CRWD Options History — August 2020

In August 2020, CRWD traded between $97.36 and $125.12. ATM implied volatility averaged 65.6%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 14.2% (HV 20d: 51.4%). Max pain ranged from $95.00 to $102.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2020-08-31: Highest Volume — 61,872 contracts
  • 2020-08-26: Largest IV spike — 12.2% change
  • 2020-08-31: Highest IV Rank — 37.4%
  • 2020-08-31: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.54$97.36$125.12$115.52$125.12
Max Pain$97.60$95.00$102.00$100.00$100.00
ATM IV65.6%56.0%74.3%56.0%74.3%
Expected Move18.7%15.3%23.4%15.4%23.4%
HV 20d51.4%45.5%57.8%55.7%48.4%
HV 60d54.2%48.2%57.1%52.5%49.0%
IV Rank24.4%10.3%37.4%10.3%37.4%
IV Percentile55.4%17.1%82.5%17.1%82.5%
Term Structure-1.0%-3.3%6.6%6.6%-2.8%
VWIV65.3%52.9%82.7%52.9%82.7%
Skew 25d1.9%-4.0%4.1%-1.5%-4.0%
Skew 10d3.0%-9.2%6.9%5.8%-9.2%
Call IV 25d65.2%56.3%77.0%56.3%77.0%
Put IV 25d67.1%54.9%72.9%54.9%72.9%
Bid-Ask Spread %13.773.8927.3516.554.92
Gamma HHI0.060.040.090.090.06
Net GEX8.5M-632.3K15.2M12.1M9.1M
Net DEX-612.0M-953.1M-236.5M-790.0M-953.1M
Net VEX-3.4M-3.8M-2.9M-2.9M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.310.790.330.52
Total Volume29,176.61911,75261,87224,33061,872
Total OI286,764.381236,948315,503236,948299,219

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$115.52$100.0056.0%15.4%55.7%10.3%52.9%-1.5%6.6%12.1M-790.0M-2.9M0.3316.5518,3435,987122,173114,775
2020-08-04$114.63$100.0060.6%15.4%55.9%17.0%53.7%3.3%1.3%12.9M-767.8M-3.0M0.3514.728,6793,073126,547117,634
2020-08-05$114.58$102.0061.7%15.3%50.4%18.7%53.5%0.3%-0.6%13.6M-772.7M-3.0M0.5817.0811,4546,628128,813119,260
2020-08-06$110.00$95.0064.4%17.6%50.9%22.6%61.1%3.7%-2.4%8.7M-616.4M-3.1M0.5325.7115,9258,479134,232124,491
2020-08-07$101.50$95.0066.4%18.2%57.8%25.6%63.3%3.0%-2.9%2.2M-320.1M-3.1M0.7914.8225,40820,150136,468130,726
2020-08-10$97.36$95.0067.9%18.9%52.9%27.8%65.8%4.1%-1.4%-632.3K-236.5M-3.1M0.645.8926,44216,911138,929133,842
2020-08-11$98.12$95.0067.5%19.1%52.5%27.2%66.4%2.7%-0.7%251.5K-280.8M-3.3M0.4214.6124,96510,558150,218140,084
2020-08-12$98.34$95.0067.9%19.0%52.3%27.9%65.9%2.9%-1.7%1.1M-300.6M-3.3M0.4023.4113,1725,241154,729142,145
2020-08-13$100.80$95.0066.9%18.9%52.9%26.4%65.8%2.4%-1.5%3.9M-397.4M-3.4M0.3324.5318,8756,148159,629143,748
2020-08-14$101.29$95.0064.1%18.2%53.0%22.3%63.2%2.3%-0.5%4.3M-398.3M-3.4M0.4013.7316,5416,685159,410144,909
2020-08-17$105.21$95.0065.0%18.5%52.0%23.6%64.5%2.9%-1.0%7.7M-531.4M-3.3M0.3812.0113,5305,093151,312138,942
2020-08-18$106.99$97.5064.4%18.3%52.4%22.7%63.8%2.9%0.4%11.2M-602.2M-3.4M0.323.8919,1976,080153,761139,943
2020-08-19$108.48$97.5062.9%18.0%51.5%20.4%63.5%2.3%-1.1%14.6M-664.9M-3.3M0.6515.5618,85412,322155,686141,499
2020-08-20$112.41$97.5064.3%18.5%52.1%22.5%64.7%3.4%-2.1%15.2M-802.4M-3.4M0.4316.9521,1669,045156,213146,090
2020-08-21$112.03$97.5064.2%18.6%51.6%22.3%64.6%3.4%-1.7%11.7M-776.1M-3.4M0.3127.3514,7104,596156,767149,566
2020-08-24$111.25$97.5064.6%18.9%50.2%22.9%66.4%4.1%-1.4%6.1M-595.3M-3.7M0.487.5311,5405,505135,036154,604
2020-08-25$113.64$100.0063.0%18.7%50.2%20.6%65.5%3.0%0.1%8.8M-673.7M-3.7M0.377.1318,4386,861135,839157,339
2020-08-26$116.76$100.0070.7%20.6%45.7%32.0%72.6%-0.5%-3.3%11.2M-767.7M-3.7M0.578.9339,15222,446139,962159,968
2020-08-27$117.57$100.0069.4%21.3%45.5%30.1%74.5%-1.9%-1.6%12.1M-785.4M-3.8M0.376.3215,4025,686145,489166,552
2020-08-28$118.65$100.0071.2%21.7%45.6%32.8%76.7%0.0%-2.7%11.4M-819.8M-3.8M0.407.5222,6038,947145,828169,675
2020-08-31$125.12$100.0074.3%23.4%48.4%37.4%82.7%-4.0%-2.8%9.1M-953.1M-3.8M0.524.9240,57521,297139,553159,666