TTD Options History — August 2020

In August 2020, TTD traded between $44.85 and $49.53. ATM implied volatility averaged 56.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 7.0% (HV 20d: 49.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-08-07: Highest Volume — 284,860 contracts
  • 2020-08-07: Largest IV drop — 22.7% change
  • 2020-08-03: Highest IV Rank — 42.7%
  • 2020-08-03: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.35$44.85$49.53$47.62$48.26
Max Pain$44.29$40.00$45.00$40.00$45.00
ATM IV56.0%49.0%73.5%73.5%56.7%
Expected Move16.3%13.9%23.3%23.3%15.2%
HV 20d49.0%40.9%53.6%48.0%40.9%
HV 60d48.2%43.2%49.6%49.1%43.2%
IV Rank21.7%13.2%42.7%42.7%22.6%
IV Percentile37.1%25.4%70.2%70.2%38.1%
Term Structure0.2%-3.7%3.0%-1.9%-0.8%
VWIV57.3%48.3%81.3%81.3%53.8%
Skew 25d-0.1%-4.0%3.6%3.6%1.7%
Skew 10d-0.1%-7.1%8.6%2.2%-0.1%
Call IV 25d56.0%47.7%71.8%71.8%52.1%
Put IV 25d55.9%48.6%75.3%75.3%53.8%
Bid-Ask Spread %55.9939.6864.1657.7462.02
Gamma HHI0.060.030.290.040.05
Net GEX6.6M-3.7M38.4M3.8M10.0M
Net DEX-933.9M-1.40B-679.9M-1.07B-882.7M
Net VEX-3.2M-3.5M-3.1M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.311.250.890.70
Total Volume100,145.23839,970284,860137,02069,270
Total OI795,374.762642,450974,040763,580696,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$47.62$40.0073.5%23.3%48.0%42.7%81.3%3.6%-1.9%3.8M-1.07B-3.3M0.8957.74N/AN/A72,61064,410362,770400,810
2020-08-04$47.91$40.0066.1%20.9%47.9%33.8%73.5%-0.7%-1.3%5.2M-1.15B-3.4M1.2562.73N/AN/A31,02038,920391,740426,340
2020-08-05$49.37$40.0065.3%21.3%48.4%32.8%74.6%3.4%-2.1%6.5M-1.29B-3.3M0.8764.16N/AN/A52,83046,110402,210442,390
2020-08-06$47.93$45.0069.8%18.9%49.8%38.2%65.3%-2.0%-3.7%3.9M-1.14B-3.4M1.1239.68N/AN/A111,780124,810409,810461,030
2020-08-07$49.53$45.0054.0%15.6%51.0%19.2%54.4%-1.7%0.0%13.4M-1.40B-3.1M0.7749.18N/AN/A160,840124,020462,440511,600
2020-08-10$46.66$45.0059.6%16.8%50.4%26.0%60.9%1.1%-1.1%2.3M-921.8M-3.4M0.7845.49N/AN/A75,90059,090380,210414,230
2020-08-11$44.85$45.0057.9%16.9%52.4%23.9%59.4%-1.6%1.2%-3.2M-679.9M-3.5M0.5248.43N/AN/A51,74026,750386,040437,210
2020-08-12$46.16$45.0056.1%16.2%53.0%21.8%57.1%-0.2%0.8%918.9K-780.2M-3.4M0.4650.07N/AN/A39,68018,190379,950446,680
2020-08-13$47.21$45.0051.7%15.2%53.1%16.5%52.7%-2.7%1.8%8.6M-927.0M-3.2M0.8153.52N/AN/A46,19037,580386,910451,670
2020-08-14$46.41$45.0051.0%15.1%53.6%15.7%53.1%-1.1%3.0%360.3K-801.7M-3.2M0.7455.52N/AN/A39,94029,630393,400465,310
2020-08-17$47.68$45.0050.7%14.6%50.8%15.3%50.6%-0.3%-0.2%4.7M-958.7M-3.1M0.6157.36N/AN/A31,24018,920347,470424,950
2020-08-18$47.04$45.0051.6%14.8%49.9%16.5%52.4%-3.9%1.3%4.3M-897.2M-3.1M0.9557.94N/AN/A20,53019,440357,770432,920
2020-08-19$46.59$45.0051.3%14.7%50.1%16.1%52.5%-4.0%0.8%2.2M-850.9M-3.1M0.7653.24N/AN/A34,61026,130362,160440,090
2020-08-20$47.05$45.0050.5%14.4%47.4%15.1%51.3%-1.1%0.3%4.2M-898.8M-3.1M0.6660.59N/AN/A43,06028,410374,330452,640
2020-08-21$46.17$45.0051.5%14.6%48.2%16.3%51.8%-2.6%1.3%-3.7M-812.1M-3.2M0.8359.46N/AN/A35,70029,530395,730463,010
2020-08-24$46.72$45.0052.4%14.8%48.1%17.4%51.7%2.7%1.4%4.6M-715.5M-3.1M0.7762.01N/AN/A44,42034,170318,690323,760
2020-08-25$47.01$45.0049.0%13.9%46.5%13.2%48.3%2.8%0.5%7.3M-748.2M-3.1M0.4361.41N/AN/A36,51015,700337,290344,210
2020-08-26$48.05$45.0051.0%14.5%46.7%15.7%50.9%0.9%0.6%15.0M-894.2M-3.2M0.4857.94N/AN/A75,53036,140358,690351,120
2020-08-27$47.43$45.0055.5%15.7%47.2%21.1%55.6%1.6%1.3%9.6M-809.4M-3.3M0.3455.21N/AN/A80,46027,600372,010362,150
2020-08-28$48.64$45.0051.3%14.4%45.4%16.1%51.4%1.2%0.5%38.4M-976.3M-3.3M0.3162.05N/AN/A109,85033,790398,370375,920
2020-08-31$48.26$45.0056.7%15.2%40.9%22.6%53.8%1.7%-0.8%10.0M-882.7M-3.2M0.7062.02N/AN/A40,80028,470361,140335,700