CRWD Options History — December 2019

In December 2019, CRWD traded between $47.37 and $57.38. ATM implied volatility averaged 62.4%. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 3.4% (HV 20d: 59.1%). Max pain ranged from $52.50 to $65.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-12-06: Highest Volume — 39,570 contracts
  • 2019-12-06: Largest IV drop — 19.1% change
  • 2019-12-02: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.23$47.37$57.38$55.17$49.98
Max Pain$57.86$52.50$65.00$60.00$52.50
ATM IV62.4%53.6%86.6%86.6%55.8%
Expected Move18.6%15.4%29.1%29.1%15.7%
HV 20d59.1%45.7%75.2%69.6%45.7%
HV 60d74.9%67.5%81.7%81.7%67.5%
Term Structure-0.2%-4.1%3.1%-3.1%-0.3%
VWIV65.2%53.4%105.4%102.0%54.7%
Skew 25d3.5%0.3%9.7%8.6%3.0%
Skew 10d6.3%-6.2%18.4%16.6%5.8%
Call IV 25d61.0%52.9%80.8%80.8%54.8%
Put IV 25d64.5%54.1%89.4%89.4%57.8%
Bid-Ask Spread %18.917.5731.9917.667.57
Gamma HHI0.090.060.240.070.07
Net GEX778.8K-2.9M4.7M886.0K2.8M
Net DEX25.1M-41.7M96.1M-11.2M-28.0M
Net VEX-589.9K-695.3K-510.1K-633.1K-695.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.261.040.570.33
Total Volume15,449.3814,92839,57016,0398,146
Total OI126,125.61999,623152,33599,623122,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$55.17$60.0086.6%29.1%69.6%0.0%102.0%8.6%-3.1%886.0K-11.2M-633.1K0.5717.6610,2115,82858,37641,247
2019-12-03$57.38$60.0084.4%29.0%70.4%0.0%99.4%8.9%-3.8%1.4M-41.7M-673.3K0.3415.965,7451,96162,14344,462
2019-12-04$54.90$60.0082.9%29.1%72.1%0.0%105.4%9.7%-4.1%1.1M-12.7M-630.7K1.0420.883,9554,10463,16745,417
2019-12-05$52.90$65.0080.7%22.2%73.3%0.0%76.3%7.8%-3.3%713.7K13.0M-597.4K0.8529.7712,11210,31665,36648,494
2019-12-06$51.44$65.0065.3%18.8%71.9%0.0%66.4%5.6%1.5%-578.6K47.1M-538.5K1.0328.1119,50420,06671,65954,602
2019-12-09$49.58$62.5065.7%18.8%73.4%0.0%66.0%3.1%0.4%-1.2M74.5M-529.6K0.9031.9912,27311,01867,04158,485
2019-12-10$47.50$60.0063.7%18.6%75.2%0.0%65.8%2.9%1.2%-1.6M94.6M-510.1K0.5224.8511,3095,85970,59859,946
2019-12-11$47.84$60.0061.7%18.0%74.9%0.0%62.6%3.0%1.8%-1.3M88.3M-515.8K1.0028.539,2529,29176,82962,228
2019-12-12$47.37$60.0057.7%17.2%65.9%0.0%61.2%1.6%3.0%-1.9M96.1M-514.4K0.5628.545,6393,16480,10965,179
2019-12-13$49.70$60.0057.0%16.8%68.1%0.0%58.8%2.2%3.1%-2.9M47.9M-538.1K0.4317.2311,7275,08581,97265,757
2019-12-16$49.25$60.0055.1%15.8%48.5%0.0%55.6%1.3%-0.2%259.5K48.1M-524.5K0.6121.848,6975,29873,75955,927
2019-12-17$48.48$60.0055.3%15.9%46.5%0.0%56.2%1.1%-0.8%-272.4K57.4M-531.6K0.4917.577,2973,59177,04858,421
2019-12-18$50.04$55.0055.6%15.9%48.3%0.0%55.6%1.2%-1.7%1.8M22.5M-575.5K0.5116.928,5894,39780,88160,173
2019-12-19$49.54$55.0054.4%15.6%48.1%0.0%53.4%0.3%-0.4%2.4M29.1M-580.3K0.4312.707,4823,21184,66061,496
2019-12-20$48.97$55.0053.6%15.4%47.6%0.0%53.8%1.4%-0.3%3.0M40.4M-590.9K0.3516.6013,5164,73089,19663,139
2019-12-23$47.83$55.0054.1%15.5%47.9%0.0%54.2%1.8%0.7%1.4M10.9M-602.6K0.4314.579,9874,26471,69437,755
2019-12-24$47.90$52.5053.9%15.5%45.9%0.0%53.8%2.1%0.8%1.4M8.6M-623.4K0.3115.103,7681,16075,94440,819
2019-12-26$50.03$52.5055.5%16.2%49.4%0.0%56.2%2.4%0.5%4.7M-31.7M-657.4K0.3711.1813,6725,12677,04641,081
2019-12-27$48.94$52.5055.6%16.1%49.2%0.0%56.3%2.1%0.3%2.3M-6.1M-655.6K0.619.926,8854,17878,99343,563
2019-12-30$49.99$52.5056.5%15.9%48.3%0.0%56.1%2.8%0.6%1.8M-20.6M-670.5K0.269.6817,4784,54669,54442,241
2019-12-31$49.98$52.5055.8%15.7%45.7%0.0%54.7%3.0%-0.3%2.8M-28.0M-695.3K0.337.576,1182,02877,44144,740