TTD Options History — September 2021

In September 2021, TTD traded between $68.09 and $79.76. ATM implied volatility averaged 45.4%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 2.9% (HV 20d: 42.5%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2021-09-13: Highest Volume — 69,838 contracts
  • 2021-09-28: Largest IV spike — 13.9% change
  • 2021-09-30: Highest IV Rank — 19.1%
  • 2021-09-29: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.44$68.09$79.76$79.76$70.36
Max Pain$73.98$70.00$85.00$85.00$76.00
ATM IV45.4%43.0%49.8%43.8%49.8%
Expected Move13.1%11.9%14.7%11.9%14.3%
HV 20d42.5%33.3%51.8%51.1%51.8%
HV 60d52.4%46.2%57.2%55.9%50.1%
IV Rank6.1%0.0%19.1%0.0%19.1%
IV Percentile5.9%0.0%25.8%0.0%25.8%
Term Structure1.4%-0.8%7.5%0.6%7.3%
VWIV45.8%41.8%51.7%41.9%51.7%
Skew 25d5.7%3.5%8.0%4.0%7.2%
Skew 10d12.9%8.5%16.7%8.5%16.7%
Call IV 25d43.4%40.3%46.9%42.8%45.5%
Put IV 25d49.1%45.5%54.8%46.8%52.7%
Bid-Ask Spread %16.2510.1920.9110.1915.56
Gamma HHI0.040.030.060.040.03
Net GEX7.4M3.2M17.9M12.0M5.7M
Net DEX-436.8M-772.0M-204.3M-772.0M-339.9M
Net VEX-5.2M-5.8M-4.6M-5.8M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.190.770.190.74
Total Volume27,771.04814,26169,83824,31221,671
Total OI559,805.19524,873601,179563,270556,937

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$79.76$85.0043.8%11.9%51.1%0.0%41.9%4.0%0.6%12.0M-772.0M-5.8M0.1910.19N/AN/A20,4903,822307,815255,455
2021-09-02$78.01$70.0044.0%13.1%50.2%0.8%45.7%4.6%1.1%7.1M-631.9M-5.6M0.4220.44N/AN/A20,1718,571310,826256,632
2021-09-03$78.54$70.0043.2%12.8%50.2%0.0%46.3%4.1%0.7%7.4M-668.4M-5.6M0.5419.00N/AN/A14,7407,927317,825257,930
2021-09-07$75.46$70.0045.9%13.2%50.9%7.5%48.0%3.5%0.3%7.3M-486.0M-5.5M0.4613.81N/AN/A18,3168,428304,444251,619
2021-09-08$72.14$70.0045.8%13.3%44.4%7.3%46.5%4.0%0.4%3.6M-268.0M-5.1M0.6516.48N/AN/A20,38013,303308,096254,228
2021-09-09$73.05$70.0044.3%12.9%41.4%3.2%45.1%5.2%1.0%3.2M-302.4M-5.2M0.3317.16N/AN/A16,0995,375313,061257,421
2021-09-10$72.76$70.0044.6%12.9%38.4%4.0%45.4%4.0%0.7%3.4M-293.5M-5.2M0.4716.42N/AN/A19,6659,229316,222261,330
2021-09-13$70.85$70.0046.0%13.2%35.0%7.8%46.0%4.9%-0.7%3.3M-217.4M-5.1M0.7719.80N/AN/A39,40730,431308,379255,761
2021-09-14$70.64$70.0045.6%13.1%33.5%6.8%45.2%5.1%-0.8%3.2M-204.3M-5.0M0.3819.60N/AN/A13,9355,312313,762258,442
2021-09-15$70.90$70.0044.8%12.8%33.3%4.4%43.0%5.7%-0.6%3.6M-213.6M-4.8M0.6720.91N/AN/A18,26512,208318,748261,353
2021-09-16$73.32$75.0043.1%12.3%35.5%0.0%45.2%5.8%0.0%8.5M-373.2M-5.2M0.4716.28N/AN/A17,7178,412322,270262,156
2021-09-17$72.64$77.0043.9%12.6%34.8%2.3%43.3%5.6%0.0%7.7M-292.8M-5.2M0.5817.20N/AN/A15,4518,916330,962270,217
2021-09-20$69.38$77.0049.5%14.3%37.2%18.2%49.6%8.0%-0.3%4.1M-299.3M-5.0M0.6818.98N/AN/A14,2189,660284,597240,276
2021-09-21$72.43$77.0046.7%13.4%38.8%10.1%45.6%7.4%-0.3%7.3M-443.1M-5.1M0.2813.31N/AN/A21,2005,905288,988242,664
2021-09-22$75.64$76.5044.0%12.4%42.0%2.6%44.4%6.3%-0.3%12.7M-669.4M-5.2M0.4513.85N/AN/A22,70710,316293,218245,290
2021-09-23$76.29$76.0043.4%12.2%42.2%0.7%42.8%7.1%0.8%17.9M-747.6M-5.2M0.2214.13N/AN/A22,6165,087301,152247,468
2021-09-24$76.48$76.0043.0%12.0%41.7%0.0%41.8%7.4%0.4%15.7M-749.4M-5.2M0.4613.96N/AN/A14,9246,909305,456250,254
2021-09-27$75.78$76.0043.3%12.2%40.2%0.7%43.7%5.5%5.5%13.0M-663.4M-5.2M0.6014.28N/AN/A8,8885,373294,357242,288
2021-09-28$69.63$76.0049.3%14.6%49.4%17.6%50.5%6.8%5.5%5.7M-315.6M-4.8M0.5714.63N/AN/A22,65312,958297,564243,783
2021-09-29$68.09$76.0048.5%14.7%49.7%15.4%50.3%7.7%7.5%3.4M-221.6M-4.6M0.4015.22N/AN/A15,4226,115300,420246,243
2021-09-30$70.36$76.0049.8%14.3%51.8%19.1%51.7%7.2%7.3%5.7M-339.9M-4.9M0.7415.56N/AN/A12,4699,202305,527251,410