CRWD Options History — November 2019

In November 2019, CRWD traded between $45.83 and $59.90. ATM implied volatility averaged 74.9%. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 0.8% (HV 20d: 75.7%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2019-11-15: Highest Volume — 28,632 contracts
  • 2019-11-06: Largest IV spike — 13.2% change
  • 2019-11-29: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.33$45.83$59.90$48.75$57.94
Max Pain$60.13$60.00$62.50$62.50$60.00
ATM IV74.9%64.7%78.2%64.7%74.7%
Expected Move21.5%18.0%23.6%18.0%23.6%
HV 20d75.7%67.2%82.5%81.9%67.2%
HV 60d83.4%79.2%86.7%82.2%85.5%
Term Structure-3.1%-5.3%-0.2%-0.2%-4.2%
VWIV74.5%61.2%82.6%61.2%82.6%
Skew 25d6.0%2.3%8.8%4.8%6.7%
Skew 10d10.8%-0.6%18.1%17.4%18.1%
Call IV 25d72.3%62.9%75.8%62.9%72.8%
Put IV 25d78.3%67.8%82.5%67.8%79.5%
Bid-Ask Spread %22.5812.6733.6018.6812.67
Gamma HHI0.080.050.500.080.07
Net GEX1.3M-725.1K8.2M406.8K2.2M
Net DEX22.7M-86.6M102.8M83.4M-51.2M
Net VEX-556.7K-680.2K-398.3K-448.6K-661.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.300.760.420.33
Total Volume8,398.83,84428,6328,17411,877
Total OI107,745.6599,744123,540108,946106,477

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$48.75$62.5064.7%18.0%81.9%0.0%61.2%4.8%-0.2%406.8K83.4M-448.6K0.4218.685,7432,43163,39445,552
2019-11-04$49.79$60.0068.8%20.5%77.3%0.0%73.6%2.3%-1.9%195.7K72.8M-461.6K0.4330.053,3931,46158,91942,298
2019-11-05$48.80$60.0067.1%20.3%76.6%0.0%70.9%5.9%-1.4%168.2K80.7M-439.5K0.6230.012,4431,51760,78743,028
2019-11-06$48.00$60.0076.0%20.8%76.2%0.0%72.6%4.3%-1.7%-101.8K87.5M-426.1K0.3929.432,7591,08561,89243,870
2019-11-07$45.83$60.0075.9%21.0%77.0%0.0%70.4%5.8%-3.3%-725.1K102.8M-398.3K0.5728.035,0422,85863,42044,565
2019-11-08$46.36$60.0074.8%20.2%77.5%0.0%70.3%6.0%-2.0%-556.2K99.2M-409.8K0.5625.843,1141,75764,47245,082
2019-11-11$46.22$60.0076.1%21.1%67.8%0.0%73.3%7.2%-1.9%-312.9K89.8M-432.0K0.7625.942,8042,13965,00644,111
2019-11-12$47.19$60.0076.6%20.7%67.8%0.0%71.7%8.8%-5.3%-205.0K83.0M-460.6K0.6133.602,8431,73066,54745,427
2019-11-13$51.95$60.0076.4%21.0%73.9%0.0%73.7%7.1%-2.9%1.2M32.3M-551.8K0.3424.4012,1194,15967,42446,082
2019-11-14$52.86$60.0078.2%21.5%73.5%0.0%74.2%5.9%-4.1%2.0M11.0M-590.6K0.3324.4111,5123,79872,03347,084
2019-11-15$59.90$60.0074.9%20.9%79.8%0.0%72.4%5.1%-3.5%8.2M-86.6M-680.2K0.3821.2020,6747,95874,93348,607
2019-11-18$57.14$60.0077.4%21.8%82.5%0.0%76.0%4.9%-1.6%1.7M-40.5M-679.7K0.4118.035,6782,32958,94540,799
2019-11-19$55.93$60.0076.5%21.8%81.7%0.0%76.4%5.3%-3.2%1.7M-25.2M-660.5K0.3018.536,9922,07160,50141,434
2019-11-20$54.98$60.0077.8%22.3%80.7%0.0%76.5%6.4%-3.9%1.7M-16.0M-652.4K0.3117.185,4061,68762,63742,308
2019-11-21$53.64$60.0078.0%22.5%77.6%0.0%77.0%7.5%-3.3%1.6M-401.1K-630.6K0.4116.163,8741,59864,61943,075
2019-11-22$54.02$60.0077.2%22.6%76.7%0.0%77.4%6.6%-4.9%2.5M-7.3M-638.5K0.5118.973,6751,89066,12543,752
2019-11-25$55.75$60.0076.5%23.4%75.0%0.0%81.2%6.5%-3.9%1.4M-20.5M-643.9K0.4320.623,0241,30059,79642,049
2019-11-26$55.42$60.0075.8%23.5%74.9%0.0%80.3%6.9%-4.7%1.4M-15.4M-629.5K0.3320.676,4432,12860,51742,559
2019-11-27$56.12$60.0074.9%22.9%68.7%0.0%78.7%5.9%-4.4%1.8M-25.5M-638.5K0.4617.133,2051,46061,56243,225
2019-11-29$57.94$60.0074.7%23.6%67.2%0.0%82.6%6.7%-4.2%2.2M-51.2M-661.2K0.3312.678,9032,97462,69943,778