TTD Options History — March 2020 In March 2020, TTD traded between $14.15 and $28.34. ATM implied volatility averaged 85.8%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded below realized volatility by 18.4% (HV 20d: 104.2%). Max pain ranged from $22.00 to $28.75. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.86.
Notable Days 2020-03-02 : Highest Volume — 164,570 contracts2020-03-18 : Largest IV spike — 22.3% change2020-03-16 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 34.8%Monthly Statistics Metric Avg Min Max Open Close Price $20.92 $14.15 $28.34 $28.34 $19.22 Max Pain $24.81 $22.00 $28.75 $28.75 $22.00 ATM IV 85.8% 58.2% 121.2% 66.1% 81.8% Expected Move 25.0% 16.3% 34.8% 20.1% 24.2% HV 20d 104.2% 52.9% 146.4% 65.5% 140.3% HV 60d 71.4% 46.2% 91.9% 46.7% 90.6% IV Rank 69.5% 37.1% 100.0% 51.4% 52.7% IV Percentile 90.6% 61.5% 100.0% 64.3% 92.5% Term Structure -1.7% -6.2% 10.7% -1.7% 10.7% VWIV 85.6% 55.3% 127.4% 68.6% 86.7% Skew 25d 20.8% 10.0% 28.5% 10.0% 18.9% Skew 10d 38.0% 14.5% 55.7% 14.5% 32.8% Call IV 25d 74.5% 50.1% 104.2% 60.4% 71.6% Put IV 25d 95.3% 62.6% 130.1% 70.4% 90.5% Bid-Ask Spread % 51.91 31.64 66.55 31.64 62.83 Gamma HHI 0.10 0.06 0.16 0.07 0.12 Net GEX 879.6K -4.8M 5.1M 5.1M 1.5M Net DEX -12.2M -412.3M 213.2M -412.3M 3.3M Net VEX -2.4M -3.3M -1.5M -3.3M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.47 1.82 0.68 0.84 Total Volume 95,121.364 63,270 164,570 164,570 64,180 Total OI 814,917.727 736,850 888,380 773,230 769,330
Daily Data (22 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 2020-03-02 $28.34 $28.75 66.1% 20.1% 65.5% 51.4% 68.6% 10.0% -1.7% 5.1M -412.3M -3.3M 0.68 31.64 N/A N/A 97,960 66,610 462,310 310,920 2020-03-03 $27.94 $28.50 62.7% 19.0% 65.5% 45.2% 66.2% 12.7% 0.4% 4.6M -361.4M -3.3M 0.65 43.87 N/A N/A 69,500 44,940 488,740 328,990 2020-03-04 $27.44 $28.50 58.2% 16.3% 54.9% 37.1% 55.3% 12.5% -2.4% 2.7M -298.2M -3.2M 0.79 37.74 N/A N/A 75,600 59,500 499,690 336,570 2020-03-05 $27.01 $26.50 63.9% 18.1% 52.9% 47.4% 60.8% 16.9% -2.4% 614.7K -254.2M -3.3M 0.67 36.28 N/A N/A 49,640 33,330 519,380 355,440 2020-03-06 $24.98 $26.50 73.8% 20.6% 59.3% 65.4% 66.8% 20.6% -2.6% -4.8M -34.5M -3.0M 1.27 33.88 N/A N/A 67,250 85,260 526,670 361,710 2020-03-09 $21.89 $26.00 89.7% 24.1% 73.4% 94.5% 86.5% 25.8% -6.2% -741.4K 84.3M -2.6M 1.27 42.68 N/A N/A 56,900 72,140 474,430 326,880 2020-03-10 $23.34 $26.00 76.8% 21.3% 77.7% 70.9% 72.6% 18.3% -2.7% -134.9K -13.7M -2.9M 0.52 41.32 N/A N/A 70,650 36,400 495,720 348,550 2020-03-11 $22.32 $26.00 80.6% 22.7% 78.5% 78.0% 77.9% 22.3% -2.0% 62.6K 41.7M -2.8M 1.38 46.19 N/A N/A 27,610 38,180 514,000 354,850 2020-03-12 $19.55 $26.00 84.4% 24.1% 87.5% 84.8% 81.7% 17.6% -0.4% -1.9M 208.5M -2.3M 1.56 66.55 N/A N/A 44,290 68,950 515,910 361,820 2020-03-13 $19.47 $26.00 89.2% 25.5% 87.1% 93.6% 87.5% 21.4% -1.7% -2.0M 195.0M -2.2M 0.82 63.39 N/A N/A 50,070 41,210 525,610 356,880 2020-03-16 $16.39 $25.50 105.6% 30.3% 101.5% 100.0% 93.2% 26.9% -4.9% -732.9K 207.3M -1.7M 0.70 54.79 N/A N/A 40,940 28,550 472,200 314,750 2020-03-17 $16.86 $25.00 99.1% 28.4% 102.8% 90.5% 86.9% 26.1% -1.8% -522.6K 187.8M -1.8M 0.71 50.67 N/A N/A 51,760 36,590 490,570 313,190 2020-03-18 $14.15 $24.00 121.2% 34.8% 112.6% 100.0% 113.4% 25.9% -4.5% -458.4K 213.2M -1.5M 1.22 65.67 N/A N/A 35,330 43,180 504,290 313,460 2020-03-19 $16.89 $23.00 96.0% 27.5% 136.4% 69.8% 92.8% 28.5% 0.6% 89.9K 132.1M -1.9M 0.60 63.74 N/A N/A 59,190 35,700 522,850 307,320 2020-03-20 $17.13 $22.50 94.2% 27.6% 137.3% 67.6% 91.2% 24.7% -5.4% -362.7K 127.1M -1.8M 0.55 61.70 N/A N/A 73,650 40,610 537,000 316,820 2020-03-23 $17.61 $22.50 88.1% 26.4% 138.3% 60.3% 90.4% 21.1% -2.1% 565.6K 77.4M -1.9M 0.47 39.54 N/A N/A 43,150 20,120 455,420 281,430 2020-03-24 $19.66 $22.50 85.7% 26.3% 146.2% 57.3% 87.4% 24.3% -3.3% 2.2M -37.3M -2.3M 0.55 59.84 N/A N/A 61,850 33,820 470,210 285,870 2020-03-25 $19.84 $22.50 89.1% 27.5% 146.4% 61.4% 93.6% 19.7% -3.2% 3.0M -73.5M -2.4M 0.60 63.71 N/A N/A 44,230 26,480 484,520 291,050 2020-03-26 $20.34 $22.50 94.0% 28.7% 146.2% 67.3% 98.7% 20.9% -4.1% 3.9M -116.4M -2.5M 0.60 61.09 N/A N/A 39,930 23,790 490,190 298,260 2020-03-27 $20.26 $22.50 100.6% 30.9% 140.8% 75.3% 127.4% 21.9% -5.0% 4.7M -118.0M -2.5M 1.82 55.66 N/A N/A 24,500 44,700 497,660 305,650 2020-03-30 $19.68 $22.50 86.0% 26.3% 140.3% 57.7% 97.1% 20.5% 8.4% 2.0M -26.3M -2.2M 0.65 59.16 N/A N/A 39,160 25,270 458,880 282,200 2020-03-31 $19.22 $22.00 81.8% 24.2% 140.3% 52.7% 86.7% 18.9% 10.7% 1.5M 3.3M -2.2M 0.84 62.83 N/A N/A 34,890 29,290 478,200 291,130
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