TTD Options History — July 2020 In July 2020, TTD traded between $42.07 and $46.18. ATM implied volatility averaged 76.1%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded above realized volatility by 33.3% (HV 20d: 42.8%). Max pain ranged from $27.00 to $40.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2020-07-06 : Highest Volume — 273,630 contracts2020-07-06 : Largest IV spike — 21.4% change2020-07-15 : Highest IV Rank — 58.9%2020-07-23 : Largest Expected Move — 23.9%Monthly Statistics Metric Avg Min Max Open Close Price $43.96 $42.07 $46.18 $43.03 $44.99 Max Pain $38.34 $27.00 $40.00 $27.00 $40.00 ATM IV 76.1% 55.8% 87.0% 55.8% 71.4% Expected Move 21.8% 14.5% 23.9% 14.9% 22.0% HV 20d 42.8% 32.5% 47.2% 47.2% 43.7% HV 60d 55.3% 48.0% 60.2% 60.2% 48.4% IV Rank 45.8% 21.5% 58.9% 21.5% 40.1% IV Percentile 73.5% 37.7% 85.7% 37.7% 65.9% Term Structure -0.2% -6.8% 18.4% 18.4% -3.2% VWIV 75.7% 51.3% 81.9% 52.7% 77.2% Skew 25d 6.8% 2.5% 14.2% 7.3% 7.1% Skew 10d 9.7% 2.6% 20.2% 10.2% 9.6% Call IV 25d 71.5% 50.3% 79.9% 50.4% 66.7% Put IV 25d 78.3% 54.9% 91.4% 57.8% 73.8% Bid-Ask Spread % 52.77 38.92 69.09 69.09 57.99 Gamma HHI 0.07 0.03 0.56 0.07 0.56 Net GEX 6.7M -6.4M 57.1M 17.0M 57.1M Net DEX -906.6M -1.48B -589.1M -1.33B -953.9M Net VEX -3.3M -3.5M -2.8M -2.9M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.31 1.59 0.95 0.58 Total Volume 107,514.091 51,930 273,630 166,050 153,080 Total OI 858,608.182 715,100 992,060 904,190 874,850
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 2020-07-01 $43.03 $27.00 55.8% 14.9% 47.2% 21.5% 52.7% 7.3% 18.4% 17.0M -1.33B -2.9M 0.95 69.09 N/A N/A 85,320 80,730 459,190 445,000 2020-07-02 $44.27 $27.00 56.7% 14.5% 42.5% 22.5% 51.3% 4.5% 18.0% 17.2M -1.48B -2.8M 0.67 66.04 N/A N/A 119,330 79,860 466,590 468,470 2020-07-06 $44.63 $37.50 68.8% 20.6% 40.6% 37.0% 71.8% 4.8% 2.7% 8.6M -1.32B -2.9M 0.95 40.04 N/A N/A 140,460 133,170 432,690 438,650 2020-07-07 $45.16 $38.00 76.1% 21.9% 40.5% 45.9% 76.0% 2.5% 4.0% 6.7M -1.07B -3.1M 0.65 44.54 N/A N/A 47,140 30,500 390,140 473,550 2020-07-08 $46.14 $38.00 74.4% 21.3% 40.7% 43.8% 75.7% 3.2% 2.5% 9.6M -1.17B -3.0M 1.05 47.44 N/A N/A 42,470 44,400 404,380 484,050 2020-07-09 $46.13 $38.00 77.0% 22.4% 40.9% 46.9% 78.4% 4.7% 4.2% 10.0M -1.15B -3.1M 0.89 38.92 N/A N/A 44,690 39,570 412,950 503,270 2020-07-10 $46.18 $39.00 77.3% 21.8% 32.5% 47.2% 76.1% 4.6% 3.0% 12.1M -1.18B -3.1M 1.04 47.94 N/A N/A 42,570 44,480 424,770 516,590 2020-07-13 $43.34 $39.50 85.0% 23.9% 42.6% 56.5% 81.8% 11.4% -2.2% 1.8M -806.6M -3.2M 1.36 49.45 N/A N/A 53,790 73,030 388,440 474,580 2020-07-14 $42.81 $39.50 85.7% 23.5% 41.2% 57.3% 80.7% 11.3% -2.9% -2.7M -700.2M -3.3M 1.05 54.85 N/A N/A 42,010 44,210 404,970 500,460 2020-07-15 $43.54 $40.00 87.0% 23.8% 41.3% 58.9% 81.9% 12.1% -3.8% -2.0M -788.3M -3.3M 1.59 53.14 N/A N/A 54,350 86,530 416,150 506,690 2020-07-16 $42.92 $40.00 85.3% 23.3% 41.3% 56.9% 80.0% 14.2% -4.8% -3.8M -719.2M -3.2M 0.31 56.60 N/A N/A 72,420 22,540 421,050 516,870 2020-07-17 $43.28 $40.00 77.8% 21.4% 40.6% 47.8% 74.5% 11.0% -4.7% 1.9M -878.2M -3.4M 0.80 58.79 N/A N/A 45,720 36,630 467,610 524,450 2020-07-20 $45.74 $40.00 78.5% 22.2% 44.4% 48.7% 77.6% 7.5% -4.5% 5.2M -920.4M -3.3M 0.36 49.40 N/A N/A 75,830 27,330 348,750 366,350 2020-07-21 $44.47 $40.00 77.0% 21.9% 46.0% 46.8% 76.3% 5.9% -4.3% 7.4M -827.5M -3.4M 0.38 53.80 N/A N/A 65,880 25,150 383,090 376,750 2020-07-22 $44.23 $40.00 74.9% 21.5% 45.5% 44.4% 72.0% 4.2% -5.0% 7.8M -805.9M -3.3M 0.34 56.85 N/A N/A 38,650 13,280 400,940 387,860 2020-07-23 $42.47 $40.00 82.2% 23.9% 46.3% 53.1% 81.3% 3.6% -6.8% -2.4M -609.5M -3.4M 0.84 53.15 N/A N/A 55,130 46,500 399,810 390,810 2020-07-24 $42.68 $40.00 80.7% 23.5% 45.5% 51.4% 81.9% 4.1% -3.3% -6.4M -605.7M -3.5M 1.35 50.02 N/A N/A 38,060 51,290 422,820 413,520 2020-07-27 $43.33 $40.00 77.4% 23.2% 45.5% 47.4% 78.7% 5.7% -3.2% 673.5K -701.3M -3.4M 0.67 51.29 N/A N/A 40,090 27,020 362,550 388,270 2020-07-28 $42.07 $40.00 78.3% 23.2% 45.9% 48.5% 81.8% 6.4% -4.0% -996.5K -589.1M -3.5M 1.27 51.66 N/A N/A 24,170 30,600 380,990 397,400 2020-07-29 $42.72 $40.00 74.7% 22.8% 46.1% 44.1% 79.2% 7.5% -3.2% 605.5K -656.6M -3.5M 1.49 55.93 N/A N/A 32,090 47,930 392,090 416,140 2020-07-30 $42.98 $40.00 72.2% 22.4% 41.7% 41.2% 78.2% 5.4% -1.3% 1.3M -678.5M -3.5M 0.67 54.08 N/A N/A 40,400 26,910 403,580 441,250 2020-07-31 $44.99 $40.00 71.4% 22.0% 43.7% 40.1% 77.2% 7.1% -3.2% 57.1M -953.9M -3.3M 0.58 57.99 N/A N/A 96,810 56,270 423,310 451,540
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