TTD Options History — September 2019 In September 2019, TTD traded between $18.40 and $24.30. ATM implied volatility averaged 49.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.3% (HV 20d: 49.3%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.78.
Notable Days 2019-09-09 : Highest Volume — 303,090 contracts2019-09-09 : Largest IV spike — 13.5% change2019-09-30 : Highest IV Rank — 22.9%2019-09-27 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.09 $18.40 $24.30 $23.62 $18.83 Max Pain $23.45 $22.00 $25.00 $25.00 $22.00 ATM IV 49.0% 45.0% 54.9% 52.2% 54.9% Expected Move 14.1% 12.9% 16.0% 14.6% 15.5% HV 20d 49.3% 43.8% 57.2% 50.9% 51.3% HV 60d 48.4% 44.9% 50.7% 44.9% 50.7% IV Rank 13.8% 7.6% 22.9% 18.6% 22.9% IV Percentile 24.7% 6.7% 46.8% 39.3% 46.8% Term Structure 1.8% -1.1% 17.6% 0.3% 17.6% VWIV 49.2% 44.6% 57.3% 51.3% 55.3% Skew 25d 4.2% 2.1% 7.7% 3.8% 5.4% Skew 10d 6.8% 2.5% 16.0% 9.0% 8.6% Call IV 25d 47.1% 43.2% 52.8% 50.8% 52.0% Put IV 25d 51.3% 46.5% 58.4% 54.6% 57.3% Bid-Ask Spread % 58.68 46.29 69.12 46.29 62.02 Gamma HHI 0.11 0.08 0.22 0.08 0.10 Net GEX 419.3K -7.8M 8.4M 423.8K 868.1K Net DEX -133.9M -439.8M 65.7M -305.8M -49.2M Net VEX -2.2M -2.5M -1.8M -2.5M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.31 1.42 0.58 0.57 Total Volume 160,338 72,310 303,090 154,800 138,910 Total OI 1,016,960.5 875,770 1,156,550 896,720 903,340
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 2019-09-03 $23.62 $25.00 52.2% 14.6% 50.9% 18.6% 51.3% 3.8% 0.3% 423.8K -305.8M -2.5M 0.58 46.29 N/A N/A 97,850 56,950 564,810 331,910 2019-09-04 $24.05 $25.00 47.6% 13.2% 51.5% 11.5% 46.1% 5.4% -0.1% 4.0M -373.1M -2.5M 0.31 49.18 N/A N/A 101,490 31,460 602,310 351,340 2019-09-05 $24.30 $24.00 45.8% 13.4% 50.3% 8.8% 47.2% 4.1% 0.6% 8.4M -439.8M -2.5M 0.59 51.11 N/A N/A 70,630 41,970 651,450 359,830 2019-09-06 $23.44 $24.00 46.2% 13.6% 47.9% 9.4% 47.2% 4.9% 2.6% 289.9K -273.6M -2.4M 0.81 57.43 N/A N/A 83,330 67,450 655,780 366,530 2019-09-09 $21.26 $24.00 52.4% 15.1% 57.2% 19.0% 52.3% 4.8% 0.3% -1.9M -71.1M -2.1M 0.71 53.26 N/A N/A 176,810 126,280 612,010 340,940 2019-09-10 $20.91 $24.00 52.1% 14.8% 53.5% 18.6% 51.1% 7.7% -1.1% -56.0K -48.5M -2.2M 0.68 53.58 N/A N/A 100,850 68,320 681,660 376,830 2019-09-11 $21.24 $24.00 48.7% 14.2% 51.8% 13.3% 49.4% 2.1% 1.0% 757.9K -104.6M -2.3M 0.75 60.95 N/A N/A 79,820 59,630 702,940 391,800 2019-09-12 $21.50 $23.50 47.1% 13.4% 50.1% 10.8% 46.4% 4.4% -0.8% 2.8M -151.2M -2.3M 0.42 58.72 N/A N/A 105,130 44,500 726,280 411,830 2019-09-13 $20.86 $23.50 46.0% 13.4% 50.1% 9.1% 47.0% 3.2% 1.0% -4.5M -46.7M -2.2M 0.79 60.09 N/A N/A 106,740 84,370 746,070 410,480 2019-09-16 $21.10 $23.50 46.8% 13.4% 49.5% 10.3% 47.0% 2.9% 1.3% 1.3M -126.5M -2.1M 0.67 65.14 N/A N/A 43,430 28,880 670,450 365,860 2019-09-17 $21.34 $23.50 46.3% 13.3% 49.7% 9.6% 46.7% 3.1% 1.2% 3.0M -169.3M -2.2M 0.42 65.89 N/A N/A 55,950 23,760 683,570 369,630 2019-09-18 $20.91 $23.50 46.5% 13.3% 47.8% 9.9% 46.2% 3.1% 1.3% 1.6M -116.8M -2.1M 0.76 67.61 N/A N/A 63,390 48,100 695,240 370,290 2019-09-19 $21.02 $23.50 45.0% 12.9% 45.4% 7.6% 44.6% 2.6% 0.9% 3.3M -142.1M -2.1M 0.84 64.52 N/A N/A 50,830 42,880 718,000 368,730 2019-09-20 $20.66 $23.50 47.8% 13.7% 45.3% 11.9% 48.1% 3.1% 0.1% -215.1K -84.9M -2.1M 1.22 69.12 N/A N/A 88,070 107,450 733,860 384,710 2019-09-23 $20.24 $23.00 47.8% 13.6% 43.8% 11.9% 47.6% 3.6% 3.6% 155.4K -120.2M -2.0M 1.35 56.62 N/A N/A 58,910 79,660 543,180 332,590 2019-09-24 $19.11 $23.00 52.2% 15.0% 46.2% 18.7% 52.1% 4.3% 0.3% -2.9M 6.6M -1.9M 1.42 59.24 N/A N/A 121,940 173,290 559,740 355,020 2019-09-25 $19.42 $22.50 50.4% 14.7% 47.4% 15.9% 50.4% 5.3% 2.6% -1.4M -48.0M -2.0M 1.01 56.17 N/A N/A 112,590 113,610 594,260 373,630 2019-09-26 $19.51 $22.00 50.3% 14.3% 47.2% 15.8% 50.1% 5.4% 1.0% 354.7K -79.2M -2.0M 0.56 61.20 N/A N/A 89,090 50,130 620,350 386,870 2019-09-27 $18.40 $22.00 54.9% 16.0% 49.5% 22.8% 57.3% 5.7% 1.9% -7.8M 65.7M -1.8M 1.03 55.40 N/A N/A 104,470 107,840 634,480 390,610 2019-09-30 $18.83 $22.00 54.9% 15.5% 51.3% 22.9% 55.3% 5.4% 17.6% 868.1K -49.2M -1.9M 0.57 62.02 N/A N/A 88,400 50,510 547,670 355,670
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