CRWD Options History — September 2020

In September 2020, CRWD traded between $125.17 and $142.88. ATM implied volatility averaged 64.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 1.8% (HV 20d: 66.4%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2020-09-02: Highest Volume — 259,056 contracts
2020-09-03: Largest IV drop — 34.6% change
2020-09-02: Highest IV Rank — 89.7%
2020-09-02: Largest Expected Move — 37.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$133.25	$125.17	$142.88	$142.88	$137.39
Max Pain	$111.57	$100.00	$120.00	$100.00	$120.00
ATM IV	64.6%	55.6%	109.6%	96.4%	57.8%
Expected Move	19.0%	15.9%	37.3%	32.8%	16.4%
HV 20d	66.4%	48.8%	73.0%	66.3%	48.8%
HV 60d	57.2%	55.3%	58.7%	55.4%	57.1%
IV Rank	23.0%	9.7%	89.7%	70.1%	12.9%
IV Percentile	40.9%	16.7%	98.4%	97.2%	22.2%
Term Structure	-0.5%	-10.3%	3.2%	-7.5%	3.2%
VWIV	67.0%	56.0%	135.7%	114.5%	56.9%
Skew 25d	-1.7%	-17.0%	2.9%	-15.6%	-0.6%
Skew 10d	-4.1%	-31.8%	3.7%	-20.0%	1.6%
Call IV 25d	66.0%	55.4%	120.6%	106.5%	57.6%
Put IV 25d	64.2%	56.8%	103.6%	91.0%	57.0%
Bid-Ask Spread %	25.35	10.51	43.31	16.64	18.69
Gamma HHI	0.08	0.05	0.24	0.06	0.08
Net GEX	5.3M	-17.0M	13.0M	10.1M	8.4M
Net DEX	-920.7M	-1.52B	-663.1M	-1.48B	-849.9M
Net VEX	-4.2M	-4.7M	-3.7M	-3.7M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.33	1.34	0.47	0.37
Total Volume	60,440.048	9,522	259,056	148,517	59,557
Total OI	363,418.19	291,787	479,036	314,468	302,844

Daily Data (21 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 Vol	Put Vol	Call OI	Put OI
2020-09-01	$142.88	$100.00	96.4%	32.8%	66.3%	70.1%	114.5%	-15.6%	-7.5%	10.1M	-1.48B	-3.7M	0.47	16.64	101,310	47,207	148,929	165,539
2020-09-02	$141.95	$118.00	109.6%	37.3%	66.5%	89.7%	135.7%	-17.0%	-10.3%	10.5M	-1.52B	-4.3M	0.55	43.31	167,599	91,457	184,733	197,966
2020-09-03	$130.05	$100.00	71.7%	20.1%	73.0%	33.5%	73.9%	-9.6%	-2.6%	-2.4M	-901.7M	-4.6M	0.76	25.81	127,890	97,250	226,928	252,108
2020-09-04	$125.17	$105.00	68.4%	19.6%	67.5%	28.6%	69.7%	-5.8%	1.7%	-17.0M	-663.1M	-4.7M	1.25	36.83	48,497	60,767	227,633	237,013
2020-09-08	$125.23	$105.00	66.4%	19.3%	64.8%	25.6%	68.3%	-0.8%	0.8%	4.3M	-748.2M	-4.6M	0.60	27.00	28,720	17,207	181,802	203,929
2020-09-09	$127.73	$105.00	61.9%	17.9%	64.9%	19.0%	63.1%	2.9%	0.3%	6.8M	-845.9M	-4.5M	0.47	30.72	24,039	11,188	187,871	210,869
2020-09-10	$129.00	$105.00	63.1%	17.6%	64.7%	20.8%	61.6%	-1.2%	-4.8%	10.2M	-911.7M	-4.4M	0.46	34.14	32,355	14,876	191,184	212,804
2020-09-11	$125.79	$110.00	59.7%	17.1%	66.0%	15.7%	60.0%	2.3%	-0.1%	885.9K	-737.9M	-4.4M	1.34	21.64	14,872	19,982	194,326	218,206
2020-09-14	$128.07	$110.00	57.0%	16.3%	66.0%	11.8%	57.3%	-0.1%	3.2%	4.3M	-824.6M	-4.2M	1.00	26.50	10,539	10,592	167,853	209,004
2020-09-15	$130.51	$110.00	58.8%	16.8%	65.4%	14.4%	58.6%	1.9%	3.2%	6.8M	-922.5M	-4.2M	0.94	33.09	12,793	12,005	169,888	214,335
2020-09-16	$131.72	$110.00	59.2%	17.0%	65.3%	15.0%	59.1%	1.1%	0.2%	8.4M	-976.8M	-4.2M	0.74	29.16	13,777	10,240	172,660	218,355
2020-09-17	$128.70	$110.00	58.7%	16.8%	66.4%	14.2%	59.5%	1.3%	-0.8%	1.8M	-835.8M	-4.2M	0.90	33.03	18,210	16,299	175,712	221,223
2020-09-18	$130.25	$110.00	55.6%	16.1%	65.6%	9.7%	56.4%	1.6%	-1.6%	-4.0M	-918.6M	-4.1M	1.11	14.56	12,971	14,447	176,760	226,692
2020-09-21	$137.62	$115.00	59.7%	17.2%	67.6%	15.7%	60.0%	0.4%	-0.4%	6.2M	-867.4M	-4.0M	0.41	21.28	32,856	13,375	119,908	171,879
2020-09-22	$141.96	$115.00	60.9%	17.5%	67.7%	17.4%	61.1%	1.9%	-1.7%	13.0M	-1.06B	-4.0M	0.42	10.51	23,774	9,981	130,711	175,807
2020-09-23	$138.83	$115.00	58.9%	17.2%	68.6%	14.5%	60.6%	-0.3%	2.3%	12.2M	-950.9M	-4.1M	0.33	20.88	19,974	6,642	132,822	177,904
2020-09-24	$134.10	$120.00	61.8%	17.6%	70.1%	18.9%	61.4%	0.2%	-1.9%	7.1M	-766.6M	-4.2M	0.63	28.85	12,431	7,841	134,772	179,124
2020-09-25	$136.94	$120.00	56.2%	15.9%	70.3%	10.6%	56.1%	-0.2%	1.8%	9.7M	-877.8M	-4.1M	0.59	31.79	11,773	6,985	135,680	181,788
2020-09-28	$137.78	$120.00	56.8%	16.1%	70.3%	11.4%	56.3%	1.4%	2.3%	7.3M	-851.5M	-3.9M	0.50	12.33	11,643	5,798	124,158	170,634
2020-09-29	$136.63	$120.00	57.9%	16.0%	68.3%	13.1%	56.0%	0.1%	1.9%	7.5M	-825.8M	-3.9M	0.52	15.63	6,274	3,248	126,879	172,550
2020-09-30	$137.39	$120.00	57.8%	16.4%	48.8%	12.9%	56.9%	-0.6%	3.2%	8.4M	-849.9M	-3.9M	0.37	18.69	43,528	16,029	128,511	174,333