TTD Options History — November 2020 In November 2020, TTD traded between $55.35 and $89.76. ATM implied volatility averaged 56.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 45.1% (HV 20d: 101.4%). Max pain ranged from $51.00 to $77.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.69.
Notable Days 2020-11-06 : Highest Volume — 733,440 contracts2020-11-09 : Largest IV drop — 17.2% change2020-11-02 : Highest IV Rank — 45.0%2020-11-02 : Largest Expected Move — 25.3%Monthly Statistics Metric Avg Min Max Open Close Price $75.86 $55.35 $89.76 $55.35 $89.76 Max Pain $69.00 $51.00 $77.50 $51.00 $77.50 ATM IV 56.3% 49.7% 75.4% 75.4% 51.8% Expected Move 16.8% 14.6% 25.3% 25.3% 15.3% HV 20d 101.4% 56.4% 115.6% 56.4% 103.3% HV 60d 72.5% 53.9% 78.4% 54.2% 74.4% IV Rank 22.1% 14.2% 45.0% 45.0% 16.7% IV Percentile 31.3% 15.1% 74.2% 74.2% 21.0% Term Structure -0.4% -2.6% 1.2% -1.4% 0.6% VWIV 59.2% 51.2% 89.2% 87.5% 54.0% Skew 25d 3.2% -0.1% 6.5% 3.9% -0.1% Skew 10d 6.5% 1.6% 15.9% 4.3% 2.8% Call IV 25d 54.6% 48.4% 72.2% 72.2% 50.8% Put IV 25d 57.8% 50.7% 76.7% 76.1% 50.7% Bid-Ask Spread % 50.28 36.33 68.76 57.40 61.74 Gamma HHI 0.07 0.02 0.41 0.03 0.09 Net GEX 20.8M 1.5M 81.0M 1.5M 29.8M Net DEX -2.06B -3.40B -1.07B -1.07B -2.37B Net VEX -3.2M -3.5M -2.4M -3.3M -3.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.39 1.24 0.74 0.62 Total Volume 161,836.5 58,210 733,440 58,210 163,890 Total OI 812,673.5 676,060 931,020 739,950 685,970
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 2020-11-02 $55.35 $51.00 75.4% 25.3% 56.4% 45.0% 87.5% 3.9% -1.4% 1.5M -1.07B -3.3M 0.74 57.40 N/A N/A 33,540 24,670 388,610 351,340 2020-11-03 $58.63 $51.00 74.0% 24.4% 59.6% 43.3% 89.2% 6.2% -2.2% 4.1M -1.30B -3.2M 1.07 59.83 N/A N/A 33,050 35,510 388,610 351,340 2020-11-04 $62.86 $51.00 65.5% 22.3% 64.4% 33.1% 77.0% 6.5% -2.6% 10.9M -1.71B -3.1M 0.63 68.76 N/A N/A 63,820 40,120 418,920 372,950 2020-11-05 $64.73 $59.50 66.5% 18.7% 64.9% 34.2% 66.5% 4.7% -1.2% 12.5M -1.84B -3.1M 1.01 40.09 N/A N/A 83,450 84,430 419,750 388,420 2020-11-06 $82.39 $60.00 61.9% 17.9% 106.5% 28.7% 65.0% 1.9% 0.8% 13.0M -3.40B -2.4M 0.57 36.81 N/A N/A 468,310 265,130 457,890 438,730 2020-11-09 $76.77 $70.00 51.2% 14.8% 110.7% 15.9% 51.6% 4.2% 1.2% 9.3M -2.05B -3.0M 0.95 42.15 N/A N/A 82,800 78,480 391,650 416,530 2020-11-10 $70.69 $71.00 58.1% 16.8% 114.7% 24.2% 59.6% 4.5% 0.4% 2.8M -1.52B -3.2M 0.97 36.33 N/A N/A 101,690 98,280 397,470 425,070 2020-11-11 $73.80 $71.00 52.8% 15.4% 115.6% 17.9% 55.1% 2.4% 0.4% 12.2M -1.95B -3.2M 0.41 40.89 N/A N/A 110,800 45,500 436,770 446,820 2020-11-12 $73.95 $72.50 53.3% 15.6% 110.8% 18.5% 54.8% 2.6% 1.2% 10.4M -1.88B -3.3M 1.24 40.43 N/A N/A 42,920 53,230 440,130 463,840 2020-11-13 $73.30 $73.00 52.0% 15.0% 110.9% 16.9% 52.7% 3.4% -0.0% 4.9M -1.80B -3.2M 0.96 41.98 N/A N/A 50,040 48,170 446,040 484,980 2020-11-16 $74.02 $73.00 51.0% 14.6% 110.9% 15.7% 51.6% 2.4% -0.2% 9.2M -1.80B -3.2M 0.51 44.67 N/A N/A 48,770 25,040 377,860 424,040 2020-11-17 $79.00 $73.50 53.3% 15.3% 112.4% 18.4% 53.8% 2.9% -1.5% 22.8M -2.27B -3.1M 0.52 47.59 N/A N/A 97,150 50,510 393,580 433,890 2020-11-18 $77.06 $73.50 52.6% 15.1% 113.2% 17.6% 53.0% 2.9% -1.1% 16.9M -2.04B -3.2M 0.56 49.02 N/A N/A 62,130 34,810 409,160 448,250 2020-11-19 $80.81 $74.00 52.0% 15.0% 112.9% 16.9% 52.7% 0.4% -1.5% 34.4M -2.46B -3.2M 0.39 50.40 N/A N/A 149,070 58,380 423,720 460,140 2020-11-20 $82.89 $74.50 51.8% 15.0% 113.0% 16.7% 52.6% 0.4% -1.0% 47.0M -2.70B -3.3M 0.41 52.40 N/A N/A 149,550 60,610 453,440 474,060 2020-11-23 $84.09 $75.00 52.0% 15.1% 112.4% 16.9% 53.6% 3.4% 0.3% 25.4M -2.09B -3.4M 0.75 56.28 N/A N/A 75,730 57,110 361,330 314,730 2020-11-24 $83.82 $75.00 51.1% 14.8% 112.6% 15.7% 51.8% 4.1% 0.5% 27.9M -2.09B -3.5M 0.52 59.27 N/A N/A 86,360 44,920 385,330 342,610 2020-11-25 $86.16 $77.00 50.7% 14.8% 111.6% 15.3% 51.7% 1.9% 0.1% 40.2M -2.34B -3.5M 0.46 59.33 N/A N/A 86,500 40,170 400,080 359,590 2020-11-27 $87.07 $77.00 49.7% 14.6% 111.4% 14.2% 51.2% 5.6% -0.3% 81.0M -2.43B -3.5M 0.54 60.16 N/A N/A 66,140 35,950 407,540 372,290 2020-11-30 $89.76 $77.50 51.8% 15.3% 103.3% 16.7% 54.0% -0.1% 0.6% 29.8M -2.37B -3.4M 0.62 61.74 N/A N/A 100,860 63,030 359,070 326,900
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