TTD Options History — February 2021

In February 2021, TTD traded between $75.22 and $90.37. ATM implied volatility averaged 65.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 16.9% (HV 20d: 48.2%). Max pain ranged from $79.00 to $84.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2021-02-19: Highest Volume — 460,970 contracts
2021-02-19: Largest IV drop — 24.7% change
2021-02-10: Highest IV Rank — 36.3%
2021-02-01: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.74	$75.22	$90.37	$79.14	$80.74
Max Pain	$81.71	$79.00	$84.00	$79.00	$82.50
ATM IV	65.1%	52.1%	74.5%	70.9%	55.5%
Expected Move	18.6%	14.9%	21.4%	21.4%	15.9%
HV 20d	48.2%	40.6%	59.4%	51.8%	59.4%
HV 60d	52.6%	45.1%	73.6%	73.6%	52.3%
IV Rank	23.5%	5.7%	36.3%	31.3%	10.4%
IV Percentile	47.6%	15.9%	71.4%	59.9%	23.4%
Term Structure	-0.9%	-3.4%	0.3%	-1.3%	-0.7%
VWIV	65.5%	52.7%	75.4%	75.4%	56.9%
Skew 25d	0.8%	-5.8%	8.5%	8.5%	5.6%
Skew 10d	-1.0%	-13.8%	13.7%	13.7%	-0.9%
Call IV 25d	65.9%	52.5%	79.3%	66.2%	56.2%
Put IV 25d	66.7%	51.2%	76.5%	74.8%	61.7%
Bid-Ask Spread %	47.67	28.86	61.47	60.80	60.71
Gamma HHI	0.06	0.02	0.31	0.03	0.06
Net GEX	18.3M	-3.2M	60.4M	9.0M	19.5M
Net DEX	-1.05B	-1.73B	-234.1M	-624.7M	-854.7M
Net VEX	-5.4M	-5.9M	-4.4M	-5.7M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.29	1.16	0.61	0.39
Total Volume	126,337.368	67,020	460,970	67,020	115,960
Total OI	718,635.789	574,800	819,850	725,150	736,090

Daily Data (19 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
2021-02-01	$79.14	$79.00	70.9%	21.4%	51.8%	31.3%	75.4%	8.5%	-1.3%	9.0M	-624.7M	-5.7M	0.61	60.80	N/A	N/A	41,510	25,510	373,530	351,620
2021-02-02	$83.13	$79.00	66.7%	19.9%	53.0%	25.6%	71.0%	3.5%	-0.1%	26.4M	-1.17B	-5.6M	0.48	58.65	N/A	N/A	86,800	41,730	387,030	359,450
2021-02-03	$84.22	$79.00	68.5%	20.2%	52.9%	28.1%	70.9%	1.4%	-0.3%	36.2M	-1.36B	-5.6M	0.29	59.12	N/A	N/A	147,350	42,550	409,980	364,130
2021-02-04	$85.11	$80.00	68.8%	19.0%	47.2%	28.5%	66.4%	2.4%	-0.8%	35.6M	-1.49B	-5.6M	0.59	36.85	N/A	N/A	54,640	32,050	419,480	376,090
2021-02-05	$85.19	$80.00	66.5%	18.8%	47.0%	25.4%	65.5%	2.3%	0.2%	60.4M	-1.47B	-5.5M	0.37	46.39	N/A	N/A	77,970	29,030	423,130	388,850
2021-02-08	$85.35	$80.50	70.6%	19.8%	43.6%	30.9%	69.1%	0.0%	-1.5%	14.1M	-1.19B	-5.4M	0.46	28.86	N/A	N/A	61,300	27,910	344,340	337,790
2021-02-09	$86.91	$82.00	69.5%	19.3%	43.1%	29.4%	67.2%	-1.8%	-1.3%	14.6M	-1.29B	-5.4M	0.41	35.58	N/A	N/A	56,070	22,740	340,190	350,490
2021-02-10	$86.03	$81.50	74.5%	20.6%	42.2%	36.3%	72.9%	-2.9%	-2.5%	14.1M	-1.22B	-5.4M	0.42	34.23	N/A	N/A	52,600	21,870	357,670	357,580
2021-02-11	$86.10	$81.50	70.1%	19.7%	41.2%	30.3%	69.0%	-1.9%	-1.3%	13.0M	-1.24B	-5.3M	0.43	35.18	N/A	N/A	47,980	20,710	368,970	366,310
2021-02-12	$86.08	$82.50	72.6%	20.3%	40.8%	33.7%	72.0%	-5.8%	-3.4%	19.4M	-1.25B	-5.4M	0.49	36.67	N/A	N/A	64,500	31,740	390,160	373,410
2021-02-16	$86.91	$83.00	69.5%	19.9%	40.8%	29.5%	70.8%	-1.9%	-0.2%	9.8M	-1.15B	-5.0M	1.16	34.00	N/A	N/A	44,920	52,090	329,410	328,040
2021-02-17	$84.15	$83.00	68.0%	19.5%	42.8%	27.5%	68.8%	-0.9%	-1.0%	3.3M	-858.2M	-4.9M	0.97	40.28	N/A	N/A	50,350	48,760	341,350	353,250
2021-02-18	$84.65	$83.00	69.2%	19.9%	40.6%	29.0%	70.4%	0.8%	-0.9%	3.5M	-924.1M	-4.9M	0.92	43.11	N/A	N/A	84,680	77,890	353,970	376,020
2021-02-19	$90.37	$83.00	52.1%	14.9%	46.4%	5.7%	52.7%	-3.1%	0.3%	59.5M	-1.73B	-4.4M	0.45	56.51	N/A	N/A	318,960	142,010	401,800	418,050
2021-02-22	$85.23	$84.00	52.4%	15.0%	51.6%	6.1%	53.4%	-1.8%	-0.6%	12.7M	-1.02B	-5.3M	0.72	58.80	N/A	N/A	63,750	45,800	318,900	255,900
2021-02-23	$79.33	$84.00	56.8%	15.9%	56.6%	12.1%	55.7%	0.7%	-0.5%	-1.1M	-476.5M	-5.3M	0.43	61.03	N/A	N/A	121,010	51,830	331,000	278,660
2021-02-24	$77.29	$82.50	54.6%	15.7%	57.2%	9.1%	55.6%	4.7%	-0.2%	1.8M	-405.6M	-5.5M	0.48	61.47	N/A	N/A	63,220	30,070	381,560	300,040
2021-02-25	$75.22	$82.50	60.4%	17.4%	57.4%	17.0%	60.1%	5.2%	-0.9%	-3.2M	-234.1M	-5.6M	0.51	57.51	N/A	N/A	68,110	34,440	396,950	312,890
2021-02-26	$80.74	$82.50	55.5%	15.9%	59.4%	10.4%	56.9%	5.6%	-0.7%	19.5M	-854.7M	-5.9M	0.39	60.71	N/A	N/A	83,190	32,770	413,850	322,240