TTD Options History — October 2019 In October 2019, TTD traded between $18.30 and $21.15. ATM implied volatility averaged 67.6%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 13.1% (HV 20d: 54.4%). Max pain ranged from $20.50 to $22.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.62.
Notable Days 2019-10-11 : Highest Volume — 321,740 contracts2019-10-07 : Largest IV spike — 10.0% change2019-10-22 : Highest IV Rank — 50.0%2019-10-29 : Largest Expected Move — 23.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.66 $18.30 $21.15 $18.30 $20.10 Max Pain $21.24 $20.50 $22.00 $22.00 $20.75 ATM IV 67.6% 55.4% 72.5% 55.4% 68.0% Expected Move 20.5% 15.9% 23.8% 15.9% 23.7% HV 20d 54.4% 40.7% 63.2% 50.6% 62.1% HV 60d 53.5% 50.9% 56.3% 50.9% 54.9% IV Rank 42.5% 23.7% 50.0% 23.7% 44.8% IV Percentile 64.4% 48.0% 74.6% 48.0% 64.7% Term Structure 0.1% -5.4% 18.8% 16.2% -2.2% VWIV 71.6% 55.5% 83.6% 55.5% 83.0% Skew 25d 5.3% 2.7% 6.9% 6.9% 4.2% Skew 10d 10.4% 6.4% 15.2% 12.6% 8.0% Call IV 25d 64.8% 49.4% 73.0% 50.8% 66.8% Put IV 25d 70.1% 55.6% 75.7% 57.7% 71.0% Bid-Ask Spread % 45.39 36.33 62.38 62.38 39.35 Gamma HHI 0.09 0.07 0.28 0.08 0.08 Net GEX 5.7M -3.6M 15.1M 319.9K 5.6M Net DEX -202.7M -406.2M -4.6M -4.6M -246.1M Net VEX -2.0M -2.1M -1.8M -1.8M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.33 1.01 0.46 0.64 Total Volume 136,663.478 55,830 321,740 86,770 95,680 Total OI 951,237.391 845,830 1,056,700 935,040 957,950
Daily Data (23 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 2019-10-01 $18.30 $22.00 55.4% 15.9% 50.6% 23.7% 55.5% 6.9% 16.2% 319.9K -4.6M -1.8M 0.46 62.38 N/A N/A 59,570 27,200 569,990 365,050 2019-10-02 $18.40 $21.75 56.6% 17.0% 49.8% 25.5% 59.9% 6.5% 15.7% 1.5M -30.2M -1.9M 0.77 62.27 N/A N/A 57,610 44,540 583,000 369,950 2019-10-03 $18.98 $21.50 58.2% 20.1% 51.6% 27.9% 68.8% 6.2% 17.8% 4.7M -113.0M -2.0M 0.46 43.30 N/A N/A 104,480 48,370 600,840 376,290 2019-10-04 $18.81 $21.50 59.7% 19.5% 50.9% 30.3% 67.1% 6.1% 18.8% 3.8M -90.8M -1.9M 0.41 41.28 N/A N/A 98,360 39,960 612,160 380,650 2019-10-07 $19.44 $21.50 65.7% 19.1% 41.6% 39.6% 66.4% 5.0% -2.8% 4.0M -163.6M -2.0M 0.45 43.44 N/A N/A 86,130 38,760 557,500 345,890 2019-10-08 $19.14 $21.50 71.5% 19.9% 41.6% 48.6% 70.6% 2.7% -3.6% 3.7M -132.4M -2.0M 0.87 52.03 N/A N/A 52,550 45,460 578,380 361,800 2019-10-09 $19.00 $21.50 72.3% 19.6% 40.9% 49.8% 68.1% 6.7% -3.3% 3.4M -111.2M -1.9M 0.99 50.33 N/A N/A 28,090 27,740 587,850 378,020 2019-10-10 $18.57 $21.50 71.3% 19.7% 40.7% 48.2% 67.9% 6.3% -3.0% 624.0K -48.7M -1.8M 0.93 44.52 N/A N/A 38,570 35,700 591,860 381,500 2019-10-11 $20.06 $21.50 69.7% 19.1% 49.5% 45.7% 66.1% 4.9% -5.4% 15.1M -271.5M -2.0M 0.49 49.81 N/A N/A 215,650 106,090 596,590 391,590 2019-10-14 $20.10 $21.50 67.1% 19.0% 49.3% 41.7% 66.0% 5.8% -1.5% 6.3M -233.0M -2.0M 0.71 54.26 N/A N/A 54,310 38,420 572,240 361,440 2019-10-15 $21.15 $21.50 66.6% 19.0% 52.7% 41.0% 65.9% 5.6% -0.8% 11.8M -406.2M -2.1M 0.38 48.33 N/A N/A 137,070 51,580 593,760 374,470 2019-10-16 $19.59 $21.50 69.2% 19.8% 58.9% 45.0% 68.9% 5.2% -3.1% 4.0M -160.4M -2.0M 0.83 45.60 N/A N/A 121,450 101,200 605,240 384,530 2019-10-17 $20.16 $21.00 66.5% 19.2% 60.0% 40.7% 66.8% 4.6% -3.3% 7.7M -251.1M -2.1M 0.76 45.30 N/A N/A 74,160 56,230 635,210 408,050 2019-10-18 $19.47 $21.00 70.3% 20.5% 60.9% 46.7% 71.6% 6.3% -3.7% -3.6M -126.2M -2.0M 0.88 48.66 N/A N/A 99,500 87,460 639,010 417,690 2019-10-21 $20.15 $21.00 70.9% 21.4% 61.9% 47.5% 76.1% 5.3% -4.4% 6.0M -273.3M -2.1M 0.44 36.33 N/A N/A 81,100 36,020 524,630 321,200 2019-10-22 $18.93 $21.00 72.5% 21.9% 62.6% 50.0% 76.0% 6.2% -5.3% 1.8M -135.6M -1.9M 1.01 38.12 N/A N/A 59,970 60,360 542,370 338,020 2019-10-23 $19.13 $21.00 71.2% 22.0% 62.4% 48.0% 77.0% 5.5% -3.5% 1.8M -153.8M -1.9M 0.72 40.61 N/A N/A 40,160 29,100 561,950 361,830 2019-10-24 $19.65 $21.00 72.1% 22.5% 63.2% 49.4% 78.2% 4.6% -4.9% 6.1M -228.8M -2.0M 0.33 38.44 N/A N/A 111,330 36,510 571,170 369,050 2019-10-25 $20.19 $20.50 70.9% 22.3% 59.8% 47.6% 77.8% 4.2% -5.4% 13.7M -328.4M -2.0M 0.36 38.13 N/A N/A 121,390 43,940 592,750 373,200 2019-10-28 $21.08 $20.50 70.0% 23.5% 61.0% 46.2% 82.2% 4.3% -4.5% 10.0M -398.3M -2.1M 0.34 38.57 N/A N/A 201,050 68,770 533,720 329,700 2019-10-29 $20.83 $21.00 69.9% 23.8% 60.1% 46.0% 83.6% 4.7% -2.9% 10.4M -360.9M -2.1M 0.34 38.38 N/A N/A 89,480 30,300 568,390 361,130 2019-10-30 $21.03 $21.00 67.8% 23.6% 60.1% 42.9% 83.0% 4.2% -3.0% 12.7M -393.6M -2.1M 0.62 44.47 N/A N/A 38,180 23,710 579,760 371,090 2019-10-31 $20.10 $20.75 68.0% 23.7% 62.1% 44.8% 83.0% 4.2% -2.2% 5.6M -246.1M -1.9M 0.64 39.35 N/A N/A 58,490 37,190 585,080 372,870
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