TTD Options History — September 2018

In September 2018, TTD traded between $13.91 and $15.78. ATM implied volatility averaged 45.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 9.0% (HV 20d: 54.6%). Max pain ranged from $9.50 to $12.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.04.

Notable Days

  • 2018-09-25: Highest Volume — 141,670 contracts
  • 2018-09-25: Largest IV spike — 6.8% change
  • 2018-09-25: Highest IV Rank — 19.9%
  • 2018-09-25: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.57$13.91$15.78$14.66$15.09
Max Pain$10.95$9.50$12.50$12.00$12.50
ATM IV45.5%43.7%48.6%43.7%46.9%
Expected Move13.1%12.5%14.1%12.5%13.3%
HV 20d54.6%30.2%116.1%113.4%48.8%
HV 60d73.9%72.8%75.9%72.8%75.9%
IV Rank13.5%9.7%19.9%9.7%16.3%
IV Percentile35.0%22.2%48.8%22.2%44.4%
Term Structure0.2%-0.3%0.8%-0.2%0.6%
VWIV46.1%44.0%50.5%44.0%47.1%
Skew 25d2.2%0.3%3.1%2.4%1.9%
Skew 10d4.2%-0.5%6.6%5.0%2.4%
Call IV 25d44.8%43.1%49.3%43.1%45.8%
Put IV 25d47.1%45.5%49.7%45.5%47.7%
Bid-Ask Spread %11.607.7919.6513.9311.29
Gamma HHI0.170.100.380.190.38
Net GEX1.9M-2.7M5.0M2.2M5.0M
Net DEX-240.7M-308.1M-184.0M-258.1M-256.2M
Net VEX-507.5K-608.9K-447.3K-447.3K-608.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.521.570.780.83
Total Volume69,735.78937,820141,67055,690116,270
Total OI435,970.526395,190509,740395,190509,740

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$14.66$12.0043.7%12.5%113.4%9.7%44.0%2.4%-0.2%2.2M-258.1M-447.3K0.7813.93N/AN/A31,22024,470224,640170,550
2018-09-05$14.14$12.0045.3%13.1%115.3%13.0%45.5%2.3%0.1%2.3M-225.0M-492.1K0.8119.65N/AN/A46,06037,150233,810177,830
2018-09-06$13.91$9.5045.9%13.0%116.1%14.2%46.4%2.4%-0.3%100.0K-205.4M-507.0K0.849.49N/AN/A29,01024,370237,420192,400
2018-09-07$14.18$10.0044.5%12.9%116.1%11.3%45.0%1.7%0.3%1.4M-230.8M-498.1K0.9410.37N/AN/A36,37034,020239,110193,730
2018-09-10$14.26$10.0044.2%12.8%40.6%10.7%45.0%2.5%0.4%1.7M-227.3M-489.9K1.2311.24N/AN/A16,94020,880228,360180,670
2018-09-11$14.79$10.0044.6%12.7%41.0%11.6%45.4%2.3%-0.1%2.2M-258.8M-475.1K0.9011.26N/AN/A25,20022,570230,410185,990
2018-09-12$14.62$10.0045.2%13.0%37.6%12.8%46.5%2.7%0.3%2.1M-247.3M-485.8K1.1010.38N/AN/A25,22027,760233,280189,570
2018-09-13$14.47$10.5045.4%13.1%33.1%13.3%45.9%2.5%0.4%2.1M-239.5M-510.3K0.9111.27N/AN/A34,37031,140237,760197,490
2018-09-14$14.64$11.0044.5%12.8%33.2%11.4%44.9%2.4%0.4%2.7M-252.2M-499.7K1.5711.01N/AN/A24,47038,380244,030205,620
2018-09-17$14.21$11.0046.8%13.4%35.0%16.2%46.9%3.0%-0.3%1.3M-215.3M-510.5K1.4113.47N/AN/A17,82025,120235,870195,290
2018-09-18$14.49$11.0045.1%12.9%35.2%12.6%46.3%2.5%0.4%1.8M-234.3M-496.7K1.277.79N/AN/A19,76025,080237,480197,820
2018-09-19$14.39$11.0044.7%12.8%34.5%11.8%45.9%2.8%0.4%1.9M-227.5M-499.9K1.2411.32N/AN/A20,76025,820241,550199,580
2018-09-20$14.35$11.0044.2%12.6%34.5%10.8%44.8%2.8%0.8%1.7M-225.9M-491.0K1.2911.42N/AN/A28,55036,950241,420200,830
2018-09-21$14.16$11.0045.0%12.9%30.2%12.3%44.3%2.7%-0.3%-2.7M-217.3M-500.7K0.9211.86N/AN/A37,59034,430251,320210,230
2018-09-24$13.94$11.0045.5%13.0%30.5%13.5%44.9%3.1%-0.1%639.8K-184.0M-521.7K1.148.73N/AN/A30,02034,370221,050175,100
2018-09-25$15.41$11.0048.6%14.1%46.7%19.9%50.5%0.3%-0.1%2.5M-272.0M-504.3K0.5213.29N/AN/A93,11048,560229,460187,550
2018-09-26$15.78$11.5048.1%13.7%47.2%18.8%48.6%0.9%0.5%3.3M-308.1M-526.1K0.9313.07N/AN/A55,56051,790253,530208,930
2018-09-27$15.44$12.0047.2%13.3%48.1%16.9%47.4%0.9%0.4%3.3M-288.9M-576.9K1.109.59N/AN/A44,69049,130264,520219,500
2018-09-28$15.09$12.5046.9%13.3%48.8%16.3%47.1%1.9%0.6%5.0M-256.2M-608.9K0.8311.29N/AN/A63,51052,760273,640236,100