TTD Options History — June 2018

In June 2018, TTD traded between $8.31 and $9.35. ATM implied volatility averaged 42.2%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 22.0% (HV 20d: 64.2%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-06-01: Highest Volume — 186,810 contracts
  • 2018-06-05: Largest IV drop — 8.9% change
  • 2018-06-25: Highest IV Rank — 11.8%
  • 2018-06-25: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.99$8.31$9.35$8.71$9.34
Max Pain$6.14$6.00$7.50$7.50$6.50
ATM IV42.2%39.3%46.2%43.0%43.7%
Expected Move12.1%11.4%13.4%12.5%12.3%
HV 20d64.2%34.6%128.4%124.3%38.8%
HV 60d80.9%79.2%82.3%80.8%79.2%
IV Rank5.2%0.4%11.8%6.4%7.7%
IV Percentile10.8%0.4%32.9%8.7%17.1%
Term Structure-0.1%-1.9%1.1%-1.9%-0.5%
VWIV42.8%39.4%47.0%45.8%43.7%
Skew 25d3.3%0.7%5.0%3.0%3.1%
Skew 10d7.6%4.9%12.2%7.6%6.9%
Call IV 25d41.2%38.0%45.1%41.7%42.9%
Put IV 25d44.4%41.3%48.5%44.7%46.0%
Bid-Ask Spread %18.669.6459.5459.5415.68
Gamma HHI0.140.080.350.110.10
Net GEX2.9M461.9K5.3M2.9M2.2M
Net DEX-180.8M-208.8M-132.6M-177.1M-188.0M
Net VEX-529.9K-587.0K-507.6K-535.1K-507.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.441.050.900.68
Total Volume56,533.33335,580186,810186,81046,710
Total OI569,080.952486,520634,830558,670517,630

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$8.71$7.5043.0%12.5%124.3%6.4%45.8%3.0%-1.9%2.9M-177.1M-535.1K0.9059.54N/AN/A98,54088,270312,460246,210
2018-06-04$8.31$6.0044.3%12.4%126.9%8.7%45.7%5.0%-0.4%461.9K-132.6M-587.0K0.7831.86N/AN/A53,53041,630337,090265,900
2018-06-05$8.81$6.0040.4%11.4%127.4%2.1%41.0%4.2%1.0%2.7M-183.2M-562.4K0.6521.37N/AN/A35,94023,270340,430269,110
2018-06-06$8.62$6.0041.3%11.8%128.2%3.6%41.2%0.7%-0.0%2.6M-169.0M-560.2K0.8213.76N/AN/A24,74020,180354,330274,570
2018-06-07$8.65$6.0040.8%11.8%128.4%2.9%41.1%3.9%-0.2%2.9M-169.7M-556.8K0.8524.83N/AN/A19,23016,350356,200275,710
2018-06-08$8.88$6.0040.6%11.6%128.4%2.6%41.2%3.1%0.0%5.3M-197.5M-545.2K0.6821.37N/AN/A28,61019,500358,100276,730
2018-06-11$8.93$6.0040.5%11.5%45.8%2.3%40.8%3.6%-0.1%3.4M-193.6M-526.8K0.6314.62N/AN/A24,70015,610337,710264,120
2018-06-12$9.07$6.0039.8%11.5%45.7%1.2%40.2%3.5%0.6%4.5M-208.8M-525.9K0.6817.73N/AN/A31,38021,370344,180266,920
2018-06-13$9.00$6.0039.6%11.5%39.6%0.9%40.3%3.1%0.6%4.6M-200.7M-533.5K0.6714.60N/AN/A28,52019,050348,760271,590
2018-06-14$9.06$6.0039.3%11.4%39.6%0.4%39.5%3.6%0.5%5.0M-206.3M-520.8K0.4416.21N/AN/A43,98019,460349,350274,200
2018-06-15$8.97$6.0039.4%11.4%39.9%0.6%39.4%2.8%0.2%4.8M-194.3M-512.1K1.0517.12N/AN/A27,51028,900351,250277,280
2018-06-18$9.25$6.0040.5%11.6%36.7%2.3%41.8%2.9%0.1%2.6M-186.4M-508.9K0.8314.12N/AN/A24,37020,190290,230225,840
2018-06-19$9.16$6.0042.4%12.2%34.6%5.5%43.6%3.5%0.5%2.5M-177.9M-518.1K0.6916.91N/AN/A29,80020,600297,190231,720
2018-06-20$9.35$6.0042.3%12.1%35.0%5.4%42.5%2.2%-0.7%3.7M-199.4M-517.8K0.6710.57N/AN/A32,19021,650307,010235,800
2018-06-21$9.10$6.0043.4%12.5%37.0%7.1%43.0%2.9%-0.9%2.7M-174.5M-520.3K0.7811.38N/AN/A27,55021,550307,610238,960
2018-06-22$9.14$6.0044.5%12.8%36.9%9.1%44.6%3.4%-0.0%2.3M-176.5M-522.9K0.889.64N/AN/A24,29021,280308,760241,750
2018-06-25$8.92$6.0046.2%13.4%38.1%11.8%47.0%3.4%-0.9%649.1K-150.6M-523.5K0.6912.89N/AN/A21,88015,080276,050210,470
2018-06-26$9.16$6.0045.1%12.9%39.0%9.9%45.4%3.5%-0.7%1.2M-169.3M-510.9K0.7310.59N/AN/A23,13016,780279,770214,210
2018-06-27$9.05$6.5046.0%13.3%38.7%11.4%46.6%3.8%-0.7%1.0M-161.6M-518.7K0.7816.44N/AN/A24,80019,440285,910217,520
2018-06-28$9.25$6.5044.0%12.8%39.2%8.1%45.1%3.7%1.1%1.9M-178.7M-512.9K0.7820.69N/AN/A25,69019,950290,520221,550
2018-06-29$9.34$6.5043.7%12.3%38.8%7.7%43.7%3.1%-0.5%2.2M-188.0M-507.6K0.6815.68N/AN/A27,84018,870294,380223,250