TTD Options History — November 2019 In November 2019, TTD traded between $19.31 and $26.48. ATM implied volatility averaged 50.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 5.4% (HV 20d: 55.5%). Max pain ranged from $20.50 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.66.
Notable Days 2019-11-08 : Highest Volume — 520,940 contracts2019-11-08 : Largest IV drop — 34.1% change2019-11-07 : Highest IV Rank — 52.9%2019-11-01 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $22.77 $19.31 $26.48 $20.20 $26.38 Max Pain $21.19 $20.50 $23.00 $20.50 $23.00 ATM IV 50.1% 37.9% 71.4% 67.2% 37.9% Expected Move 14.4% 11.2% 24.4% 24.4% 11.3% HV 20d 55.5% 44.4% 67.0% 61.9% 44.4% HV 60d 54.2% 50.8% 55.9% 53.9% 55.0% IV Rank 18.3% 0.0% 52.9% 45.2% 0.0% IV Percentile 21.7% 0.0% 73.8% 63.9% 0.0% Term Structure -0.9% -3.4% 1.6% -2.9% -1.1% VWIV 50.6% 39.7% 85.7% 85.7% 40.9% Skew 25d 3.0% 1.9% 4.0% 2.9% 3.0% Skew 10d 5.9% 3.8% 8.1% 6.3% 7.1% Call IV 25d 48.9% 36.9% 69.1% 67.6% 37.3% Put IV 25d 51.9% 39.7% 72.8% 70.5% 40.3% Bid-Ask Spread % 19.67 10.02 42.69 42.69 18.60 Gamma HHI 0.16 0.08 0.30 0.14 0.16 Net GEX 16.4M 750.9K 34.8M 6.8M 22.4M Net DEX -567.8M -989.0M -145.8M -258.4M -967.5M Net VEX -2.0M -2.2M -1.6M -1.9M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.39 0.89 0.60 0.72 Total Volume 191,426.5 56,160 520,940 93,230 83,610 Total OI 963,362 818,250 1,156,960 977,240 996,450
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 2019-11-01 $20.20 $20.50 67.2% 24.4% 61.9% 45.2% 85.7% 2.9% -2.9% 6.8M -258.4M -1.9M 0.60 42.69 N/A N/A 58,310 34,920 594,290 382,950 2019-11-04 $20.28 $21.00 71.4% 18.7% 60.9% 52.3% 65.6% 3.9% -3.0% 4.3M -258.9M -1.9M 0.59 24.05 N/A N/A 55,910 32,980 508,670 324,880 2019-11-05 $19.97 $21.00 69.7% 18.4% 60.9% 49.5% 65.2% 3.6% -2.7% 3.9M -230.2M -1.9M 0.62 22.08 N/A N/A 34,610 21,550 531,510 336,850 2019-11-06 $19.37 $21.00 70.2% 18.3% 61.9% 50.6% 63.5% 4.0% -3.4% 3.0M -169.7M -1.8M 0.71 26.53 N/A N/A 58,230 41,370 547,910 344,740 2019-11-07 $19.31 $21.00 69.8% 18.6% 61.3% 52.9% 65.1% 3.7% -2.8% 3.0M -170.4M -1.8M 0.81 29.22 N/A N/A 206,490 167,260 574,090 366,700 2019-11-08 $19.48 $20.50 46.0% 13.3% 54.7% 10.5% 46.7% 2.3% 1.6% 750.9K -145.8M -1.6M 0.62 30.11 N/A N/A 321,540 199,400 694,570 462,390 2019-11-11 $21.69 $20.50 47.7% 13.7% 67.0% 16.0% 48.7% 2.8% 0.3% 13.9M -458.1M -1.9M 0.53 18.15 N/A N/A 274,140 144,540 598,910 344,440 2019-11-12 $22.46 $20.50 47.2% 13.7% 65.8% 14.9% 48.2% 2.5% 0.3% 18.7M -612.5M -2.1M 0.56 17.17 N/A N/A 229,810 129,490 658,150 410,760 2019-11-13 $22.79 $20.50 46.2% 13.2% 58.7% 12.8% 46.4% 2.5% -0.3% 19.7M -649.9M -2.2M 0.67 12.05 N/A N/A 89,910 60,150 675,210 434,920 2019-11-14 $22.76 $20.50 46.2% 13.3% 58.2% 12.8% 46.8% 1.9% 0.2% 20.5M -640.2M -2.2M 0.70 19.87 N/A N/A 81,050 56,450 686,590 441,280 2019-11-15 $22.91 $21.00 43.2% 12.5% 56.1% 6.5% 43.9% 2.2% 0.5% 34.8M -660.6M -2.1M 0.39 12.17 N/A N/A 124,180 48,480 688,810 458,800 2019-11-18 $23.22 $21.00 44.1% 12.7% 55.3% 8.5% 44.9% 2.6% -1.7% 15.8M -556.0M -2.1M 0.89 11.41 N/A N/A 72,720 64,570 514,850 303,400 2019-11-19 $23.59 $21.00 44.4% 12.8% 48.9% 9.0% 45.0% 2.7% -1.5% 18.6M -612.9M -2.2M 0.53 15.12 N/A N/A 76,880 40,520 537,570 331,400 2019-11-20 $24.10 $21.00 45.8% 13.1% 49.0% 11.9% 46.7% 3.3% -2.0% 23.9M -712.3M -2.2M 0.77 26.23 N/A N/A 91,090 70,000 558,550 346,740 2019-11-21 $24.12 $21.50 44.3% 12.8% 48.8% 8.8% 44.5% 3.3% -1.6% 25.3M -707.5M -2.2M 0.72 19.06 N/A N/A 71,230 51,330 565,220 366,720 2019-11-22 $24.36 $21.50 41.9% 12.1% 48.4% 3.8% 43.2% 2.8% -0.8% 26.3M -748.7M -2.2M 0.53 15.10 N/A N/A 94,270 50,210 571,820 386,980 2019-11-25 $25.67 $21.75 40.5% 11.7% 49.4% 0.9% 40.2% 3.4% 1.2% 21.1M -851.8M -2.1M 0.71 10.02 N/A N/A 144,220 102,390 512,210 321,650 2019-11-26 $26.20 $22.00 39.2% 11.5% 48.8% 0.0% 40.6% 3.4% 0.9% 21.8M -955.3M -2.2M 0.83 13.66 N/A N/A 112,280 92,890 564,480 358,400 2019-11-27 $26.48 $23.00 38.4% 11.2% 48.8% 0.0% 39.7% 2.8% 1.1% 23.0M -989.0M -2.2M 0.79 10.13 N/A N/A 77,750 61,800 576,260 387,120 2019-11-29 $26.38 $23.00 37.9% 11.3% 44.4% 0.0% 40.9% 3.0% -1.1% 22.4M -967.5M -2.2M 0.72 18.60 N/A N/A 48,530 35,080 594,690 401,760
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