TTD Options History — November 2021 In November 2021, TTD traded between $68.83 and $111.80. ATM implied volatility averaged 58.3%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 45.2% (HV 20d: 103.5%). Max pain ranged from $75.00 to $100.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2021-11-09 : Highest Volume — 293,544 contracts2021-11-08 : Largest IV drop — 29.7% change2021-11-05 : Highest IV Rank — 100.0%2021-11-03 : Largest Expected Move — 23.2%Monthly Statistics Metric Avg Min Max Open Close Price $95.37 $68.83 $111.80 $76.46 $104.43 Max Pain $90.24 $75.00 $100.00 $85.00 $100.00 ATM IV 58.3% 50.7% 77.6% 60.4% 60.1% Expected Move 17.1% 14.7% 23.2% 20.5% 18.0% HV 20d 103.5% 48.7% 125.1% 48.7% 120.5% HV 60d 72.3% 49.3% 81.6% 51.4% 81.6% IV Rank 45.0% 22.2% 100.0% 50.6% 49.5% IV Percentile 58.2% 32.1% 100.0% 69.8% 68.3% Term Structure -1.0% -3.9% 3.4% -1.5% 0.7% VWIV 61.4% 53.1% 86.5% 74.9% 63.9% Skew 25d 0.4% -3.8% 6.5% 4.4% 0.0% Skew 10d 2.0% -2.9% 17.0% 9.0% 2.8% Call IV 25d 59.6% 53.6% 78.9% 58.9% 60.8% Put IV 25d 60.0% 51.3% 84.0% 63.3% 60.8% Bid-Ask Spread % 12.13 7.22 27.13 12.35 10.89 Gamma HHI 0.11 0.05 0.68 0.05 0.06 Net GEX 16.1M -1.1M 80.4M 7.3M 11.2M Net DEX -1.57B -2.56B -224.9M -648.9M -1.65B Net VEX -5.2M -5.4M -4.9M -5.1M -5.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.24 1.12 0.88 0.57 Total Volume 97,097.857 36,239 293,544 51,004 62,102 Total OI 554,311.095 490,826 625,235 490,826 505,806
Daily Data (21 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 2021-11-01 $76.46 $85.00 60.4% 20.5% 48.7% 50.6% 74.9% 4.4% -1.5% 7.3M -648.9M -5.1M 0.88 12.35 N/A N/A 27,095 23,909 265,021 225,805 2021-11-02 $74.61 $85.00 63.3% 21.5% 49.8% 62.5% 78.3% 4.6% -3.9% 5.7M -531.8M -5.1M 0.92 11.94 N/A N/A 18,894 17,345 274,269 237,212 2021-11-03 $76.74 $85.00 67.1% 23.2% 50.4% 74.9% 86.5% 6.5% -3.0% 7.3M -667.7M -5.3M 0.85 10.36 N/A N/A 21,369 18,186 279,281 246,900 2021-11-04 $72.60 $75.00 69.3% 17.9% 54.0% 81.9% 63.9% 4.3% -1.0% 412.4K -409.3M -5.2M 0.65 27.13 N/A N/A 30,158 19,557 282,685 255,281 2021-11-05 $68.83 $75.00 77.6% 19.7% 57.3% 100.0% 70.3% 5.1% -3.9% -1.1M -224.9M -5.1M 1.12 16.80 N/A N/A 45,442 50,718 286,624 257,830 2021-11-08 $88.97 $75.00 54.6% 15.3% 108.1% 33.4% 55.4% 0.6% -1.2% 14.5M -1.54B -5.3M 0.42 7.22 N/A N/A 187,443 77,915 286,815 265,256 2021-11-09 $97.63 $75.00 56.8% 15.8% 111.8% 40.0% 57.0% -3.8% -2.7% 20.8M -2.08B -5.2M 0.24 9.42 N/A N/A 237,314 56,230 305,312 289,393 2021-11-10 $88.83 $80.00 51.4% 14.8% 117.6% 24.2% 53.8% -0.5% -0.3% 14.9M -1.40B -5.3M 0.51 15.34 N/A N/A 71,568 36,276 321,541 295,868 2021-11-11 $91.00 $80.00 50.7% 14.7% 117.7% 22.2% 53.1% -2.3% 1.0% 16.7M -1.57B -5.2M 0.38 20.70 N/A N/A 43,601 16,515 321,502 300,778 2021-11-12 $100.27 $80.00 53.8% 15.4% 121.8% 31.1% 54.2% -1.5% 0.2% 80.4M -2.27B -4.9M 0.29 10.92 N/A N/A 205,449 60,406 323,620 301,615 2021-11-15 $105.55 $100.00 55.8% 16.0% 122.5% 36.8% 56.9% -1.2% -1.6% 19.6M -2.25B -5.2M 0.36 7.42 N/A N/A 98,812 35,716 297,103 271,913 2021-11-16 $111.80 $100.00 55.6% 15.9% 123.5% 36.5% 57.0% -1.0% 0.7% 18.8M -2.56B -5.1M 0.34 8.97 N/A N/A 80,434 27,547 302,467 281,716 2021-11-17 $107.69 $100.00 54.3% 15.6% 124.4% 32.7% 55.5% -1.3% -0.8% 19.6M -2.27B -5.2M 0.52 8.44 N/A N/A 50,278 26,069 304,588 287,914 2021-11-18 $105.29 $100.00 52.8% 15.2% 125.1% 28.4% 54.2% -0.7% -1.3% 16.8M -2.09B -5.3M 0.50 12.51 N/A N/A 47,129 23,785 307,966 291,867 2021-11-19 $108.08 $100.00 53.6% 15.5% 119.2% 30.7% 55.4% -1.1% -1.2% 16.1M -2.27B -5.3M 0.49 10.57 N/A N/A 49,864 24,352 315,652 293,879 2021-11-22 $103.15 $100.00 55.5% 16.3% 121.3% 36.1% 58.0% -0.1% -1.4% 13.1M -1.62B -5.4M 0.86 9.70 N/A N/A 40,620 34,828 269,165 232,962 2021-11-23 $102.55 $100.00 57.2% 17.0% 121.5% 41.0% 60.2% -0.9% -1.1% 10.6M -1.59B -5.3M 0.96 11.53 N/A N/A 24,099 23,137 271,715 242,705 2021-11-24 $106.20 $100.00 56.9% 16.5% 119.2% 40.0% 58.4% -1.8% 3.4% 15.8M -1.80B -5.3M 0.67 11.24 N/A N/A 23,335 15,702 273,041 247,972 2021-11-26 $104.72 $100.00 61.1% 17.8% 119.7% 52.3% 63.5% -1.2% -1.8% 17.1M -1.68B -5.4M 0.88 11.25 N/A N/A 19,337 16,992 274,809 249,515 2021-11-29 $107.39 $100.00 56.8% 16.7% 119.4% 39.8% 59.3% 0.8% 0.8% 11.8M -1.82B -5.2M 0.55 10.14 N/A N/A 31,904 17,623 259,122 236,048 2021-11-30 $104.43 $100.00 60.1% 18.0% 120.5% 49.5% 63.9% 0.0% 0.7% 11.2M -1.65B -5.4M 0.57 10.89 N/A N/A 39,482 22,620 266,617 239,189
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