Markets with continued bid support form buyers although with decreased internal breadth readings and notably low bearish sentiment data. Rotational trends in place with volatility metrics decreasing implying less hedging and price action movement. There are still individual components still providing opportunities but limited with less high impact economic events + low corporate news flow. More risk-off, less aggressive, selective for active trading. For portfolio management it is choppy market overall with rotational buyers in control. Cash, bonds, and decreased position sized active management is prudent into 3Q21 and 2H21.
Fundamental Analysis
The Trade Desk received a strong investor bid inflow among other advertising stocks after Google announced that it was delaying the phase-out third party cookies on Chrome until 2023. The core business model of TTD's technology platform for ad buyers already uses other solutions not relying on cookies which may have been understood by investors strong BID on the announcement. Although the company is certainly positioned well for the future it may be seen as one of the leading companies in the space. The 10 for 1 split also took place a few days prior so share structure may have also played a role.
Quantitative Analysis
Intraday Fundamentals
RVOL 3.71
AVOL 9.51M
ATR 3.25
Short Float 4.27%
Shs Float 392.15M
Inst Own 69.70%
Market Cap 36.85B
Options Statistics + Tape Reading
SI 4.83
IV 60.42%
IVP 33%
P/C 0.377
VWAP 74.745
Elevated order flow with momentum on the call side. Notable call buy order at the open.
Noting the call sweep + AA order confirming price action + option order flow momentum.
Dark pool level at 76.02 but no notable dark & lit pool prints.
Options Positioning
OI 1375
VOL 38
Delta -.01
Theta -.02
Vega .00
Gamma .00
Prob T 2.38%
Prob ITM 1.21%
MMM +/- 3.626
IV Series 86.53%
Good positioning within parameters but also more conservative due to the trade setup. Noting the mid/low liquidity and volume. Possibly a dynamic due to not being an earnings trade however a trade still within my playbook.
Technical Analysis
Strong elevated RVOL and momentum on the ASK. IV increasing from a lower range. Price approaching HTF R levels.
LTF strong BID support at the open + at VWAP reclaim after mid-session strong profit taking. Range base compression around 75 and within range of the 76 dark pool level.
Trade/Risk Management & Review
Trade setup executed as planned but given the moderate liquidity and order flow I did not get filled to my attempted position size. (A) setup and (A) execution on my behalf however there may be something I need to adjust in trading environments where there may be less institutional option flows. I have traded TTD before on earnings and that provided great liquidity and position management. This is a breaking news trade less changing fundamentals after review but with investor conviction basing off the price action. Noting the option order flow from institutions may not be confirming this but keeping note for similar future trades.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-06-24 15:52:07 | 25 JUN 21 60 PUT | sell | $0.0300 | short |
2021-06-25 16:00:00 | 25 JUN 21 60 PUT | buy | $0.0000 | 0 |
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