TTD Options History — March 2021 In March 2021, TTD traded between $61.56 and $83.18. ATM implied volatility averaged 59.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 23.9% (HV 20d: 83.0%). Max pain ranged from $71.00 to $82.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.79.
Notable Days 2021-03-05 : Highest Volume — 281,120 contracts2021-03-03 : Largest IV spike — 22.4% change2021-03-04 : Highest IV Rank — 29.6%2021-03-03 : Largest Expected Move — 19.7%Monthly Statistics Metric Avg Min Max Open Close Price $70.89 $61.56 $83.18 $83.18 $65.89 Max Pain $74.46 $71.00 $82.00 $81.50 $71.00 ATM IV 59.0% 50.1% 69.6% 50.1% 57.8% Expected Move 16.8% 14.5% 19.7% 14.5% 16.2% HV 20d 83.0% 57.7% 92.4% 57.7% 75.8% HV 60d 64.0% 52.7% 68.6% 52.7% 67.9% IV Rank 16.6% 3.1% 29.6% 3.1% 17.5% IV Percentile 36.1% 5.6% 60.7% 5.6% 36.1% Term Structure 1.2% -2.4% 9.0% -0.3% 8.3% VWIV 59.7% 51.4% 69.2% 51.6% 57.6% Skew 25d 4.9% 0.3% 15.7% 1.3% 1.8% Skew 10d 10.1% -1.5% 28.9% 2.6% 8.6% Call IV 25d 57.6% 52.2% 67.1% 52.2% 57.8% Put IV 25d 62.5% 53.5% 79.3% 53.5% 59.5% Bid-Ask Spread % 60.11 41.80 77.70 72.00 71.45 Gamma HHI 0.06 0.03 0.25 0.03 0.06 Net GEX 7.6M -8.5M 29.5M 15.3M 9.0M Net DEX -406.3M -1.10B 407.9M -1.10B -273.5M Net VEX -5.6M -6.2M -4.7M -5.7M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.35 1.29 0.80 0.35 Total Volume 110,142.609 47,790 281,120 76,920 76,730 Total OI 729,829.565 631,380 819,380 631,380 734,910
Daily Data (23 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 2021-03-01 $83.18 $81.50 50.1% 14.5% 57.7% 3.1% 51.6% 1.3% -0.3% 15.3M -1.10B -5.7M 0.80 72.00 N/A N/A 42,720 34,200 345,650 285,730 2021-03-02 $80.37 $82.00 53.6% 14.7% 58.3% 7.7% 51.4% 3.8% -1.4% 11.9M -843.5M -5.5M 0.88 77.70 N/A N/A 29,950 26,390 359,570 298,620 2021-03-03 $69.71 $82.00 65.5% 19.7% 74.6% 24.1% 69.2% 4.7% -1.2% -8.3M 82.8M -5.1M 1.29 61.45 N/A N/A 93,470 120,360 357,350 311,420 2021-03-04 $64.03 $74.50 69.6% 19.2% 78.8% 29.6% 68.1% 15.7% -2.4% -8.5M 407.9M -4.9M 1.24 54.65 N/A N/A 99,690 124,030 402,680 346,410 2021-03-05 $65.45 $74.00 64.2% 18.3% 79.3% 22.3% 64.0% 11.6% -0.6% -3.5M 294.9M -5.2M 1.06 51.92 N/A N/A 136,210 144,910 437,150 364,120 2021-03-08 $67.86 $73.50 69.2% 19.3% 81.1% 29.1% 67.9% 7.6% -1.3% 3.0M -195.6M -5.9M 0.42 52.84 N/A N/A 116,510 49,270 389,010 328,930 2021-03-09 $72.34 $73.50 60.5% 16.9% 85.4% 17.2% 61.7% 6.8% -1.4% 10.9M -534.1M -6.1M 0.46 53.05 N/A N/A 64,610 29,960 415,410 340,780 2021-03-10 $71.68 $73.50 62.4% 17.6% 84.8% 19.7% 61.5% 6.2% -0.5% 11.8M -527.8M -6.2M 0.78 54.50 N/A N/A 35,790 27,990 428,320 347,530 2021-03-11 $74.97 $73.00 58.6% 16.8% 87.0% 14.6% 60.1% 8.1% 0.5% 21.3M -828.6M -6.2M 0.73 53.37 N/A N/A 46,010 33,720 436,200 356,380 2021-03-12 $74.69 $73.50 60.3% 17.5% 86.9% 16.8% 62.7% 5.9% 1.1% 29.5M -802.0M -6.2M 0.59 41.80 N/A N/A 52,940 31,000 441,830 367,330 2021-03-15 $75.36 $73.50 57.8% 16.6% 87.1% 13.5% 59.4% 3.5% 0.6% 16.9M -787.8M -6.0M 0.74 51.34 N/A N/A 30,610 22,790 401,750 332,300 2021-03-16 $76.83 $73.50 56.5% 16.2% 87.4% 11.7% 57.0% 3.1% 0.4% 19.1M -960.3M -6.0M 0.52 59.75 N/A N/A 81,780 42,780 410,540 335,980 2021-03-17 $76.79 $74.00 56.1% 16.1% 86.9% 11.2% 57.3% 4.7% 0.8% 17.7M -914.9M -5.9M 0.76 60.21 N/A N/A 62,790 47,840 426,710 348,210 2021-03-18 $69.84 $74.00 62.0% 17.8% 92.4% 19.2% 62.9% 2.5% -0.2% 1.8M -269.4M -5.7M 0.67 53.41 N/A N/A 75,680 50,520 443,330 352,450 2021-03-19 $72.67 $73.50 57.5% 16.6% 90.1% 17.0% 58.1% 3.3% -0.4% 13.4M -550.8M -5.8M 0.55 59.88 N/A N/A 69,690 38,530 458,700 360,680 2021-03-22 $74.25 $73.50 54.4% 15.5% 89.0% 11.4% 55.2% 3.8% 0.8% 14.1M -727.5M -5.7M 0.56 66.10 N/A N/A 38,520 21,450 358,700 289,070 2021-03-23 $71.80 $73.50 53.4% 15.4% 86.2% 9.7% 54.5% 3.4% 1.4% 11.2M -546.6M -5.5M 1.13 55.42 N/A N/A 22,400 25,390 378,120 297,200 2021-03-24 $66.68 $73.50 54.8% 15.5% 89.4% 12.2% 55.1% 2.0% 1.5% -1.9M -136.2M -5.1M 0.91 65.08 N/A N/A 51,200 46,390 379,550 305,300 2021-03-25 $65.11 $73.50 57.6% 16.3% 89.3% 17.1% 59.6% 5.2% 3.9% -5.0M -12.9M -5.1M 0.88 53.70 N/A N/A 52,520 46,260 393,340 316,430 2021-03-26 $66.67 $73.00 56.9% 16.0% 85.3% 15.8% 56.1% 6.3% 1.0% -2.7M -140.4M -5.2M 0.91 69.32 N/A N/A 47,490 43,090 405,090 325,060 2021-03-29 $61.56 $73.00 61.4% 17.8% 87.5% 23.8% 63.2% 0.3% 8.0% -2.8M 46.4M -4.7M 0.97 70.19 N/A N/A 54,780 53,360 358,320 304,210 2021-03-30 $62.81 $72.00 57.6% 16.6% 88.0% 17.0% 58.5% 2.2% 9.0% 1.1M -23.2M -4.9M 0.89 73.46 N/A N/A 48,220 42,740 386,630 323,080 2021-03-31 $65.89 $71.00 57.8% 16.2% 75.8% 17.5% 57.6% 1.8% 8.3% 9.0M -273.5M -5.2M 0.35 71.45 N/A N/A 56,640 20,090 400,190 334,720
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