TTD Options History — February 2020

In February 2020, TTD traded between $25.34 and $31.56. ATM implied volatility averaged 74.7%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 26.7% (HV 20d: 48.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-02-04: Highest Volume — 437,790 contracts
  • 2020-02-28: Largest IV drop — 18.3% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-27: Largest Expected Move — 29.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.20$25.34$31.56$27.40$27.87
Max Pain$28.61$27.50$30.00$27.50$28.50
ATM IV74.7%66.8%92.7%69.0%74.9%
Expected Move20.6%14.0%29.7%14.1%23.5%
HV 20d48.0%28.7%66.4%28.7%66.4%
HV 60d49.8%47.0%53.3%49.2%47.0%
IV Rank72.2%58.2%100.0%62.6%67.5%
IV Percentile83.8%67.9%100.0%71.8%88.9%
Term Structure-4.3%-6.2%-2.2%-6.2%-3.7%
VWIV71.4%48.9%101.7%48.9%78.6%
Skew 25d3.0%0.5%9.9%4.0%9.9%
Skew 10d5.0%1.0%19.2%3.9%19.2%
Call IV 25d72.8%64.8%88.5%64.8%69.7%
Put IV 25d75.7%67.2%93.3%68.8%79.6%
Bid-Ask Spread %15.943.2552.0952.0930.44
Gamma HHI0.090.050.320.060.07
Net GEX14.0M-420.4K30.5M4.7M4.7M
Net DEX-574.5M-884.7M-42.8M-377.8M-288.6M
Net VEX-3.3M-3.4M-3.0M-3.0M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.331.160.710.72
Total Volume219,525.263109,940437,790114,090319,910
Total OI937,686.316758,1501,045,250758,1501,032,450

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$27.40$27.5069.0%14.1%28.7%62.6%48.9%4.0%-6.2%4.7M-377.8M-3.0M0.7152.09N/AN/A66,70047,390444,290313,860
2020-02-04$30.21$27.5067.8%14.0%44.6%60.2%49.5%0.9%-3.3%16.0M-797.9M-3.0M0.3335.00N/AN/A328,070109,720461,250335,720
2020-02-05$28.87$27.5069.5%14.4%47.8%63.7%50.1%3.2%-2.2%16.2M-610.3M-3.3M0.5733.54N/AN/A213,990122,460542,490364,410
2020-02-06$28.79$27.5073.2%18.8%47.5%71.2%65.7%2.4%-4.1%15.8M-587.2M-3.3M0.434.13N/AN/A155,86066,350592,200402,170
2020-02-07$29.15$28.0076.0%19.6%47.7%76.6%68.2%2.3%-5.2%19.4M-659.6M-3.4M0.483.55N/AN/A184,08088,110612,860432,390
2020-02-10$29.73$28.0075.3%19.9%46.7%75.2%69.7%1.4%-4.5%13.4M-660.8M-3.4M0.473.25N/AN/A112,70053,260525,740374,270
2020-02-11$29.62$28.5072.3%19.3%45.3%69.3%67.2%0.5%-4.4%16.0M-656.7M-3.4M0.594.82N/AN/A125,67074,620559,690394,150
2020-02-12$30.36$28.5072.5%19.5%45.9%69.7%68.2%1.1%-5.0%23.1M-801.8M-3.3M0.526.37N/AN/A140,23072,770573,560413,660
2020-02-13$30.59$28.5071.0%19.3%45.8%66.5%67.9%0.9%-3.5%27.4M-842.8M-3.3M0.608.67N/AN/A93,33056,150586,240429,440
2020-02-14$30.53$28.5068.3%18.5%45.4%61.2%64.5%1.5%-6.0%30.5M-823.1M-3.3M0.6210.34N/AN/A148,89092,370593,310444,870
2020-02-18$30.83$29.0068.1%19.3%45.4%60.9%67.7%1.6%-2.3%15.4M-754.1M-3.2M0.848.73N/AN/A73,45061,350516,060378,620
2020-02-19$31.56$29.0066.8%19.1%45.9%58.2%66.9%1.0%-3.8%18.8M-884.7M-3.2M0.6812.03N/AN/A138,72093,870538,040401,230
2020-02-20$31.13$29.5072.8%21.0%46.4%70.3%73.2%2.4%-2.8%16.4M-789.7M-3.3M0.4914.69N/AN/A185,69091,880561,620436,160
2020-02-21$30.04$30.0074.7%21.8%48.6%74.0%75.8%2.8%-4.4%23.0M-565.6M-3.4M0.899.84N/AN/A109,65097,290577,960454,940
2020-02-24$28.53$30.0083.1%25.5%52.3%91.1%88.2%4.0%-4.8%3.3M-354.0M-3.3M1.169.62N/AN/A66,41076,790471,150354,800
2020-02-25$27.48$29.5092.7%29.0%53.4%100.0%100.7%4.4%-5.4%2.1M-254.8M-3.3M0.8412.20N/AN/A59,66050,280488,480379,380
2020-02-26$26.83$29.0079.5%25.1%52.7%75.9%84.7%7.0%-3.6%615.0K-163.3M-3.2M0.7621.17N/AN/A71,63054,310502,730392,210
2020-02-27$25.34$29.0091.7%29.7%56.1%98.2%101.7%4.7%-5.6%-420.4K-42.8M-3.1M0.7722.31N/AN/A151,150116,220527,920405,720
2020-02-28$27.87$28.5074.9%23.5%66.4%67.5%78.6%9.9%-3.7%4.7M-288.6M-3.3M0.7230.44N/AN/A185,610134,300589,270443,180