TTD Options History — January 2019 In January 2019, TTD traded between $11.05 and $14.24. ATM implied volatility averaged 60.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 2.7% (HV 20d: 58.0%). Max pain ranged from $10.50 to $13.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.78.
Notable Days 2019-01-18 : Highest Volume — 87,630 contracts2019-01-22 : Largest IV spike — 26.3% change2019-01-30 : Highest IV Rank — 52.2%2019-01-31 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $13.05 $11.05 $14.24 $11.56 $14.24 Max Pain $12.17 $10.50 $13.00 $10.50 $12.50 ATM IV 60.7% 47.4% 73.4% 62.0% 72.7% Expected Move 15.3% 13.0% 19.3% 18.2% 19.3% HV 20d 58.0% 41.9% 72.0% 63.7% 43.8% HV 60d 70.4% 65.9% 73.6% 71.6% 66.2% IV Rank 32.9% 12.7% 52.2% 34.9% 51.1% IV Percentile 63.2% 35.7% 88.1% 69.8% 86.9% Term Structure 3.3% -4.3% 18.5% 0.0% -4.3% VWIV 53.6% 46.6% 66.7% 61.6% 66.7% Skew 25d 6.1% 4.3% 9.4% 6.5% 6.2% Skew 10d 12.2% 8.0% 18.2% 13.8% 8.0% Call IV 25d 57.3% 42.7% 68.6% 59.6% 68.6% Put IV 25d 63.4% 49.4% 75.8% 66.1% 74.8% Bid-Ask Spread % 38.22 18.53 56.95 43.71 18.53 Gamma HHI 0.11 0.06 0.19 0.08 0.09 Net GEX 1.7M -361.8K 3.0M 6.7K 3.0M Net DEX -136.8M -213.8M -63.0M -82.2M -159.9M Net VEX -563.5K -594.4K -530.7K -555.5K -591.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.31 1.49 0.38 0.52 Total Volume 33,945.238 17,010 87,630 33,990 51,720 Total OI 397,680.952 288,780 481,320 419,000 337,850
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 2019-01-02 $11.56 $10.50 62.0% 18.2% 63.7% 34.9% 61.6% 6.5% 0.0% 6.7K -82.2M -555.5K 0.38 43.71 N/A N/A 24,560 9,430 229,890 189,110 2019-01-03 $11.05 $11.50 64.1% 18.2% 62.3% 38.0% 63.1% 6.4% -2.4% -361.8K -63.0M -540.8K 1.25 32.77 N/A N/A 16,070 20,070 239,490 191,310 2019-01-04 $11.88 $11.50 58.4% 16.9% 68.7% 29.4% 58.0% 6.7% 1.8% 342.4K -107.2M -578.1K 0.73 30.89 N/A N/A 26,850 19,680 244,700 203,520 2019-01-07 $12.45 $11.00 56.8% 16.6% 71.3% 26.9% 56.7% 5.2% 1.6% 913.7K -124.8M -560.7K 0.31 30.91 N/A N/A 15,870 4,920 232,480 198,890 2019-01-08 $12.73 $11.50 56.1% 16.2% 72.0% 25.9% 56.7% 9.4% 0.5% 1.6M -144.8M -557.0K 0.71 36.01 N/A N/A 18,090 12,930 240,430 201,160 2019-01-09 $12.85 $11.50 55.5% 16.2% 71.2% 25.0% 57.5% 5.6% 0.7% 2.0M -153.1M -565.6K 0.61 36.43 N/A N/A 19,130 11,660 244,500 204,610 2019-01-10 $13.07 $12.00 53.7% 15.8% 71.0% 22.2% 55.2% 4.3% 2.1% 2.6M -168.4M -561.8K 0.54 38.66 N/A N/A 21,240 11,540 249,770 206,880 2019-01-11 $12.79 $12.00 53.1% 15.3% 68.9% 21.4% 53.9% 5.0% -0.1% 2.3M -151.6M -550.6K 0.62 40.92 N/A N/A 22,610 14,000 253,020 209,270 2019-01-14 $12.95 $12.00 52.5% 15.1% 68.1% 20.4% 55.1% 6.3% 12.7% 2.0M -152.5M -546.2K 0.68 45.65 N/A N/A 10,140 6,870 241,060 200,230 2019-01-15 $13.08 $12.00 49.9% 14.3% 68.0% 16.5% 52.5% 5.1% 14.8% 2.4M -161.9M -544.0K 0.83 46.75 N/A N/A 14,600 12,140 245,370 204,970 2019-01-16 $13.06 $12.00 47.4% 13.6% 57.1% 12.7% 48.0% 5.1% 17.0% 3.0M -162.7M -540.1K 0.88 53.17 N/A N/A 17,290 15,270 249,630 209,380 2019-01-17 $13.36 $12.00 48.8% 13.0% 57.5% 14.7% 46.6% 6.7% 18.5% 2.9M -184.4M -530.7K 0.91 56.95 N/A N/A 22,970 20,950 253,950 212,710 2019-01-18 $13.86 $12.50 52.8% 13.4% 57.0% 20.9% 47.8% 5.6% 16.4% 1.1M -213.8M -535.1K 0.61 52.99 N/A N/A 54,520 33,110 261,020 220,300 2019-01-22 $13.35 $13.00 66.7% 14.3% 57.5% 42.0% 50.4% 4.3% 0.5% 1.2M -107.0M -566.1K 1.11 32.60 N/A N/A 8,790 9,740 166,090 122,690 2019-01-23 $13.42 $13.00 68.9% 15.0% 44.9% 45.3% 52.3% 5.4% 1.3% 1.2M -110.0M -577.8K 0.69 34.18 N/A N/A 14,290 9,820 171,520 129,280 2019-01-24 $13.52 $13.00 70.8% 14.7% 43.7% 48.1% 51.1% 8.2% -0.7% 1.6M -117.9M -591.6K 0.79 30.00 N/A N/A 15,520 12,200 180,070 132,360 2019-01-25 $13.80 $13.00 69.0% 13.5% 41.9% 45.6% 47.6% 4.5% -1.1% 2.4M -139.0M -594.4K 0.73 30.67 N/A N/A 22,850 16,670 187,020 136,020 2019-01-28 $13.52 $13.00 70.4% 13.9% 43.0% 47.6% 48.6% 7.3% -2.1% 1.5M -115.2M -580.6K 1.49 36.18 N/A N/A 6,860 10,200 177,890 129,700 2019-01-29 $13.50 $13.00 71.7% 14.1% 43.2% 49.6% 48.8% 7.4% -3.2% 1.5M -114.7M -577.8K 1.13 37.27 N/A N/A 11,050 12,500 181,300 136,140 2019-01-30 $13.95 $13.00 73.4% 13.6% 43.9% 52.2% 48.5% 7.5% -3.5% 2.2M -139.4M -587.3K 0.77 37.46 N/A N/A 19,230 14,900 185,770 139,950 2019-01-31 $14.24 $12.50 72.7% 19.3% 43.8% 51.1% 66.7% 6.2% -4.3% 3.0M -159.9M -591.8K 0.52 18.53 N/A N/A 34,070 17,650 194,050 143,800
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