TTD Options History — January 2022

In January 2022, TTD traded between $60.11 and $89.73. ATM implied volatility averaged 73.3%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 12.0% (HV 20d: 61.3%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2022-01-21: Highest Volume — 76,249 contracts
  • 2022-01-18: Largest IV spike — 19.6% change
  • 2022-01-21: Highest IV Rank — 100.0%
  • 2022-01-25: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.03$60.11$89.73$89.73$68.93
Max Pain$80.25$70.00$85.00$70.00$75.00
ATM IV73.3%53.1%95.1%53.1%84.0%
Expected Move22.2%14.9%28.4%14.9%26.3%
HV 20d61.3%49.5%83.3%49.5%83.3%
HV 60d87.2%83.1%92.3%83.1%92.3%
IV Rank72.1%29.1%100.0%29.1%78.7%
IV Percentile81.9%33.3%100.0%33.3%97.6%
Term Structure-0.4%-9.4%11.2%0.3%-0.3%
VWIV77.5%54.2%98.0%54.2%91.5%
Skew 25d7.1%4.1%11.5%4.1%11.1%
Skew 10d15.7%6.2%25.9%10.9%23.0%
Call IV 25d70.4%52.7%90.8%52.7%78.0%
Put IV 25d77.6%56.8%99.4%56.8%89.2%
Bid-Ask Spread %10.542.8620.063.1013.02
Gamma HHI0.050.030.290.040.04
Net GEX819.2K-6.6M6.7M5.2M1.7M
Net DEX-291.0M-917.8M238.1M-917.8M-159.1M
Net VEX-3.9M-4.3M-3.2M-4.3M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.491.420.990.84
Total Volume44,236.527,34676,24937,75147,600
Total OI429,309309,238497,683438,949309,238

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$89.73$70.0053.1%14.9%49.5%29.1%54.2%4.1%0.3%5.2M-917.8M-4.3M0.993.10N/AN/A18,93718,814228,252210,697
2022-01-04$85.15$70.0055.9%16.0%52.8%37.4%57.5%4.5%0.1%1.3M-700.0M-4.2M0.682.86N/AN/A29,55220,195231,863217,954
2022-01-05$79.76$70.0059.5%17.2%51.2%47.8%62.4%6.1%1.1%11.3K-466.1M-4.2M0.814.11N/AN/A23,35818,850241,304223,198
2022-01-06$77.00$85.0060.0%20.0%50.8%49.1%69.1%8.3%-0.5%-716.8K-351.8M-4.1M1.4218.52N/AN/A19,61227,842247,634226,949
2022-01-07$79.04$85.0059.6%19.4%52.2%48.0%68.5%6.2%-2.8%-1.2M-443.3M-4.2M0.5917.45N/AN/A36,24521,506252,992229,021
2022-01-10$80.55$85.0063.8%20.2%53.1%60.0%70.8%4.9%6.8%3.5M-574.9M-4.2M0.7819.30N/AN/A22,17017,216245,162221,157
2022-01-11$84.79$85.0060.1%19.4%56.9%49.3%67.8%5.3%7.5%6.7M-797.9M-4.3M0.5113.07N/AN/A32,79816,779249,565224,000
2022-01-12$82.46$85.0062.1%20.2%55.8%55.1%69.8%6.8%6.6%5.6M-677.5M-4.2M0.7420.06N/AN/A23,52717,351254,245226,929
2022-01-13$76.48$85.0063.1%20.8%59.8%58.2%73.6%5.5%10.9%457.6K-383.6M-4.1M0.5315.00N/AN/A32,66617,342260,047230,172
2022-01-14$75.56$85.0064.5%20.6%58.1%62.2%72.3%4.3%11.2%-466.2K-332.1M-4.0M0.608.72N/AN/A29,04317,413266,531231,152
2022-01-18$70.72$85.0077.2%22.4%60.5%98.9%78.0%6.4%-8.5%-639.6K-173.3M-3.7M0.776.10N/AN/A24,56718,972252,214225,555
2022-01-19$69.89$85.0075.7%21.7%60.4%94.7%76.8%5.3%-5.7%-248.3K-99.5M-3.7M0.607.56N/AN/A29,54817,702254,279228,800
2022-01-20$67.99$80.0074.6%21.6%55.8%91.5%75.8%7.8%-6.5%-1.1M14.3M-3.6M0.598.19N/AN/A24,84414,639252,664230,693
2022-01-21$60.11$80.0086.3%25.2%66.8%100.0%86.0%10.8%-4.4%-6.6M238.1M-3.2M0.624.13N/AN/A47,09729,152256,322231,389
2022-01-24$64.56$80.0095.1%27.4%72.2%100.0%96.3%6.3%-9.4%1.1M-47.1M-3.6M0.497.85N/AN/A31,43015,392179,477132,641
2022-01-25$63.37$80.0094.3%28.4%71.2%98.4%98.0%9.4%-4.6%976.0K-29.2M-3.5M0.5710.82N/AN/A17,4449,902183,781136,121
2022-01-26$61.27$80.0092.5%27.5%71.3%94.9%92.4%11.1%-3.4%480.1K22.6M-3.4M0.6513.42N/AN/A19,75612,837187,814138,238
2022-01-27$60.56$80.0093.3%27.7%71.3%96.5%95.4%7.0%-2.2%-88.3K54.0M-3.4M0.629.33N/AN/A18,21411,230192,841141,431
2022-01-28$62.78$75.0090.9%26.8%72.8%91.9%93.3%11.5%-4.0%426.7K3.3M-3.5M0.758.20N/AN/A18,91214,276192,621141,237
2022-01-31$68.93$75.0084.0%26.3%83.3%78.7%91.5%11.1%-0.3%1.7M-159.1M-3.8M0.8413.02N/AN/A25,89721,703175,018134,220