TTD Options History — December 2018

In December 2018, TTD traded between $10.52 and $14.78. ATM implied volatility averaged 63.2%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 9.1% (HV 20d: 72.3%). Max pain ranged from $9.50 to $12.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2018-12-21: Highest Volume — 85,490 contracts
2018-12-17: Largest IV spike — 12.1% change
2018-12-24: Highest IV Rank — 61.8%
2018-12-24: Largest Expected Move — 23.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.77	$10.52	$14.78	$14.78	$11.62
Max Pain	$10.47	$9.50	$12.50	$12.50	$10.50
ATM IV	63.2%	48.8%	79.8%	48.8%	63.3%
Expected Move	18.4%	14.6%	23.2%	14.6%	18.4%
HV 20d	72.3%	65.6%	84.6%	82.6%	66.2%
HV 60d	71.5%	69.3%	74.1%	69.3%	71.7%
IV Rank	36.6%	14.8%	61.8%	14.8%	36.9%
IV Percentile	71.0%	46.0%	92.1%	46.0%	71.4%
Term Structure	0.1%	-2.1%	2.6%	1.5%	-0.2%
VWIV	64.4%	51.6%	79.0%	51.6%	63.9%
Skew 25d	5.9%	1.0%	8.4%	4.3%	7.0%
Skew 10d	11.4%	3.2%	15.5%	7.9%	12.8%
Call IV 25d	60.1%	46.6%	74.1%	46.6%	60.1%
Put IV 25d	66.1%	50.9%	82.4%	50.9%	67.1%
Bid-Ask Spread %	48.30	40.22	62.64	43.20	43.71
Gamma HHI	0.07	0.05	0.09	0.09	0.08
Net GEX	985.5K	-409.0K	2.6M	2.2M	90.3K
Net DEX	-134.5M	-235.4M	-32.7M	-235.4M	-86.5M
Net VEX	-593.6K	-636.5K	-553.3K	-566.9K	-566.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.37	1.72	0.77	0.56
Total Volume	39,909	15,080	85,490	34,800	15,080
Total OI	422,105	401,400	440,960	403,810	412,070

Daily Data (20 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
2018-12-03	$14.78	$12.50	48.8%	14.6%	82.6%	14.8%	51.6%	4.3%	1.5%	2.2M	-235.4M	-566.9K	0.77	43.20	N/A	N/A	19,680	15,120	230,220	173,590
2018-12-04	$13.91	$12.50	53.1%	16.0%	84.6%	21.4%	56.7%	5.5%	0.0%	1.7M	-187.9M	-611.6K	1.07	40.22	N/A	N/A	17,350	18,510	235,100	183,790
2018-12-05	$14.00	$12.50	54.2%	16.7%	84.5%	23.0%	59.2%	1.0%	1.3%	1.8M	-193.0M	-601.6K	0.99	45.93	N/A	N/A	18,800	18,610	235,100	183,790
2018-12-06	$14.11	$9.50	55.7%	16.5%	80.2%	25.3%	58.3%	4.9%	0.4%	1.7M	-196.7M	-609.0K	0.37	47.48	N/A	N/A	27,530	10,200	238,690	189,670
2018-12-07	$14.03	$9.50	55.9%	16.5%	74.7%	25.6%	57.9%	5.7%	2.6%	2.0M	-199.1M	-598.1K	0.61	50.96	N/A	N/A	23,490	14,330	243,780	192,540
2018-12-10	$13.52	$9.50	59.5%	17.3%	76.3%	31.1%	60.2%	5.5%	0.1%	1.4M	-163.1M	-602.4K	0.44	46.79	N/A	N/A	17,200	7,510	229,160	172,240
2018-12-11	$13.79	$9.50	57.0%	16.4%	66.1%	27.2%	58.1%	6.1%	0.5%	1.8M	-177.9M	-604.9K	0.68	47.19	N/A	N/A	14,870	10,140	235,340	177,890
2018-12-12	$14.45	$9.50	55.0%	15.8%	67.2%	24.2%	55.9%	5.2%	0.0%	2.6M	-217.3M	-580.4K	0.80	43.47	N/A	N/A	31,280	25,050	239,430	177,710
2018-12-13	$13.91	$10.00	57.1%	16.4%	67.6%	27.4%	57.5%	4.7%	0.1%	2.4M	-183.4M	-636.5K	0.98	45.18	N/A	N/A	23,310	22,780	247,740	186,000
2018-12-14	$13.68	$10.00	58.8%	17.0%	66.5%	30.0%	61.1%	5.6%	1.0%	1.9M	-172.4M	-632.9K	0.85	47.30	N/A	N/A	28,040	23,830	252,260	184,460
2018-12-17	$12.36	$10.50	65.9%	18.9%	76.3%	40.8%	65.7%	6.2%	-1.0%	481.9K	-104.8M	-603.1K	0.46	62.64	N/A	N/A	25,850	12,000	240,190	173,340
2018-12-18	$12.49	$10.50	65.0%	18.6%	67.9%	39.4%	64.7%	6.5%	-0.1%	626.5K	-110.9M	-608.7K	0.68	49.27	N/A	N/A	18,680	12,690	248,130	175,060
2018-12-19	$12.08	$10.50	65.1%	18.7%	69.1%	39.6%	65.5%	5.3%	-2.1%	-114.3K	-89.0M	-589.9K	0.66	57.01	N/A	N/A	17,770	11,640	250,400	180,120
2018-12-20	$11.71	$10.50	72.3%	20.8%	68.2%	50.6%	71.3%	6.6%	-0.9%	-409.0K	-72.7M	-592.1K	0.71	54.90	N/A	N/A	26,090	18,540	253,220	181,990
2018-12-21	$10.70	$10.50	76.1%	21.8%	75.1%	56.3%	79.0%	8.0%	0.0%	116.9K	-32.7M	-553.3K	1.72	56.78	N/A	N/A	31,470	54,020	259,450	181,510
2018-12-24	$10.52	$10.50	79.8%	23.2%	67.5%	61.8%	78.2%	8.3%	-1.8%	-377.4K	-43.7M	-574.5K	0.66	43.17	N/A	N/A	23,420	15,560	222,670	185,970
2018-12-26	$11.02	$10.50	75.4%	22.4%	70.5%	55.2%	76.2%	7.8%	1.2%	-165.9K	-61.2M	-579.6K	0.65	46.50	N/A	N/A	23,000	14,840	225,810	185,540
2018-12-27	$11.28	$10.00	73.8%	22.5%	68.7%	52.7%	77.5%	6.4%	-0.7%	247.0K	-75.8M	-580.6K	0.45	46.27	N/A	N/A	30,170	13,520	237,320	186,620
2018-12-28	$11.43	$10.50	71.3%	20.2%	65.6%	49.0%	69.7%	8.4%	-0.9%	-159.3K	-85.7M	-580.7K	0.53	48.04	N/A	N/A	30,170	16,040	244,270	189,920
2018-12-31	$11.62	$10.50	63.3%	18.4%	66.2%	36.9%	63.9%	7.0%	-0.2%	90.3K	-86.5M	-566.4K	0.56	43.71	N/A	N/A	9,640	5,440	226,010	186,060