TTD Options History — January 2020 In January 2020, TTD traded between $26.91 and $28.74. ATM implied volatility averaged 50.8%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 13.2% (HV 20d: 37.7%). Max pain ranged from $19.50 to $27.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.59.
Notable Days 2020-01-02 : Highest Volume — 273,560 contracts2020-01-27 : Largest IV spike — 22.1% change2020-01-31 : Highest IV Rank — 65.3%2020-01-30 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $27.97 $26.91 $28.74 $27.00 $26.91 Max Pain $26.31 $19.50 $27.50 $19.50 $27.50 ATM IV 50.8% 41.7% 70.3% 44.3% 70.3% Expected Move 13.4% 11.9% 15.0% 13.0% 14.7% HV 20d 37.7% 28.0% 40.5% 40.4% 28.0% HV 60d 52.5% 48.6% 58.0% 58.0% 49.3% IV Rank 26.0% 7.6% 65.3% 12.9% 65.3% IV Percentile 32.4% 6.0% 75.4% 12.3% 75.4% Term Structure 3.1% -3.2% 19.0% -0.2% -2.0% VWIV 46.2% 41.7% 51.7% 45.6% 51.7% Skew 25d 2.0% -0.5% 3.9% 2.2% 2.4% Skew 10d 3.0% -0.9% 7.5% 4.6% -0.9% Call IV 25d 49.3% 41.1% 70.2% 43.7% 68.9% Put IV 25d 51.2% 42.4% 72.0% 45.9% 71.3% Bid-Ask Spread % 41.35 12.60 53.70 12.60 42.93 Gamma HHI 0.10 0.06 0.17 0.12 0.10 Net GEX 17.5M -8.2M 34.0M 31.2M -8.2M Net DEX -859.2M -1.34B -261.9M -1.08B -261.9M Net VEX -3.0M -3.1M -2.9M -2.9M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.41 1.19 0.41 1.19 Total Volume 180,262.381 108,670 273,560 273,560 188,800 Total OI 1,009,089.524 737,610 1,278,090 1,113,350 875,170
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 2020-01-02 $27.00 $19.50 44.3% 13.0% 40.4% 12.9% 45.6% 2.2% -0.2% 31.2M -1.08B -2.9M 0.41 12.60 N/A N/A 193,950 79,610 710,620 402,730 2020-01-03 $27.22 $20.00 45.7% 12.8% 38.9% 15.7% 45.0% 1.1% 0.0% 32.3M -1.13B -2.9M 0.73 39.77 N/A N/A 100,840 74,060 723,080 426,810 2020-01-06 $27.73 $26.50 46.8% 13.7% 38.0% 17.8% 47.2% 2.0% 1.5% 26.5M -1.15B -2.9M 0.53 37.73 N/A N/A 136,250 72,110 660,210 360,190 2020-01-07 $28.08 $26.50 47.3% 14.2% 37.5% 18.8% 48.9% 2.6% 0.0% 29.9M -1.22B -3.0M 0.44 42.30 N/A N/A 128,220 56,190 700,280 392,090 2020-01-08 $28.53 $26.50 45.5% 13.3% 37.7% 15.3% 46.9% 2.3% -0.7% 30.2M -1.31B -2.9M 0.44 35.04 N/A N/A 166,140 72,470 702,740 412,840 2020-01-09 $28.66 $26.50 42.4% 12.9% 37.7% 8.9% 44.7% 1.3% 1.1% 34.0M -1.34B -2.9M 0.51 39.03 N/A N/A 112,080 57,510 739,360 435,740 2020-01-10 $27.79 $26.50 44.1% 13.2% 39.8% 12.4% 46.0% 3.9% 1.3% 18.2M -1.07B -2.9M 0.79 44.06 N/A N/A 121,680 96,050 769,550 460,640 2020-01-13 $28.74 $26.50 45.2% 13.5% 40.4% 14.6% 46.3% 2.4% 1.1% 27.5M -1.28B -2.9M 0.50 37.93 N/A N/A 166,970 83,710 701,720 420,280 2020-01-14 $28.52 $26.50 45.8% 13.2% 40.3% 15.9% 45.6% 1.3% -0.6% 27.5M -1.22B -3.0M 0.76 39.52 N/A N/A 112,620 85,250 736,600 447,890 2020-01-15 $28.41 $27.00 44.5% 12.9% 40.5% 13.3% 45.1% 0.7% 0.6% 28.2M -1.19B -3.0M 0.59 42.08 N/A N/A 85,470 50,770 750,610 470,360 2020-01-16 $28.03 $27.00 42.5% 12.4% 40.5% 9.2% 42.1% 1.2% 0.6% 18.8M -1.06B -2.9M 0.42 44.18 N/A N/A 178,380 75,450 757,000 483,860 2020-01-17 $27.98 $27.00 41.7% 11.9% 40.4% 7.6% 41.7% -0.5% -0.4% 2.4M -1.03B -3.0M 0.70 47.49 N/A N/A 103,020 72,100 771,140 506,950 2020-01-21 $28.05 $27.00 45.2% 13.0% 39.0% 14.6% 44.7% 2.2% 17.9% 9.0M -480.4M -3.0M 0.64 40.78 N/A N/A 93,910 60,180 439,800 299,490 2020-01-22 $28.17 $27.00 44.4% 12.7% 39.0% 13.0% 44.1% 2.6% 19.0% 11.1M -503.2M -3.0M 0.47 40.69 N/A N/A 87,940 41,120 463,390 315,240 2020-01-23 $28.12 $27.50 50.8% 13.6% 38.1% 25.9% 46.0% 1.7% 17.4% 8.8M -484.6M -3.1M 0.50 43.81 N/A N/A 87,500 44,070 483,810 336,150 2020-01-24 $27.98 $27.50 53.6% 13.3% 38.2% 31.6% 45.4% 1.2% 18.9% 6.5M -472.2M -3.1M 0.80 53.70 N/A N/A 99,880 80,380 511,490 344,140 2020-01-27 $27.33 $27.50 65.5% 14.5% 38.5% 55.5% 49.0% 3.3% -3.2% 3.6M -353.6M -3.0M 0.57 44.93 N/A N/A 69,180 39,490 437,330 300,280 2020-01-28 $28.22 $27.50 64.1% 13.8% 40.0% 52.8% 46.5% 3.3% -2.8% 11.5M -497.6M -3.0M 0.47 49.54 N/A N/A 97,280 46,140 461,470 318,810 2020-01-29 $28.10 $27.50 67.8% 13.2% 29.2% 60.2% 45.9% 2.5% -2.8% 12.3M -482.6M -3.1M 0.56 47.85 N/A N/A 71,290 40,080 480,530 334,710 2020-01-30 $27.77 $27.50 70.3% 15.0% 28.5% 65.2% 51.6% 1.8% -1.3% 6.9M -423.2M -3.1M 0.42 42.37 N/A N/A 110,940 46,430 502,680 343,100 2020-01-31 $26.91 $27.50 70.3% 14.7% 28.0% 65.3% 51.7% 2.4% -2.0% -8.2M -261.9M -3.0M 1.19 42.93 N/A N/A 86,130 102,670 521,970 353,200
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