TTD Options History — March 2024

In March 2024, TTD traded between $77.15 and $87.78. ATM implied volatility averaged 35.5%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 14.5% (HV 20d: 50.1%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2024-03-20: Highest Volume — 47,447 contracts
2024-03-19: Largest IV drop — 6.3% change
2024-03-05: Highest IV Rank — 9.9%
2024-03-05: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.67	$77.15	$87.78	$84.11	$87.78
Max Pain	$76.40	$75.00	$80.00	$75.00	$80.00
ATM IV	35.5%	33.4%	37.7%	36.5%	33.4%
Expected Move	10.2%	9.1%	10.9%	10.4%	9.1%
HV 20d	50.1%	27.2%	66.9%	66.9%	30.1%
HV 60d	47.7%	47.0%	48.3%	47.6%	47.4%
IV Rank	4.8%	0.0%	9.9%	7.0%	0.0%
IV Percentile	8.5%	0.0%	23.4%	13.1%	0.0%
Term Structure	0.7%	-0.6%	3.9%	-0.6%	0.7%
VWIV	35.9%	32.4%	38.4%	36.7%	32.4%
Skew 25d	0.1%	-6.9%	1.1%	-0.6%	1.0%
Skew 10d	0.9%	-3.4%	4.9%	-0.7%	2.2%
Call IV 25d	36.3%	33.1%	44.4%	38.0%	33.1%
Put IV 25d	36.4%	34.1%	39.0%	37.3%	34.1%
Bid-Ask Spread %	16.98	6.72	41.51	18.81	7.04
Gamma HHI	0.07	0.04	0.12	0.10	0.11
Net GEX	6.7M	-5.1M	20.0M	15.1M	20.0M
Net DEX	-304.8M	-499.9M	-62.3M	-448.6M	-499.9M
Net VEX	-3.4M	-3.7M	-3.2M	-3.3M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.31	1.41	0.43	1.16
Total Volume	21,063.85	10,090	47,447	43,735	12,999
Total OI	293,725.65	242,811	316,798	316,798	295,626

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
2024-03-01	$84.11	$75.00	36.5%	10.4%	66.9%	7.0%	36.7%	-0.6%	-0.6%	15.1M	-448.6M	-3.3M	0.43	18.81	N/A	N/A	30,531	13,204	170,035	146,763
2024-03-04	$83.41	$75.00	36.7%	10.7%	66.5%	7.6%	37.5%	-6.9%	1.0%	9.7M	-368.3M	-3.3M	0.45	38.18	N/A	N/A	11,729	5,245	154,404	142,556
2024-03-05	$81.32	$75.00	37.7%	10.9%	65.5%	9.9%	38.4%	1.0%	0.3%	5.4M	-255.4M	-3.3M	0.93	38.17	N/A	N/A	8,440	7,832	155,788	144,923
2024-03-06	$82.21	$75.00	37.4%	10.8%	65.4%	9.3%	38.4%	0.5%	0.5%	6.7M	-291.8M	-3.3M	0.91	37.41	N/A	N/A	6,733	6,103	157,123	148,661
2024-03-07	$82.03	$75.00	36.9%	10.7%	65.4%	8.0%	37.6%	0.2%	0.5%	5.6M	-269.8M	-3.3M	0.51	38.89	N/A	N/A	11,040	5,579	157,645	151,194
2024-03-08	$81.63	$75.00	37.2%	10.7%	65.5%	8.8%	37.6%	0.5%	-0.5%	2.1M	-237.5M	-3.3M	1.41	7.54	N/A	N/A	11,161	15,746	158,308	153,581
2024-03-11	$81.63	$75.00	37.0%	10.7%	65.5%	8.2%	37.6%	0.4%	0.3%	2.5M	-250.5M	-3.3M	0.54	41.51	N/A	N/A	9,288	5,010	142,371	152,163
2024-03-12	$80.78	$75.00	35.5%	10.5%	64.9%	4.7%	36.3%	0.9%	0.8%	1.4M	-207.7M	-3.3M	0.42	9.97	N/A	N/A	10,248	4,301	146,133	154,412
2024-03-13	$80.38	$75.00	35.2%	10.2%	64.4%	4.0%	35.9%	0.2%	0.5%	760.2K	-193.9M	-3.3M	0.36	12.48	N/A	N/A	11,452	4,095	148,511	155,114
2024-03-14	$77.31	$75.00	35.8%	10.4%	65.8%	5.4%	36.9%	1.1%	0.7%	-2.3M	-62.3M	-3.2M	0.71	8.48	N/A	N/A	15,729	11,108	152,279	155,972
2024-03-15	$77.15	$75.00	35.1%	10.2%	65.4%	3.6%	35.8%	0.9%	0.6%	-5.1M	-88.5M	-3.3M	0.92	7.56	N/A	N/A	11,511	10,604	157,157	155,535
2024-03-18	$78.80	$75.00	36.4%	10.4%	35.6%	6.9%	36.8%	0.2%	1.3%	26.0K	-127.0M	-3.3M	0.47	6.96	N/A	N/A	19,173	9,011	113,344	129,467
2024-03-19	$79.69	$77.50	34.1%	9.8%	27.2%	1.4%	34.6%	0.6%	0.9%	3.1M	-171.5M	-3.5M	0.70	6.72	N/A	N/A	8,081	5,687	127,105	135,993
2024-03-20	$83.41	$77.50	35.0%	10.0%	31.8%	3.4%	35.4%	-0.7%	0.6%	9.8M	-340.7M	-3.5M	0.66	10.12	N/A	N/A	28,619	18,828	130,588	138,255
2024-03-21	$85.16	$77.50	34.0%	9.7%	31.9%	1.1%	34.6%	-0.1%	0.6%	15.0M	-441.2M	-3.6M	0.82	18.98	N/A	N/A	11,244	9,245	142,513	146,966
2024-03-22	$84.82	$77.50	33.7%	9.6%	31.2%	0.4%	33.8%	0.5%	0.6%	9.7M	-425.0M	-3.7M	0.80	8.86	N/A	N/A	9,323	7,475	144,830	148,472
2024-03-25	$87.50	$78.00	34.9%	10.0%	32.9%	3.3%	34.8%	0.8%	3.9%	9.8M	-479.6M	-3.6M	0.31	7.25	N/A	N/A	18,408	5,707	135,858	143,014
2024-03-26	$87.18	$80.00	34.5%	9.7%	30.1%	2.4%	33.8%	0.8%	0.9%	12.6M	-477.6M	-3.7M	0.66	7.91	N/A	N/A	12,489	8,209	142,435	145,356
2024-03-27	$87.03	$80.00	33.9%	9.4%	30.0%	0.8%	32.9%	1.1%	0.8%	12.9M	-459.4M	-3.7M	0.62	6.83	N/A	N/A	6,232	3,858	145,731	148,332
2024-03-28	$87.78	$80.00	33.4%	9.1%	30.1%	0.0%	32.4%	1.0%	0.7%	20.0M	-499.9M	-3.7M	1.16	7.04	N/A	N/A	6,018	6,981	146,535	149,091