TTD Options History — May 2020 In May 2020, TTD traded between $27.68 and $32.35. ATM implied volatility averaged 70.6%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 2.4% (HV 20d: 73.0%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.76.
Notable Days 2020-05-08 : Highest Volume — 476,370 contracts2020-05-13 : Largest IV spike — 20.6% change2020-05-04 : Highest IV Rank — 72.9%2020-05-01 : Largest Expected Move — 31.7%Monthly Statistics Metric Avg Min Max Open Close Price $30.15 $27.68 $32.35 $27.68 $30.88 Max Pain $29.63 $24.00 $30.00 $24.00 $30.00 ATM IV 70.6% 56.9% 98.7% 94.6% 56.9% Expected Move 20.0% 15.6% 31.7% 31.7% 15.6% HV 20d 73.0% 50.2% 94.6% 94.6% 51.1% HV 60d 108.8% 107.0% 110.3% 107.9% 107.1% IV Rank 39.2% 22.7% 72.9% 68.1% 22.7% IV Percentile 62.6% 46.0% 96.4% 93.7% 46.0% Term Structure -1.2% -5.1% 2.6% -3.5% 0.5% VWIV 70.6% 55.2% 114.4% 114.4% 55.2% Skew 25d 8.7% 1.2% 16.8% 10.7% 16.8% Skew 10d 9.4% 0.4% 23.3% 10.1% 8.5% Call IV 25d 67.0% 49.0% 96.9% 94.0% 49.0% Put IV 25d 75.7% 63.8% 104.7% 104.7% 65.8% Bid-Ask Spread % 45.11 22.60 62.02 24.92 52.44 Gamma HHI 0.11 0.07 0.30 0.13 0.13 Net GEX 8.3M 3.2M 16.4M 3.2M 15.8M Net DEX -659.3M -980.9M -459.8M -555.8M -682.7M Net VEX -3.1M -3.3M -3.0M -3.2M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.37 1.48 1.48 0.63 Total Volume 141,416 46,540 476,370 136,930 143,160 Total OI 852,450.5 732,550 993,120 858,840 902,190
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 2020-05-01 $27.68 $24.00 94.6% 31.7% 94.6% 68.1% 114.4% 10.7% -3.5% 3.2M -555.8M -3.2M 1.48 24.92 N/A N/A 55,300 81,630 488,730 370,110 2020-05-04 $29.08 $29.50 98.7% 26.4% 92.5% 72.9% 92.2% 8.4% -4.5% 6.9M -661.6M -3.3M 0.96 24.42 N/A N/A 37,320 35,730 443,080 289,470 2020-05-05 $30.15 $29.50 96.2% 25.8% 74.9% 70.0% 93.9% 3.9% -4.7% 7.7M -767.7M -3.3M 0.63 27.41 N/A N/A 60,020 38,060 461,870 304,050 2020-05-06 $31.14 $29.50 90.6% 24.2% 74.9% 63.2% 89.2% 2.6% -5.1% 8.7M -855.0M -3.2M 1.01 31.13 N/A N/A 50,150 50,450 479,740 327,760 2020-05-07 $32.35 $30.00 78.0% 21.3% 73.2% 48.1% 77.0% 4.8% -3.7% 10.2M -980.9M -3.2M 0.91 22.60 N/A N/A 145,820 132,700 498,550 349,240 2020-05-08 $31.62 $30.00 65.9% 18.9% 74.8% 33.6% 66.4% 5.7% -0.8% 10.8M -901.8M -3.1M 0.53 51.01 N/A N/A 310,940 165,430 559,400 433,720 2020-05-11 $30.73 $30.00 61.7% 18.1% 76.6% 28.5% 62.2% 5.3% 1.5% 8.1M -744.5M -3.1M 0.81 52.34 N/A N/A 63,480 51,490 485,490 349,800 2020-05-12 $31.12 $30.00 63.4% 17.9% 74.7% 30.6% 63.0% 1.2% 0.6% 9.6M -797.2M -3.1M 0.60 62.02 N/A N/A 82,530 49,540 508,320 369,150 2020-05-13 $28.88 $30.00 76.5% 21.5% 80.2% 46.3% 72.4% 6.2% -1.7% 3.8M -513.5M -3.2M 1.22 44.16 N/A N/A 88,260 107,410 520,900 386,940 2020-05-14 $29.68 $30.00 66.9% 19.0% 78.9% 34.8% 69.5% 8.4% -1.8% 5.9M -606.3M -3.2M 1.39 58.29 N/A N/A 53,760 74,650 549,130 419,400 2020-05-15 $30.00 $30.00 65.3% 18.5% 78.7% 32.8% 62.8% 6.9% -1.6% 16.4M -680.7M -3.1M 0.49 58.17 N/A N/A 68,810 33,680 557,920 422,950 2020-05-18 $29.82 $30.00 61.9% 17.7% 78.8% 28.7% 63.0% 11.5% 2.3% 5.7M -535.5M -3.1M 0.65 43.31 N/A N/A 53,150 34,340 438,360 325,580 2020-05-19 $29.73 $30.00 62.6% 17.9% 73.7% 29.6% 63.2% 12.7% 0.5% 6.3M -533.1M -3.1M 0.53 44.33 N/A N/A 30,410 16,130 461,520 338,740 2020-05-20 $29.70 $30.00 61.3% 17.6% 66.7% 28.0% 62.5% 10.8% 1.6% 6.1M -530.2M -3.2M 0.67 47.64 N/A N/A 31,610 21,050 469,030 347,980 2020-05-21 $30.49 $30.00 65.2% 18.8% 65.8% 32.7% 64.9% 8.1% -2.1% 8.7M -618.4M -3.2M 0.37 52.61 N/A N/A 80,230 29,810 473,770 357,390 2020-05-22 $30.67 $30.00 59.9% 16.9% 65.8% 26.3% 59.1% 10.4% 2.6% 12.8M -646.7M -3.1M 0.48 46.33 N/A N/A 86,540 41,480 492,400 365,320 2020-05-26 $29.89 $30.00 62.3% 17.0% 66.6% 29.2% 60.2% 14.5% -0.7% 6.3M -541.9M -3.0M 0.55 51.56 N/A N/A 94,750 51,700 454,730 323,540 2020-05-27 $29.44 $30.00 62.4% 17.3% 66.5% 29.3% 60.4% 13.9% -1.7% 3.6M -459.8M -3.0M 0.75 50.23 N/A N/A 98,000 73,280 486,110 350,080 2020-05-28 $30.00 $30.00 61.4% 18.1% 50.2% 28.1% 61.4% 11.3% -1.2% 9.7M -572.7M -3.1M 0.62 57.20 N/A N/A 64,960 40,560 513,500 373,050 2020-05-29 $30.88 $30.00 56.9% 15.6% 51.1% 22.7% 55.2% 16.8% 0.5% 15.8M -682.7M -3.1M 0.63 52.44 N/A N/A 87,890 55,270 516,850 385,340
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