TTD Options History — December 2022

In December 2022, TTD traded between $43.09 and $54.47. ATM implied volatility averaged 63.0%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 11.1% (HV 20d: 74.1%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2022-12-05: Highest Volume — 36,229 contracts
2022-12-27: Largest IV spike — 7.6% change
2022-12-28: Highest IV Rank — 22.5%
2022-12-07: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.48	$43.09	$54.47	$52.16	$44.67
Max Pain	$52.38	$50.00	$54.00	$51.00	$50.00
ATM IV	63.0%	58.7%	67.1%	59.8%	65.0%
Expected Move	18.1%	17.2%	18.9%	18.6%	17.9%
HV 20d	74.1%	56.4%	100.0%	97.9%	66.0%
HV 60d	74.0%	70.9%	76.3%	70.9%	75.5%
IV Rank	16.5%	10.1%	22.5%	11.8%	19.4%
IV Percentile	15.9%	6.3%	28.2%	7.9%	21.4%
Term Structure	1.4%	-1.5%	3.1%	0.6%	2.6%
VWIV	62.3%	50.3%	66.5%	64.9%	64.2%
Skew 25d	6.7%	5.4%	9.2%	6.5%	8.1%
Skew 10d	12.7%	9.2%	17.0%	12.9%	16.2%
Call IV 25d	60.0%	56.7%	63.2%	56.7%	60.8%
Put IV 25d	66.7%	62.1%	71.7%	63.2%	68.9%
Bid-Ask Spread %	3.37	2.13	6.76	3.87	2.35
Gamma HHI	0.06	0.04	0.08	0.05	0.08
Net GEX	-30.6K	-3.8M	6.4M	5.1M	544.8K
Net DEX	77.8M	-172.4M	188.2M	-73.0M	103.0M
Net VEX	-2.0M	-2.4M	-1.7M	-2.3M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.29	2.25	0.29	0.65
Total Volume	23,922.524	14,329	36,229	19,929	14,329
Total OI	391,722.381	359,418	411,221	379,399	390,146

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
2022-12-01	$52.16	$51.00	59.8%	18.6%	97.9%	11.8%	64.9%	6.5%	0.6%	5.1M	-73.0M	-2.3M	0.29	3.87	N/A	N/A	15,419	4,510	219,016	160,383
2022-12-02	$54.47	$51.00	58.7%	17.8%	98.9%	10.1%	62.2%	5.4%	2.7%	6.4M	-172.4M	-2.4M	0.50	2.99	N/A	N/A	21,394	10,673	226,622	162,082
2022-12-05	$50.69	$54.00	62.4%	18.4%	98.9%	15.5%	66.4%	6.0%	2.2%	2.1M	-9.2M	-2.2M	0.47	4.67	N/A	N/A	24,662	11,567	219,466	160,013
2022-12-06	$47.50	$54.00	65.1%	18.9%	100.0%	19.5%	64.8%	6.8%	1.6%	-239.5K	98.9M	-2.0M	1.31	2.58	N/A	N/A	13,315	17,394	229,083	165,871
2022-12-07	$47.65	$54.00	64.5%	18.9%	99.9%	18.6%	66.5%	6.3%	0.6%	-713.0K	98.2M	-2.1M	1.42	2.59	N/A	N/A	8,657	12,334	230,954	171,886
2022-12-08	$48.39	$54.00	63.4%	18.3%	93.3%	17.1%	63.4%	5.4%	1.4%	-129.5K	67.1M	-2.1M	0.74	2.56	N/A	N/A	11,603	8,571	233,374	173,511
2022-12-09	$48.06	$54.00	62.8%	18.3%	66.0%	16.1%	63.6%	5.9%	2.5%	-2.1M	82.6M	-2.1M	0.75	6.35	N/A	N/A	10,651	7,978	235,824	174,603
2022-12-12	$49.27	$54.00	65.8%	18.8%	65.9%	20.5%	65.3%	7.0%	-0.6%	440.6K	37.6M	-2.1M	0.44	2.13	N/A	N/A	12,937	5,643	225,971	167,508
2022-12-13	$52.08	$54.00	61.2%	17.6%	68.2%	13.8%	61.7%	6.3%	-0.2%	3.5M	-62.5M	-2.2M	0.80	4.33	N/A	N/A	12,210	9,790	231,946	168,911
2022-12-14	$50.66	$54.00	61.5%	17.2%	56.4%	14.2%	59.8%	6.0%	-1.5%	1.5M	2.7M	-2.1M	0.69	6.76	N/A	N/A	14,702	10,206	233,395	172,738
2022-12-15	$46.61	$54.00	62.2%	17.9%	60.9%	15.3%	62.3%	6.7%	0.5%	-2.7M	151.6M	-1.9M	1.05	3.96	N/A	N/A	12,802	13,496	230,642	174,789
2022-12-16	$45.62	$53.00	64.2%	18.4%	61.0%	18.2%	62.5%	6.3%	-0.3%	-3.8M	175.6M	-1.9M	1.20	4.28	N/A	N/A	12,667	15,250	233,944	177,277
2022-12-19	$44.08	$53.00	63.7%	18.3%	61.9%	17.5%	62.7%	6.5%	1.5%	-2.8M	188.2M	-1.7M	0.48	2.32	N/A	N/A	15,952	7,673	195,735	163,683
2022-12-20	$46.72	$52.00	62.5%	17.9%	65.1%	15.8%	65.6%	6.2%	1.3%	-1.3M	101.0M	-1.9M	1.46	2.80	N/A	N/A	12,515	18,216	206,025	164,439
2022-12-21	$46.44	$52.00	60.3%	17.3%	65.1%	12.4%	58.9%	5.9%	3.1%	-1.7M	109.7M	-1.9M	0.92	2.38	N/A	N/A	11,611	10,624	211,834	174,573
2022-12-22	$44.64	$51.00	62.6%	17.9%	65.7%	16.0%	62.3%	6.6%	2.1%	-2.5M	163.3M	-1.8M	0.78	4.27	N/A	N/A	12,193	9,486	215,651	174,549
2022-12-23	$44.77	$51.00	61.1%	17.2%	65.8%	13.7%	58.6%	6.0%	2.9%	382.7K	160.9M	-1.8M	0.50	2.20	N/A	N/A	12,122	6,066	220,648	176,439
2022-12-27	$43.97	$50.00	65.8%	18.2%	65.9%	20.6%	62.0%	9.2%	2.8%	-1.4M	160.7M	-1.7M	0.65	2.56	N/A	N/A	12,219	7,895	211,866	168,132
2022-12-28	$43.09	$50.00	67.1%	18.6%	66.1%	22.5%	50.3%	8.4%	2.0%	-1.7M	177.4M	-1.7M	2.25	2.45	N/A	N/A	10,972	24,686	217,597	170,644
2022-12-29	$45.61	$50.00	63.3%	17.4%	66.3%	16.9%	59.9%	8.7%	2.4%	419.4K	73.3M	-1.8M	0.47	2.41	N/A	N/A	11,813	5,570	219,218	165,182
2022-12-30	$44.67	$50.00	65.0%	17.9%	66.0%	19.4%	64.2%	8.1%	2.6%	544.8K	103.0M	-1.8M	0.65	2.35	N/A	N/A	8,666	5,663	223,252	166,894