TTD Options History — December 2020 In December 2020, TTD traded between $80.07 and $96.81. ATM implied volatility averaged 50.5%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 1.3% (HV 20d: 51.8%). Max pain ranged from $35.00 to $78.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2020-12-28 : Highest Volume — 308,830 contracts2020-12-28 : Largest IV spike — 15.5% change2020-12-28 : Highest IV Rank — 17.1%2020-12-28 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $90.10 $80.07 $96.81 $88.87 $80.07 Max Pain $43.11 $35.00 $78.00 $78.00 $49.00 ATM IV 50.5% 47.9% 55.4% 49.9% 53.4% Expected Move 14.7% 14.0% 16.4% 14.9% 15.0% HV 20d 51.8% 27.9% 103.6% 102.8% 50.5% HV 60d 72.8% 71.4% 75.4% 73.7% 75.4% IV Rank 12.9% 7.8% 17.1% 12.7% 14.6% IV Percentile 15.1% 7.1% 26.6% 14.7% 24.2% Term Structure 0.8% -0.7% 2.9% 0.4% 0.2% VWIV 52.1% 48.5% 57.1% 52.5% 53.0% Skew 25d 3.2% -0.6% 7.5% 2.0% 7.5% Skew 10d 6.4% 0.4% 11.5% 2.4% 4.4% Call IV 25d 49.5% 47.3% 55.8% 48.9% 50.3% Put IV 25d 52.7% 48.4% 58.6% 50.9% 57.8% Bid-Ask Spread % 63.65 55.04 70.82 65.35 67.34 Gamma HHI 0.09 0.03 0.28 0.08 0.15 Net GEX 21.2M -28.8M 102.6M 31.2M -28.8M Net DEX -2.05B -2.54B -862.5M -2.28B -862.5M Net VEX -3.8M -4.8M -3.6M -3.6M -4.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.41 1.13 0.55 0.70 Total Volume 116,025.909 59,480 308,830 89,400 135,060 Total OI 754,617.273 649,320 904,480 736,050 904,480
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 2020-12-01 $88.87 $78.00 49.9% 14.9% 102.8% 12.7% 52.5% 2.0% 0.4% 31.2M -2.28B -3.6M 0.55 65.35 N/A N/A 57,800 31,600 385,920 350,130 2020-12-02 $86.32 $78.00 50.2% 14.9% 103.6% 13.1% 52.0% 3.9% 1.6% 18.1M -1.98B -3.7M 0.84 66.10 N/A N/A 41,930 35,380 401,900 363,270 2020-12-03 $88.78 $35.00 49.0% 14.6% 102.0% 11.5% 51.9% 2.6% 1.8% 43.6M -2.30B -3.6M 0.56 59.15 N/A N/A 74,390 41,330 406,570 377,630 2020-12-04 $90.47 $35.00 49.2% 14.6% 101.9% 11.8% 52.3% 3.0% 1.2% 102.6M -2.54B -3.6M 0.41 58.70 N/A N/A 100,740 41,300 427,760 386,080 2020-12-07 $91.22 $36.00 49.9% 14.7% 57.8% 12.7% 52.5% 2.9% 1.2% 19.0M -2.27B -3.6M 0.47 57.57 N/A N/A 47,710 22,320 354,810 338,390 2020-12-08 $91.33 $36.50 49.8% 14.6% 50.5% 12.5% 52.4% 1.6% 0.9% 20.6M -2.30B -3.6M 0.44 55.04 N/A N/A 62,770 27,850 371,670 348,920 2020-12-09 $88.67 $37.00 50.3% 14.9% 40.3% 13.2% 52.3% 5.2% 1.4% 12.0M -2.00B -3.7M 0.70 60.00 N/A N/A 67,020 47,010 391,340 356,510 2020-12-10 $91.75 $37.50 49.2% 14.6% 39.5% 11.8% 52.4% 4.2% 2.9% 22.2M -2.33B -3.7M 0.44 58.80 N/A N/A 53,530 23,660 394,480 365,020 2020-12-11 $92.43 $38.00 51.2% 14.9% 39.4% 14.2% 53.5% 3.0% 1.1% 59.9M -2.47B -3.6M 0.58 60.32 N/A N/A 71,170 41,070 407,330 370,750 2020-12-14 $92.23 $38.00 50.5% 14.6% 39.0% 13.4% 52.7% 5.1% -0.4% 19.5M -2.27B -3.6M 1.04 60.76 N/A N/A 30,920 32,260 352,880 338,110 2020-12-15 $93.08 $39.00 49.8% 14.3% 39.0% 12.6% 51.1% 4.9% -0.5% 19.3M -2.34B -3.6M 0.71 60.93 N/A N/A 54,930 38,820 357,990 356,680 2020-12-16 $93.91 $39.00 50.6% 14.5% 33.5% 13.6% 51.8% 4.3% -0.5% 21.7M -2.42B -3.6M 0.63 64.08 N/A N/A 36,530 22,950 374,730 374,960 2020-12-17 $94.34 $39.50 49.6% 14.2% 31.2% 12.3% 50.9% 4.0% -0.2% 26.5M -2.47B -3.6M 0.74 63.57 N/A N/A 41,930 31,150 383,960 382,760 2020-12-18 $94.82 $40.00 50.0% 14.4% 27.9% 12.8% 51.0% 4.0% -0.7% 39.1M -2.51B -3.7M 0.59 64.27 N/A N/A 68,070 40,140 394,240 390,360 2020-12-21 $93.20 $40.00 51.3% 14.9% 28.4% 14.4% 51.8% 2.4% 0.3% 10.9M -2.07B -3.7M 1.13 67.64 N/A N/A 47,160 53,070 327,600 321,720 2020-12-22 $96.81 $40.00 49.7% 14.4% 30.5% 12.5% 50.9% 0.7% 0.7% 18.5M -2.38B -3.9M 0.74 66.04 N/A N/A 49,800 36,870 344,860 358,160 2020-12-23 $93.09 $40.00 49.4% 14.5% 34.5% 12.1% 49.8% -0.6% 0.9% -1.2M -1.97B -4.0M 0.61 70.82 N/A N/A 96,510 58,410 354,900 366,540 2020-12-24 $93.00 $41.00 47.9% 14.0% 33.6% 7.8% 48.5% 1.4% 1.1% 18.8M -1.95B -4.1M 0.56 70.69 N/A N/A 46,670 26,290 385,320 388,130 2020-12-28 $83.44 $42.00 55.4% 16.4% 52.0% 17.1% 57.1% 2.8% 2.5% -4.4M -1.15B -3.9M 0.60 68.24 N/A N/A 193,490 115,340 330,810 336,370 2020-12-29 $82.11 $45.00 52.9% 15.4% 50.7% 14.0% 53.4% 3.3% 1.0% -5.1M -979.4M -4.4M 0.61 66.98 N/A N/A 161,100 98,950 411,940 394,350 2020-12-30 $82.16 $45.00 51.9% 15.1% 50.7% 12.9% 53.4% 2.1% 0.9% 2.8M -1.16B -4.7M 0.68 67.99 N/A N/A 87,740 59,830 459,190 412,060 2020-12-31 $80.07 $49.00 53.4% 15.0% 50.5% 14.6% 53.0% 7.5% 0.2% -28.8M -862.5M -4.8M 0.70 67.34 N/A N/A 79,410 55,650 472,490 431,990
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