TTD Options History — September 2022

In September 2022, TTD traded between $57.89 and $67.18. ATM implied volatility averaged 70.1%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 11.7% (HV 20d: 58.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2022-09-23: Highest Volume — 43,319 contracts
  • 2022-09-09: Largest IV drop — 8.1% change
  • 2022-09-26: Highest IV Rank — 44.0%
  • 2022-09-27: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.97$57.89$67.18$61.33$60.30
Max Pain$60.48$60.00$65.00$65.00$60.00
ATM IV70.1%61.6%76.8%70.3%76.5%
Expected Move20.2%18.3%22.3%19.7%21.5%
HV 20d58.5%38.9%122.2%122.2%46.4%
HV 60d92.3%89.0%97.5%97.5%89.0%
IV Rank34.6%24.2%44.0%35.5%38.1%
IV Percentile49.9%31.7%59.9%52.4%59.1%
Term Structure0.3%-1.2%1.8%-0.3%1.2%
VWIV70.7%63.4%77.1%68.7%74.7%
Skew 25d9.1%7.5%10.7%8.8%9.6%
Skew 10d17.5%13.0%20.0%16.8%19.1%
Call IV 25d66.2%59.0%72.7%66.7%70.4%
Put IV 25d75.3%66.5%82.3%75.5%80.0%
Bid-Ask Spread %6.733.8214.205.324.43
Gamma HHI0.050.040.080.050.05
Net GEX1.5M-2.2M6.2M-1.5M1.2M
Net DEX-143.8M-348.3M-9.1M-95.9M-118.6M
Net VEX-2.9M-3.0M-2.7M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.531.370.651.03
Total Volume24,704.09514,13043,31925,86232,857
Total OI371,266.286330,253395,646375,721395,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$61.33$65.0070.3%19.7%122.2%35.5%68.7%8.8%-0.3%-1.5M-95.9M-2.9M0.655.32N/AN/A15,71510,147185,754189,967
2022-09-02$61.08$65.0068.1%18.9%121.6%32.7%64.9%8.1%0.5%-602.7K-86.1M-2.9M1.064.34N/AN/A12,16212,896191,580192,005
2022-09-06$60.30$60.0071.2%20.4%121.0%36.7%73.5%9.7%-0.9%-212.8K-70.6M-2.8M1.059.12N/AN/A10,10210,616182,076186,149
2022-09-07$62.44$60.0068.3%19.9%121.3%32.9%71.1%8.9%-0.3%1.2M-146.5M-2.9M0.989.65N/AN/A10,78710,519183,945187,859
2022-09-08$64.25$60.0067.0%19.1%44.3%31.3%70.5%8.0%-0.7%3.3M-223.3M-2.9M1.378.11N/AN/A12,76617,438187,811189,180
2022-09-09$67.14$60.0061.6%18.3%46.7%24.2%63.4%7.5%0.9%6.2M-348.3M-3.0M0.597.27N/AN/A15,8059,257192,087192,628
2022-09-12$67.18$60.0063.0%18.5%44.3%26.0%63.9%7.6%0.9%5.1M-319.5M-2.9M0.617.34N/AN/A10,3206,337182,858186,590
2022-09-13$63.66$60.0065.6%18.8%47.2%29.4%66.8%9.1%0.3%2.2M-171.3M-2.8M0.905.65N/AN/A13,62412,228186,545189,055
2022-09-14$63.62$60.0066.7%19.0%47.2%30.8%68.2%9.2%-0.6%1.9M-169.7M-2.8M0.656.86N/AN/A11,6007,513189,061191,882
2022-09-15$62.39$60.0068.2%20.0%44.3%32.8%67.2%7.9%1.8%660.8K-138.4M-2.8M0.9414.20N/AN/A7,3066,884192,742194,006
2022-09-16$61.63$60.0069.2%20.0%44.3%34.0%68.2%7.6%0.5%1.3M-97.5M-2.8M0.787.44N/AN/A12,5469,730194,330195,867
2022-09-19$63.20$60.0068.9%19.7%41.8%33.7%70.1%10.0%1.4%1.8M-177.3M-2.8M0.704.35N/AN/A9,2236,487167,205163,048
2022-09-20$62.06$60.0069.8%20.0%40.9%34.9%68.7%10.2%0.5%1.6M-145.5M-2.8M0.983.82N/AN/A7,1326,998171,750166,434
2022-09-21$61.65$60.0068.3%19.6%40.9%32.9%70.2%8.8%-0.5%1.8M-131.4M-2.8M1.056.21N/AN/A6,9337,311176,069170,283
2022-09-22$60.15$60.0071.4%20.5%40.9%36.9%72.1%10.2%-1.1%261.0K-75.2M-2.7M1.145.80N/AN/A19,54022,346178,108173,551
2022-09-23$57.89$60.0076.0%21.9%41.4%42.9%76.8%10.7%-1.2%-2.2M-9.1M-2.7M0.539.04N/AN/A28,27715,042186,321184,623
2022-09-26$58.20$60.0076.8%22.2%38.9%44.0%77.1%9.3%0.4%363.0K-48.9M-2.7M0.795.22N/AN/A15,18912,052181,465177,795
2022-09-27$59.34$60.0076.7%22.3%39.8%43.6%76.1%9.4%1.2%1.3M-92.1M-2.8M0.795.25N/AN/A16,28112,799188,805181,805
2022-09-28$63.01$60.0073.2%21.3%45.5%34.6%76.0%9.9%1.5%3.9M-224.8M-3.0M0.785.30N/AN/A15,17011,777194,907186,214
2022-09-29$60.60$60.0076.2%21.7%47.4%38.8%76.0%10.3%0.8%2.4M-129.2M-2.9M0.926.69N/AN/A14,08712,987198,934189,652
2022-09-30$60.30$60.0076.5%21.5%46.4%38.1%74.7%9.6%1.2%1.2M-118.6M-2.9M1.034.43N/AN/A16,16016,697202,218193,428