TTD Options History — September 2020 In September 2020, TTD traded between $41.76 and $51.78. ATM implied volatility averaged 59.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 3.3% (HV 20d: 56.4%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2020-09-04 : Highest Volume — 208,410 contracts2020-09-03 : Largest IV spike — 15.4% change2020-09-03 : Highest IV Rank — 37.8%2020-09-03 : Largest Expected Move — 19.1%Monthly Statistics Metric Avg Min Max Open Close Price $45.86 $41.76 $51.78 $50.13 $51.78 Max Pain $40.62 $39.00 $45.00 $45.00 $42.00 ATM IV 59.7% 54.7% 69.4% 56.2% 59.1% Expected Move 16.9% 15.4% 19.1% 15.8% 15.4% HV 20d 56.4% 42.7% 62.6% 43.0% 62.1% HV 60d 49.4% 43.7% 50.8% 43.7% 50.8% IV Rank 26.1% 20.1% 37.8% 21.9% 25.5% IV Percentile 40.9% 30.2% 60.7% 36.5% 37.3% Term Structure 2.1% -2.5% 13.2% 0.2% 12.1% VWIV 59.2% 54.1% 67.3% 58.8% 54.1% Skew 25d 4.9% -5.5% 9.3% -5.5% 7.7% Skew 10d 8.6% -4.7% 21.6% -4.7% 8.6% Call IV 25d 58.2% 52.3% 69.3% 60.2% 55.5% Put IV 25d 63.1% 54.6% 72.0% 54.6% 63.2% Bid-Ask Spread % 65.25 53.59 73.28 58.94 73.28 Gamma HHI 0.05 0.03 0.10 0.06 0.04 Net GEX 5.5M -10.2M 23.5M 15.6M 18.0M Net DEX -817.2M -1.43B -367.2M -1.11B -1.43B Net VEX -3.5M -3.7M -3.2M -3.2M -3.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.28 1.24 0.31 0.58 Total Volume 92,873.333 45,400 208,410 125,560 103,460 Total OI 781,709.524 707,440 880,970 729,070 772,900
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 2020-09-01 $50.13 $45.00 56.2% 15.8% 43.0% 21.9% 58.8% -5.5% 0.2% 15.6M -1.11B -3.2M 0.31 58.94 N/A N/A 95,950 29,610 377,170 351,900 2020-09-02 $51.48 $45.00 60.2% 16.3% 42.7% 26.7% 57.0% -1.3% -0.7% 23.5M -1.28B -3.2M 0.45 63.80 N/A N/A 88,840 40,170 401,640 361,080 2020-09-03 $46.35 $39.50 69.4% 19.1% 56.3% 37.8% 66.5% 2.8% -1.5% 442.7K -632.6M -3.5M 0.38 53.59 N/A N/A 129,910 49,620 404,030 371,510 2020-09-04 $44.38 $39.00 64.5% 18.1% 56.6% 31.9% 63.6% 3.3% -0.6% -7.1M -411.9M -3.5M 0.54 65.20 N/A N/A 135,690 72,720 436,330 382,850 2020-09-08 $42.22 $39.00 65.5% 18.9% 55.5% 33.1% 67.3% 2.3% -1.0% -1.2M -472.7M -3.7M 0.73 62.81 N/A N/A 38,560 28,030 436,970 353,900 2020-09-09 $43.48 $39.00 59.6% 17.8% 55.2% 26.0% 59.8% 3.6% 2.5% -889.9K -577.7M -3.7M 0.34 61.25 N/A N/A 40,570 13,810 449,540 369,170 2020-09-10 $42.96 $39.00 60.4% 17.6% 54.1% 26.9% 60.7% 6.7% 1.0% -2.2M -516.1M -3.7M 0.58 61.80 N/A N/A 46,860 27,380 459,050 373,200 2020-09-11 $41.76 $40.00 57.1% 16.8% 53.9% 23.0% 57.7% 9.3% 2.1% -10.2M -367.2M -3.5M 1.24 70.36 N/A N/A 40,490 50,400 462,840 378,910 2020-09-14 $42.85 $40.00 56.2% 16.0% 54.9% 21.9% 55.7% 7.6% -1.9% -1.4M -529.8M -3.5M 0.63 69.53 N/A N/A 44,720 27,980 421,120 358,950 2020-09-15 $44.16 $40.00 54.7% 15.7% 55.1% 20.1% 56.2% 5.7% -0.7% 2.3M -689.4M -3.6M 0.53 68.31 N/A N/A 53,490 28,590 433,400 365,950 2020-09-16 $44.33 $40.00 56.9% 16.3% 55.0% 22.7% 56.3% 6.7% -2.5% 3.3M -709.1M -3.6M 0.59 68.49 N/A N/A 30,180 17,770 447,000 376,360 2020-09-17 $42.80 $40.00 58.9% 16.9% 56.2% 25.2% 59.4% 7.8% -0.7% -1.5M -522.1M -3.6M 0.28 66.23 N/A N/A 119,200 33,280 453,010 379,960 2020-09-18 $43.67 $40.00 57.5% 16.4% 56.6% 23.5% 58.7% 5.4% 0.9% 4.1M -733.9M -3.7M 0.81 65.81 N/A N/A 48,370 38,970 491,920 389,050 2020-09-21 $46.14 $40.00 60.1% 17.1% 60.0% 26.5% 59.6% 6.0% 3.3% 6.6M -930.1M -3.6M 0.47 66.55 N/A N/A 55,610 26,040 379,940 327,500 2020-09-22 $46.80 $40.50 60.2% 17.1% 60.1% 26.7% 61.4% 5.8% 0.6% 10.8M -1.00B -3.6M 0.66 58.54 N/A N/A 31,790 21,010 397,100 336,760 2020-09-23 $46.02 $40.50 60.4% 17.4% 60.3% 27.0% 60.7% 7.2% 1.9% 10.5M -933.7M -3.7M 0.53 63.24 N/A N/A 29,650 15,750 405,480 340,960 2020-09-24 $45.46 $40.50 61.1% 17.2% 59.8% 27.8% 59.6% 4.1% 1.5% 7.2M -852.9M -3.7M 1.04 65.54 N/A N/A 26,510 27,520 407,120 347,700 2020-09-25 $47.33 $41.00 59.9% 16.7% 61.6% 26.3% 58.7% 4.0% 2.9% 17.4M -1.08B -3.5M 0.67 68.07 N/A N/A 47,390 31,590 411,710 353,380 2020-09-28 $48.80 $41.50 57.2% 16.0% 61.9% 23.1% 55.5% 4.8% 11.2% 8.8M -1.13B -3.4M 0.77 69.26 N/A N/A 34,130 26,180 377,970 335,770 2020-09-29 $50.20 $41.50 58.7% 16.0% 62.6% 24.9% 54.9% 8.9% 13.2% 11.9M -1.25B -3.4M 0.53 69.72 N/A N/A 67,150 35,400 389,370 345,430 2020-09-30 $51.78 $42.00 59.1% 15.4% 62.1% 25.5% 54.1% 7.7% 12.1% 18.0M -1.43B -3.4M 0.58 73.28 N/A N/A 65,520 37,940 413,540 359,360
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