51,790 44,120 359,400 284,010 2018-05-18 $8.53 $7.00 42.3% 12.1% 128.2% 5.3% 42.8% 1.6% 0.5% 4.8M -237.9M -524.7K 0.63 41.08 N/A N/A 88,650 55,790 367,690 301,490 2018-05-21 $8.26 $7.50 41.6% 12.1% 129.4% 4.1% 42.7% 1.7% -0.8% 558.9K -141.2M -544.1K 1.59 14.03 N/A N/A 44,220 70,160 289,490 231,330 2018-05-22 $8.26 $7.50 41.3% 12.0% 128.4% 3.6% 42.3% 4.3% -0.4% 500.6K -139.0M -567.1K 0.79 13.35 N/A N/A 43,560 34,450 306,270 254,560 2018-05-23 $8.30 $7.50 40.8% 11.6% 127.2% 2.9% 40.9% 3.3% 0.1% 802.2K -143.5M -572.1K 0.56 10.95 N/A N/A 34,720 19,400 318,230 260,840 2018-05-24 $8.31 $7.50 40.2% 11.5% 127.4% 1.8% 40.8% 2.3% 0.6% 1.2M -144.0M -569.8K 0.45 11.31 N/A N/A 38,870 17,580 320,170 258,410 2018-05-25 $8.25 $7.50 41.1% 11.6% 127.4% 3.3% 40.8% 3.6% 0.2% 519.6K -138.4M -570.1K 0.47 14.16 N/A N/A 44,750 21,070 321,360 259,190 2018-05-29 $8.24 $7.50 43.3% 12.6% 127.3% 7.0% 43.5% 4.1% -2.9% 653.6K -135.9M -564.8K 0.39 19.35 N/A N/A 35,540 13,740 301,910 242,020 2018-05-30 $8.46 $7.50 40.9% 11.8% 124.9% 3.1% 41.7% 2.9% -0.8% 1.7M -158.2M -536.3K 0.35 11.93 N/A N/A 43,430 15,320 307,400 243,840 2018-05-31 $8.53 $7.50 40.1% 11.6% 124.8% 1.6% 41.4% 3.0% -1.0% 2.2M -163.4M -540.8K 0.48 12.42 N/A N/A 29,030 14,080 310,980 245,550
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