TTD Options History — September 2023 In September 2023, TTD traded between $74.31 and $86.72. ATM implied volatility averaged 38.6%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.1% (HV 20d: 35.5%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.89.
Notable Days 2023-09-01 : Highest Volume — 23,968 contracts2023-09-25 : Largest IV spike — 5.4% change2023-09-27 : Highest IV Rank — 14.4%2023-09-27 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $80.55 $74.31 $86.72 $79.83 $78.12 Max Pain $70.25 $65.00 $75.00 $75.00 $73.00 ATM IV 38.6% 34.7% 44.9% 36.3% 41.6% Expected Move 11.1% 10.0% 12.7% 10.0% 11.8% HV 20d 35.5% 31.1% 43.7% 42.3% 32.9% HV 60d 42.2% 40.9% 43.6% 40.9% 43.1% IV Rank 4.8% 0.0% 14.4% 0.4% 9.7% IV Percentile 9.5% 0.0% 28.2% 0.8% 17.5% Term Structure 0.8% -0.2% 2.7% 0.7% 2.6% VWIV 38.7% 35.0% 44.2% 35.0% 40.9% Skew 25d 2.6% 1.5% 4.2% 1.7% 3.4% Skew 10d 5.3% 2.7% 8.8% 3.4% 7.5% Call IV 25d 37.5% 33.8% 43.5% 35.3% 40.0% Put IV 25d 40.1% 35.8% 47.4% 37.1% 43.4% Bid-Ask Spread % 3.60 2.03 7.82 2.99 4.06 Gamma HHI 0.10 0.06 0.18 0.13 0.17 Net GEX 5.2M -1.9M 16.4M 13.1M -1.9M Net DEX -307.4M -525.3M -77.7M -350.5M -230.6M Net VEX -2.8M -2.9M -2.7M -2.8M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.21 1.88 0.61 0.79 Total Volume 14,193.2 6,854 23,968 23,968 11,461 Total OI 254,445.4 232,241 269,472 262,812 267,223
Daily Data (20 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 2023-09-01 $79.83 $75.00 36.3% 10.0% 42.3% 0.4% 35.0% 1.7% 0.7% 13.1M -350.5M -2.8M 0.61 2.99 N/A N/A 14,846 9,122 144,933 117,879 2023-09-05 $81.47 $65.00 36.6% 10.9% 42.8% 0.9% 37.6% 1.5% 0.6% 8.3M -368.7M -2.8M 0.80 3.89 N/A N/A 6,102 4,901 132,492 112,439 2023-09-06 $83.33 $65.00 36.7% 10.6% 43.7% 1.0% 37.9% 1.9% 0.3% 11.4M -440.6M -2.8M 0.37 7.82 N/A N/A 9,293 3,431 136,229 114,213 2023-09-07 $84.35 $65.00 37.5% 10.9% 41.6% 2.2% 38.5% 1.8% 0.3% 16.4M -491.2M -2.8M 0.63 3.27 N/A N/A 8,105 5,142 140,585 114,261 2023-09-08 $83.59 $70.00 36.5% 10.6% 34.5% 0.8% 37.2% 1.8% 0.6% 14.8M -457.0M -2.8M 0.67 5.31 N/A N/A 12,405 8,351 143,035 116,978 2023-09-11 $86.72 $70.00 35.7% 10.4% 33.6% 0.0% 36.6% 1.7% 0.6% 10.0M -525.3M -2.9M 0.68 4.93 N/A N/A 10,329 7,048 134,309 115,201 2023-09-12 $85.97 $70.00 36.1% 10.5% 34.1% 0.5% 36.6% 1.6% 0.3% 11.0M -507.7M -2.9M 0.93 4.20 N/A N/A 9,700 9,032 139,325 116,250 2023-09-13 $85.26 $70.00 35.8% 10.4% 33.4% 0.0% 36.4% 1.8% 0.4% 9.1M -466.4M -2.9M 1.14 2.13 N/A N/A 4,523 5,165 142,874 120,913 2023-09-14 $85.66 $70.00 34.7% 10.1% 32.7% 0.0% 35.1% 2.0% 0.4% 9.9M -484.8M -2.9M 0.88 3.07 N/A N/A 5,106 4,494 143,574 123,604 2023-09-15 $83.44 $70.00 35.0% 10.0% 32.8% 0.5% 35.8% 2.5% -0.1% -732.7K -389.2M -2.9M 0.80 2.03 N/A N/A 9,141 7,288 144,998 124,474 2023-09-18 $80.56 $70.00 36.6% 10.5% 35.7% 2.6% 37.1% 2.8% -0.2% 3.7M -268.7M -2.8M 1.79 2.33 N/A N/A 5,481 9,836 124,127 108,114 2023-09-19 $79.25 $70.00 36.9% 10.6% 36.3% 3.2% 37.1% 2.9% 0.2% 657.1K -213.0M -2.8M 1.83 2.30 N/A N/A 4,858 8,906 126,189 114,564 2023-09-20 $78.78 $70.00 38.4% 11.0% 36.2% 5.2% 38.0% 2.6% -0.2% 384.3K -200.1M -2.8M 0.52 2.86 N/A N/A 8,179 4,246 128,128 115,797 2023-09-21 $76.05 $70.00 40.1% 11.5% 35.4% 7.6% 40.0% 3.5% 0.7% -1.1M -113.4M -2.8M 1.88 2.76 N/A N/A 6,780 12,739 135,265 117,570 2023-09-22 $76.76 $70.00 40.8% 11.7% 32.3% 8.6% 41.0% 3.0% 0.3% 72.9K -148.7M -2.8M 0.64 2.78 N/A N/A 5,831 3,714 138,330 118,926 2023-09-25 $74.94 $73.00 43.0% 12.3% 33.0% 11.7% 42.5% 3.9% 2.0% -290.7K -103.8M -2.7M 1.24 3.49 N/A N/A 5,923 7,344 129,255 116,861 2023-09-26 $74.31 $73.00 44.7% 12.6% 33.0% 14.1% 43.7% 4.2% 2.0% -1.2M -77.7M -2.7M 0.58 4.02 N/A N/A 4,342 2,512 130,953 121,989 2023-09-27 $75.05 $73.00 44.9% 12.7% 31.1% 14.4% 44.2% 3.9% 2.7% -681.0K -107.4M -2.7M 0.72 4.07 N/A N/A 5,360 3,874 133,665 123,081 2023-09-28 $77.58 $73.00 43.5% 12.3% 32.8% 12.4% 42.6% 3.9% 1.9% 1.6M -202.7M -2.8M 0.21 3.64 N/A N/A 15,652 3,302 136,449 123,856 2023-09-29 $78.12 $73.00 41.6% 11.8% 32.9% 9.7% 40.9% 3.4% 2.6% -1.9M -230.6M -2.8M 0.79 4.06 N/A N/A 6,401 5,060 142,637 124,586
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