TTD Options History — November 2018

In November 2018, TTD traded between $11.12 and $14.22. ATM implied volatility averaged 70.5%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 8.1% (HV 20d: 78.5%). Max pain ranged from $12.00 to $13.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2018-11-09: Highest Volume — 175,420 contracts
2018-11-09: Largest IV drop — 36.1% change
2018-11-05: Highest IV Rank — 92.5%
2018-11-01: Largest Expected Move — 37.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.40	$11.12	$14.22	$12.63	$14.22
Max Pain	$12.27	$12.00	$13.50	$13.50	$12.50
ATM IV	70.5%	53.0%	100.0%	98.2%	53.0%
Expected Move	20.5%	15.9%	37.3%	37.3%	16.2%
HV 20d	78.5%	66.6%	87.6%	67.4%	81.8%
HV 60d	65.5%	56.2%	84.9%	84.9%	68.9%
IV Rank	47.7%	21.2%	92.5%	89.9%	21.2%
IV Percentile	76.5%	54.0%	98.8%	98.4%	54.0%
Term Structure	-2.8%	-7.3%	0.2%	-7.0%	0.2%
VWIV	71.2%	55.3%	128.9%	128.7%	57.4%
Skew 25d	6.8%	3.9%	10.8%	10.8%	3.9%
Skew 10d	13.1%	8.8%	21.9%	21.9%	9.0%
Call IV 25d	67.0%	51.2%	93.5%	92.8%	51.2%
Put IV 25d	73.7%	55.1%	103.6%	103.6%	55.1%
Bid-Ask Spread %	20.26	8.39	44.91	11.31	28.09
Gamma HHI	0.08	0.04	0.18	0.05	0.08
Net GEX	1.2M	-336.0K	4.3M	1.5M	1.7M
Net DEX	-129.9M	-237.7M	-51.5M	-132.1M	-235.6M
Net VEX	-627.7K	-666.9K	-590.4K	-666.0K	-599.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.63	1.15	0.74	0.63
Total Volume	78,676.667	48,260	175,420	60,830	77,670
Total OI	457,000.952	392,730	588,530	466,880	432,490

Daily Data (21 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
2018-11-01	$12.63	$13.50	98.2%	37.3%	67.4%	89.9%	128.7%	10.8%	-7.0%	1.5M	-132.1M	-666.0K	0.74	11.31	N/A	N/A	35,050	25,780	273,160	193,720
2018-11-02	$12.71	$13.50	96.5%	37.3%	67.3%	87.3%	128.9%	10.8%	-6.3%	1.4M	-137.5M	-666.9K	0.76	10.92	N/A	N/A	37,180	28,430	279,480	198,820
2018-11-05	$12.23	$12.00	100.0%	24.4%	68.5%	92.5%	87.0%	10.4%	-6.3%	437.6K	-107.5M	-643.9K	0.90	17.93	N/A	N/A	26,890	24,240	247,460	192,310
2018-11-06	$12.14	$12.00	99.6%	24.6%	68.3%	91.9%	85.2%	10.6%	-6.8%	402.9K	-104.4M	-648.8K	1.01	8.39	N/A	N/A	24,860	25,180	253,060	199,610
2018-11-07	$13.12	$12.50	95.3%	23.8%	66.6%	85.5%	83.5%	8.5%	-7.3%	789.8K	-148.9M	-654.3K	0.66	13.92	N/A	N/A	56,920	37,780	258,610	206,890
2018-11-08	$12.16	$12.50	96.3%	24.4%	72.5%	86.9%	83.9%	7.3%	-6.4%	413.1K	-106.3M	-666.8K	1.04	12.08	N/A	N/A	72,640	75,700	281,070	224,000
2018-11-09	$12.25	$12.50	61.6%	17.2%	70.9%	34.2%	59.5%	6.7%	-0.8%	-57.3K	-98.7M	-621.3K	0.70	23.48	N/A	N/A	103,280	72,140	322,150	266,380
2018-11-12	$11.12	$12.50	63.2%	17.8%	78.8%	36.6%	61.0%	5.6%	0.2%	-336.0K	-51.5M	-590.4K	0.65	44.91	N/A	N/A	49,980	32,460	271,680	201,770
2018-11-13	$11.13	$12.00	59.9%	16.9%	77.2%	31.7%	57.5%	4.6%	-0.6%	-224.3K	-59.2M	-599.7K	0.94	24.37	N/A	N/A	38,180	35,940	287,750	201,690
2018-11-14	$11.76	$12.00	60.5%	16.8%	80.3%	32.6%	58.2%	5.1%	-1.4%	762.3K	-101.4M	-615.7K	0.80	22.50	N/A	N/A	42,640	34,320	293,070	202,450
2018-11-15	$12.35	$12.00	58.2%	16.5%	82.1%	29.1%	57.5%	4.8%	-0.7%	1.8M	-133.9M	-638.0K	0.98	34.58	N/A	N/A	51,650	50,730	296,510	205,060
2018-11-16	$12.52	$12.00	55.9%	15.9%	81.4%	25.6%	55.3%	4.7%	-0.5%	4.3M	-151.3M	-631.8K	0.76	18.22	N/A	N/A	56,200	42,430	305,940	223,280
2018-11-19	$11.39	$12.00	62.8%	17.9%	87.3%	36.1%	62.1%	5.6%	-2.2%	211.1K	-86.5M	-622.1K	0.66	15.76	N/A	N/A	35,290	23,340	230,690	172,050
2018-11-20	$11.33	$12.00	66.1%	18.9%	87.2%	41.1%	64.0%	6.7%	-4.2%	370.6K	-86.4M	-628.1K	0.95	14.81	N/A	N/A	30,580	28,910	239,200	174,490
2018-11-21	$11.87	$12.00	60.2%	17.2%	85.7%	32.1%	59.7%	7.3%	-2.3%	1.4M	-113.6M	-623.8K	0.92	16.54	N/A	N/A	33,490	30,780	241,260	172,120
2018-11-23	$11.94	$12.00	63.2%	18.3%	85.6%	36.6%	63.2%	6.9%	-2.1%	2.3M	-118.1M	-619.9K	1.15	28.19	N/A	N/A	26,950	30,930	244,500	173,400
2018-11-26	$12.97	$12.00	58.6%	17.3%	87.6%	29.6%	62.2%	6.9%	-1.7%	1.8M	-160.5M	-617.7K	0.76	16.19	N/A	N/A	36,300	27,510	229,020	163,710
2018-11-27	$12.89	$12.00	58.8%	17.4%	86.1%	29.9%	61.6%	6.1%	-1.4%	2.2M	-160.3M	-621.5K	0.81	14.58	N/A	N/A	26,700	21,560	236,740	168,840
2018-11-28	$13.49	$12.00	57.3%	17.0%	84.1%	27.7%	59.9%	4.9%	-1.2%	2.6M	-197.1M	-612.9K	0.69	17.30	N/A	N/A	36,870	25,270	240,810	170,090
2018-11-29	$14.19	$12.20	54.5%	16.7%	82.0%	23.4%	58.1%	4.2%	-0.3%	2.2M	-237.7M	-593.1K	0.66	31.46	N/A	N/A	47,820	31,640	246,170	175,520
2018-11-30	$14.22	$12.50	53.0%	16.2%	81.8%	21.2%	57.4%	3.9%	0.2%	1.7M	-235.6M	-599.9K	0.63	28.09	N/A	N/A	47,610	30,060	249,820	182,670