TTD Options History — November 2022

In November 2022, TTD traded between $39.62 and $53.63. ATM implied volatility averaged 74.5%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 10.7% (HV 20d: 85.2%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2022-11-09: Highest Volume — 102,531 contracts
  • 2022-11-09: Largest IV drop — 32.3% change
  • 2022-11-08: Highest IV Rank — 79.7%
  • 2022-11-02: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.52$39.62$53.63$53.30$51.33
Max Pain$56.62$54.00$60.00$60.00$54.00
ATM IV74.5%60.2%105.8%85.3%60.2%
Expected Move21.6%17.8%30.1%28.5%18.8%
HV 20d85.2%55.8%100.6%55.8%100.6%
HV 60d66.5%49.9%82.1%81.0%71.2%
IV Rank33.7%12.4%79.7%50.1%12.4%
IV Percentile43.8%9.1%98.8%71.0%9.1%
Term Structure-1.4%-7.6%1.7%-2.6%1.5%
VWIV75.2%60.7%103.8%98.4%65.4%
Skew 25d8.5%6.5%10.2%10.0%6.9%
Skew 10d16.0%11.4%19.6%18.4%13.5%
Call IV 25d70.7%57.8%99.9%79.3%57.9%
Put IV 25d79.2%64.8%109.5%89.3%64.8%
Bid-Ask Spread %6.483.5312.653.997.23
Gamma HHI0.050.030.210.030.06
Net GEX385.6K-3.4M4.6M245.1K4.6M
Net DEX82.1M-92.9M327.7M38.6M-41.3M
Net VEX-2.1M-2.4M-1.4M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.391.871.010.47
Total Volume38,662.197,736102,53119,28721,218
Total OI384,118.19338,377452,408338,377375,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$53.30$60.0085.3%28.5%55.8%50.1%98.4%10.0%-2.6%245.1K38.6M-2.4M1.013.99N/AN/A9,6049,683176,838161,539
2022-11-02$49.92$60.0087.9%30.1%59.1%53.8%103.8%9.2%-3.0%-1.3M124.4M-2.2M1.035.59N/AN/A11,98512,394179,783162,083
2022-11-03$49.42$60.0090.5%24.1%59.1%57.6%87.1%10.2%-3.0%-2.0M136.4M-2.2M1.8710.11N/AN/A11,11720,819184,746165,150
2022-11-04$46.03$60.0098.7%26.3%57.8%69.4%91.1%9.7%-5.4%-1.5M216.2M-2.0M0.708.11N/AN/A22,67915,907189,947173,802
2022-11-07$43.68$60.00103.5%27.4%59.4%76.2%95.6%9.1%-6.0%-1.5M204.8M-1.8M0.8412.65N/AN/A29,19424,389183,744164,573
2022-11-08$43.39$60.00105.8%27.9%57.4%79.7%98.0%9.6%-7.6%-1.2M202.0M-1.9M0.624.87N/AN/A50,98431,441199,917171,971
2022-11-09$39.62$60.0071.7%20.6%63.7%30.3%71.6%6.5%-0.1%-3.4M327.7M-1.4M0.564.53N/AN/A65,76236,769228,406189,408
2022-11-10$47.76$55.0068.8%19.9%95.8%26.2%70.6%6.6%0.7%893.3K74.5M-2.1M0.624.83N/AN/A43,16426,846254,078191,040
2022-11-11$49.06$55.0067.4%19.7%95.3%24.1%66.7%7.7%1.7%-1.3M54.4M-2.1M0.457.20N/AN/A44,67920,061257,220195,188
2022-11-14$48.07$55.0068.5%19.8%91.1%24.6%69.3%9.8%-0.3%273.8K95.1M-2.0M0.6910.43N/AN/A15,00410,395223,760168,944
2022-11-15$53.63$55.0068.1%19.6%99.2%24.0%67.1%9.1%-1.7%4.1M-92.9M-2.4M0.398.56N/AN/A52,28320,502228,665171,564
2022-11-16$50.89$55.0070.2%20.1%100.6%27.0%68.6%8.7%-1.2%1.5M10.6M-2.3M0.625.92N/AN/A21,54913,450242,520174,813
2022-11-17$49.91$55.0069.7%20.0%100.3%26.3%70.9%8.9%-0.1%963.5K39.6M-2.2M0.596.65N/AN/A17,55310,305245,575175,334
2022-11-18$49.82$55.0068.0%19.5%100.2%23.9%68.4%8.6%0.3%621.5K32.8M-2.2M0.907.96N/AN/A10,7319,647251,966176,788
2022-11-21$48.26$55.0066.6%19.0%100.5%21.7%64.8%8.6%-1.4%42.9K79.7M-2.1M0.643.53N/AN/A12,4057,992202,316157,318
2022-11-22$48.48$55.0064.8%18.7%99.2%19.1%65.7%8.9%-0.5%244.0K69.5M-2.1M0.874.71N/AN/A13,70211,917206,866158,532
2022-11-23$49.55$55.0061.5%17.8%98.9%14.2%60.7%7.9%-0.7%1.7M24.6M-2.1M0.555.22N/AN/A18,14310,016211,881157,767
2022-11-25$49.31$55.0062.2%17.8%98.4%15.3%61.1%7.8%-1.0%2.0M35.0M-2.1M0.394.75N/AN/A5,5682,168216,014159,938
2022-11-28$48.96$55.0062.4%19.0%98.4%15.6%66.5%7.3%0.5%1.2M43.2M-2.1M0.435.25N/AN/A16,5067,019206,514153,135
2022-11-29$48.55$55.0062.3%19.1%98.4%15.4%67.7%8.3%-0.3%2.0M48.8M-2.1M0.424.07N/AN/A11,4894,867215,062156,352
2022-11-30$51.33$54.0060.2%18.8%100.6%12.4%65.4%6.9%1.5%4.6M-41.3M-2.2M0.477.23N/AN/A14,4186,800216,417159,008