TTD Options History — August 2019 In August 2019, TTD traded between $24.38 and $27.32. ATM implied volatility averaged 59.0%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 3.2% (HV 20d: 55.8%). Max pain ranged from $24.75 to $26.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2019-08-09 : Highest Volume — 531,960 contracts2019-08-09 : Largest IV drop — 31.1% change2019-08-05 : Highest IV Rank — 73.7%2019-08-02 : Largest Expected Move — 29.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.46 $24.38 $27.32 $26.71 $24.58 Max Pain $25.67 $24.75 $26.50 $24.75 $25.00 ATM IV 59.0% 46.9% 87.6% 74.8% 48.9% Expected Move 16.9% 13.0% 29.8% 26.6% 13.1% HV 20d 55.8% 47.5% 63.9% 47.5% 50.5% HV 60d 49.9% 44.7% 59.5% 59.4% 44.7% IV Rank 30.1% 10.6% 73.7% 54.3% 13.5% IV Percentile 50.7% 18.7% 95.2% 79.4% 28.6% Term Structure -1.0% -5.4% 1.9% -5.4% 0.5% VWIV 59.5% 45.9% 105.0% 92.2% 46.0% Skew 25d 3.9% 1.2% 5.6% 3.1% 1.2% Skew 10d 7.0% 3.5% 11.1% 3.5% 5.0% Call IV 25d 57.7% 45.9% 83.7% 74.5% 47.8% Put IV 25d 61.6% 49.0% 87.9% 77.6% 49.0% Bid-Ask Spread % 26.90 3.80 46.96 18.79 46.96 Gamma HHI 0.08 0.03 0.33 0.06 0.33 Net GEX 3.1M -14.4M 18.3M 8.2M -14.4M Net DEX -422.7M -723.3M -189.8M -550.9M -397.8M Net VEX -2.2M -2.7M -1.8M -2.1M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.35 1.10 0.67 0.83 Total Volume 160,429.091 48,310 531,960 153,690 142,010 Total OI 889,904.091 692,030 1,109,380 911,520 991,280
Daily Data (22 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 2019-08-01 $26.71 $24.75 74.8% 26.6% 47.5% 54.3% 92.2% 3.1% -5.4% 8.2M -550.9M -2.1M 0.67 18.79 N/A N/A 92,010 61,680 458,840 452,680 2019-08-02 $25.98 $25.00 81.0% 29.8% 48.8% 63.6% 105.0% 5.1% -5.1% -1.1M -437.2M -2.1M 1.02 10.06 N/A N/A 68,790 70,340 473,310 469,780 2019-08-05 $25.08 $26.50 87.6% 22.2% 50.8% 73.7% 78.8% 4.1% -4.1% -409.7K -313.4M -2.1M 1.03 3.98 N/A N/A 37,660 38,740 376,130 399,060 2019-08-06 $25.08 $26.50 80.0% 20.6% 50.8% 62.3% 72.4% 3.2% -4.5% -496.9K -318.5M -2.0M 0.76 4.53 N/A N/A 49,810 37,670 390,180 418,810 2019-08-07 $25.84 $26.50 80.4% 20.9% 51.7% 62.8% 73.1% 4.1% -3.1% 936.0K -395.0M -2.1M 0.42 3.80 N/A N/A 78,170 33,030 411,560 438,140 2019-08-08 $27.10 $26.50 75.6% 19.4% 54.0% 55.5% 67.3% 3.8% -4.2% 5.9M -592.5M -2.1M 0.79 4.75 N/A N/A 201,690 159,160 458,930 455,120 2019-08-09 $27.32 $26.50 52.1% 14.7% 53.8% 19.8% 52.6% 3.8% -0.3% 18.3M -723.3M -1.9M 0.52 29.78 N/A N/A 349,100 182,860 569,320 540,060 2019-08-12 $25.55 $26.50 55.3% 15.8% 59.4% 24.7% 54.4% 4.9% -0.9% 2.8M -348.2M -1.9M 0.52 26.92 N/A N/A 149,360 77,770 433,860 362,580 2019-08-13 $26.46 $26.50 50.8% 14.6% 60.0% 17.8% 52.0% 3.1% 0.0% 6.8M -470.4M -2.0M 0.57 25.11 N/A N/A 75,130 43,000 475,360 400,330 2019-08-14 $25.12 $26.00 55.6% 15.8% 63.2% 25.1% 54.8% 5.6% -0.1% -1.5M -280.9M -2.0M 0.51 31.81 N/A N/A 84,530 43,460 487,870 409,070 2019-08-15 $24.39 $26.00 54.9% 15.7% 63.9% 24.1% 55.1% 5.5% -0.1% -5.4M -189.8M -1.9M 0.67 31.41 N/A N/A 62,100 41,320 522,040 415,900 2019-08-16 $24.92 $26.00 49.7% 14.2% 63.9% 16.2% 50.3% 4.0% -1.0% -5.5M -284.8M -1.9M 0.58 33.32 N/A N/A 87,320 50,900 541,420 415,460 2019-08-19 $24.38 $25.50 48.5% 13.9% 61.4% 14.3% 49.0% 3.9% 1.5% 1.7M -279.8M -1.8M 0.60 35.36 N/A N/A 73,820 44,300 404,190 287,840 2019-08-20 $25.14 $25.50 48.9% 14.0% 62.0% 14.9% 49.9% 3.3% -0.2% 5.3M -369.5M -1.9M 0.63 34.30 N/A N/A 83,870 53,220 437,280 308,920 2019-08-21 $26.01 $25.00 49.0% 14.1% 62.9% 15.1% 49.5% 3.4% 0.2% 10.6M -484.2M -2.0M 0.44 34.44 N/A N/A 175,280 76,490 458,320 330,330 2019-08-22 $26.00 $25.50 51.7% 14.9% 62.1% 19.2% 52.3% 4.5% -0.7% 12.8M -560.1M -2.4M 0.35 33.46 N/A N/A 117,290 40,630 534,670 352,020 2019-08-23 $24.89 $25.00 52.6% 15.1% 56.3% 20.6% 52.9% 3.7% -0.4% 3.9M -456.7M -2.7M 0.53 37.64 N/A N/A 138,470 73,100 597,640 358,510 2019-08-26 $25.09 $25.00 53.0% 15.1% 51.4% 21.0% 52.9% 3.8% 0.7% 4.5M -478.3M -2.7M 0.49 32.10 N/A N/A 32,500 15,810 560,150 336,650 2019-08-27 $24.66 $25.00 50.8% 14.7% 50.9% 16.6% 52.2% 3.8% 1.9% 4.1M -430.9M -2.6M 0.58 36.52 N/A N/A 64,730 37,500 584,240 346,290 2019-08-28 $24.88 $25.00 50.6% 14.1% 51.0% 16.3% 50.1% 4.3% 1.2% 5.0M -459.0M -2.6M 0.56 33.91 N/A N/A 53,750 30,190 590,810 356,330 2019-08-29 $24.99 $25.00 46.9% 13.0% 51.1% 10.6% 45.9% 3.5% 1.0% 6.4M -477.3M -2.6M 1.10 42.76 N/A N/A 48,080 52,800 604,870 361,740 2019-08-30 $24.58 $25.00 48.9% 13.1% 50.5% 13.5% 46.0% 1.2% 0.5% -14.4M -397.8M -2.5M 0.83 46.96 N/A N/A 77,500 64,510 610,570 380,710
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