TTD Options History — April 2020 In April 2020, TTD traded between $15.93 and $29.34. ATM implied volatility averaged 93.9%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 28.2%. IV traded below realized volatility by 27.7% (HV 20d: 121.6%). Max pain ranged from $19.00 to $23.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.16.
Notable Days 2020-04-23 : Highest Volume — 273,850 contracts2020-04-28 : Largest IV spike — 11.7% change2020-04-21 : Highest IV Rank — 80.0%2020-04-21 : Largest Expected Move — 32.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.58 $15.93 $29.34 $17.10 $29.19 Max Pain $20.60 $19.00 $23.50 $22.00 $23.50 ATM IV 93.9% 83.9% 104.6% 88.0% 91.3% Expected Move 28.2% 25.3% 32.0% 27.6% 30.4% HV 20d 121.6% 93.4% 153.5% 144.6% 93.4% HV 60d 102.8% 93.2% 109.6% 93.2% 107.8% IV Rank 67.2% 55.2% 80.0% 60.1% 64.0% IV Percentile 95.0% 86.5% 99.2% 94.8% 91.7% Term Structure -1.7% -7.1% 14.0% 11.2% -3.9% VWIV 98.3% 86.3% 112.1% 92.1% 108.3% Skew 25d 16.3% 9.2% 22.6% 20.3% 9.2% Skew 10d 24.4% -13.5% 49.1% -3.5% 8.6% Call IV 25d 84.2% 63.3% 96.8% 74.8% 90.6% Put IV 25d 100.5% 81.3% 113.8% 95.1% 99.8% Bid-Ask Spread % 37.72 17.27 67.44 52.14 44.89 Gamma HHI 0.12 0.07 0.15 0.08 0.12 Net GEX 5.2M -2.0M 10.5M -492.2K 9.5M Net DEX -285.1M -776.7M 169.8M 116.0M -761.2M Net VEX -2.6M -3.2M -1.5M -1.8M -3.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.41 2.38 1.32 1.29 Total Volume 121,165.714 68,700 273,850 68,700 183,090 Total OI 788,591.905 634,200 896,720 794,270 819,780
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 2020-04-01 $17.10 $22.00 88.0% 27.6% 144.6% 60.1% 92.1% 20.3% 11.2% -492.2K 116.0M -1.8M 1.32 52.14 N/A N/A 29,640 39,060 491,070 303,200 2020-04-02 $16.40 $19.50 85.5% 27.7% 144.7% 57.2% 88.3% 19.0% 13.9% -1.2M 154.2M -1.6M 1.29 64.14 N/A N/A 37,930 48,950 501,490 308,900 2020-04-03 $15.93 $19.00 86.1% 26.4% 143.3% 57.8% 86.3% 18.0% 14.0% -2.0M 169.8M -1.5M 1.74 67.44 N/A N/A 29,930 52,110 513,930 312,620 2020-04-06 $18.99 $19.00 95.7% 27.5% 153.5% 69.3% 95.5% 22.4% -2.9% 2.4M -25.9M -2.1M 0.60 56.53 N/A N/A 69,670 41,540 495,230 278,290 2020-04-07 $19.26 $19.00 103.7% 29.7% 151.4% 79.0% 102.9% 21.8% -2.2% 3.0M -71.7M -2.2M 0.79 26.94 N/A N/A 64,860 51,200 509,390 294,190 2020-04-08 $20.64 $19.00 99.7% 28.2% 153.3% 74.1% 90.9% 19.6% -2.2% 4.6M -168.7M -2.5M 0.73 44.30 N/A N/A 65,030 47,640 517,570 313,770 2020-04-09 $21.27 $19.50 98.0% 27.1% 145.9% 72.1% 97.5% 17.3% -4.4% 5.9M -229.6M -2.5M 0.76 21.62 N/A N/A 84,320 63,920 536,530 328,170 2020-04-13 $21.91 $20.00 95.0% 27.6% 146.1% 68.5% 99.0% 14.6% -4.3% 4.6M -231.4M -2.6M 1.13 21.96 N/A N/A 36,380 41,270 504,120 302,320 2020-04-14 $23.34 $20.00 88.7% 25.5% 131.2% 60.9% 93.4% 13.7% -2.5% 6.6M -367.1M -2.8M 0.70 21.60 N/A N/A 59,010 41,430 517,730 317,010 2020-04-15 $22.83 $20.00 97.8% 28.0% 131.8% 71.9% 99.9% 22.6% -4.7% 5.4M -317.2M -2.7M 1.93 22.40 N/A N/A 24,710 47,610 523,170 326,670 2020-04-16 $22.18 $20.00 99.0% 28.7% 112.7% 73.2% 98.9% 17.3% -6.4% 3.9M -259.5M -2.6M 1.26 25.27 N/A N/A 37,120 46,890 529,960 340,920 2020-04-17 $22.88 $20.50 88.7% 25.3% 97.0% 60.9% 88.0% 14.1% -0.1% 5.9M -331.5M -2.7M 0.90 49.80 N/A N/A 43,970 39,770 538,650 358,070 2020-04-20 $23.45 $20.50 95.4% 27.8% 97.1% 69.0% 96.1% 14.2% -4.6% 5.4M -317.2M -2.8M 0.41 41.92 N/A N/A 100,760 41,330 394,760 239,440 2020-04-21 $21.98 $20.50 104.6% 32.0% 101.1% 80.0% 112.1% 12.2% -6.3% 3.4M -208.9M -2.7M 1.60 17.27 N/A N/A 40,860 65,570 429,660 263,380 2020-04-22 $24.28 $21.00 99.5% 29.0% 99.8% 73.9% 100.2% 12.2% -6.7% 7.1M -390.7M -2.9M 0.55 31.31 N/A N/A 68,730 38,060 436,230 275,320 2020-04-23 $25.36 $21.00 98.5% 27.7% 100.4% 72.7% 99.3% 16.7% -7.1% 9.9M -496.9M -3.0M 1.18 30.70 N/A N/A 125,750 148,100 452,020 286,180 2020-04-24 $25.68 $21.50 89.3% 27.4% 100.3% 61.7% 99.2% 12.6% -5.3% 10.5M -510.3M -3.1M 1.58 17.68 N/A N/A 54,840 86,400 471,550 332,280 2020-04-27 $26.36 $22.00 83.9% 28.1% 100.3% 55.2% 99.6% 15.2% -3.3% 8.2M -501.2M -3.0M 1.42 44.45 N/A N/A 54,370 76,950 424,310 259,070 2020-04-28 $25.90 $22.00 93.7% 30.6% 99.7% 66.9% 109.7% 19.4% -5.9% 6.4M -460.4M -3.1M 2.38 46.64 N/A N/A 30,070 71,570 442,110 295,770 2020-04-29 $29.34 $23.00 89.3% 30.4% 106.0% 61.7% 107.9% 10.7% -2.7% 10.4M -776.7M -3.2M 0.70 43.03 N/A N/A 126,200 87,870 450,170 325,430 2020-04-30 $29.19 $23.50 91.3% 30.4% 93.4% 64.0% 108.3% 9.2% -3.9% 9.5M -761.2M -3.2M 1.29 44.89 N/A N/A 79,910 103,180 469,490 350,290
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