CRWD Options History — November 2020

In November 2020, CRWD traded between $123.83 and $152.89. ATM implied volatility averaged 65.0%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 7.2% (HV 20d: 57.8%). Max pain ranged from $115.00 to $135.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2020-11-19: Highest Volume — 39,093 contracts
  • 2020-11-09: Largest IV spike — 7.6% change
  • 2020-11-09: Highest IV Rank — 27.7%
  • 2020-11-30: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.17$123.83$152.89$123.89$152.89
Max Pain$120.00$115.00$135.00$135.00$120.00
ATM IV65.0%61.3%67.8%66.8%65.6%
Expected Move18.5%15.8%21.4%17.6%21.4%
HV 20d57.8%34.5%66.7%34.5%61.3%
HV 60d54.7%48.0%58.8%49.8%48.0%
IV Rank23.6%18.2%27.7%26.2%24.5%
IV Percentile62.6%46.4%72.2%66.7%68.3%
Term Structure-1.6%-5.1%1.4%0.9%-1.9%
VWIV64.1%54.9%74.8%60.6%74.8%
Skew 25d-0.5%-4.6%3.1%-1.9%-3.8%
Skew 10d-1.4%-9.2%5.7%3.4%-6.7%
Call IV 25d65.4%59.8%72.6%72.6%69.0%
Put IV 25d64.8%59.1%70.7%70.7%65.2%
Bid-Ask Spread %28.439.1564.8336.4212.13
Gamma HHI0.080.050.340.050.07
Net GEX5.2M-7.1M24.7M-4.8M7.0M
Net DEX-716.8M-1.06B-267.7M-306.8M-1.05B
Net VEX-4.1M-4.4M-3.9M-4.1M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.301.840.380.30
Total Volume19,382.610,97839,09310,97827,142
Total OI296,988.05266,827323,292266,827290,828

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$123.89$135.0066.8%17.6%34.5%26.2%60.6%-1.9%0.9%-4.8M-306.8M-4.1M0.3836.427,9703,008109,808157,019
2020-11-03$126.71$135.0066.0%17.0%36.1%25.1%59.4%-0.6%0.2%-3.8M-376.7M-4.0M0.3039.6310,0963,023109,808157,019
2020-11-04$135.63$130.0062.8%15.8%44.8%20.3%54.9%3.1%-1.2%3.5M-628.9M-4.0M0.8542.6010,8879,235113,596160,110
2020-11-05$138.62$115.0065.2%17.8%45.6%23.8%62.0%3.1%-1.3%7.6M-725.9M-4.1M0.7734.1410,2597,947118,048166,695
2020-11-06$141.80$115.0063.0%17.5%46.4%20.6%61.1%-1.9%-1.3%9.8M-820.5M-4.1M0.3529.019,2523,239122,797171,433
2020-11-09$127.35$115.0067.8%18.6%59.4%27.7%63.5%1.7%-1.5%-3.8M-380.4M-4.1M0.9864.8312,99712,793116,566163,195
2020-11-10$123.83$115.0065.8%18.5%56.3%24.7%64.2%-4.6%-1.2%-7.1M-267.7M-4.3M0.4033.0413,6705,442122,711170,598
2020-11-11$131.32$115.0066.8%18.3%61.0%26.3%63.7%-2.9%-3.3%-1.7M-499.2M-4.3M0.3232.2611,7083,796126,285172,976
2020-11-12$136.88$115.0067.7%18.8%62.8%27.6%65.5%-1.8%-2.3%4.8M-705.4M-4.3M0.5828.2514,7048,523129,696174,641
2020-11-13$132.36$115.0066.0%18.5%63.7%25.1%64.3%-1.2%-2.3%-953.1K-538.2M-4.4M0.7034.628,9806,287131,389177,991
2020-11-16$131.21$115.0067.1%19.1%63.7%26.7%66.0%-0.4%-0.8%-2.8M-501.4M-4.3M1.8435.925,2669,671127,326175,344
2020-11-17$138.23$120.0065.1%18.5%66.7%23.8%64.3%-0.0%1.4%5.4M-745.4M-4.2M0.6032.9217,86410,797128,683178,464
2020-11-18$137.21$120.0063.2%18.1%63.7%20.9%62.9%0.1%-5.1%5.1M-726.0M-4.2M0.4227.658,9493,756133,095181,473
2020-11-19$143.46$120.0065.4%18.8%65.5%24.2%65.6%-0.1%-1.7%15.0M-964.2M-4.2M0.6718.2323,46715,626135,094182,323
2020-11-20$146.01$120.0063.0%18.3%65.7%20.6%62.7%0.8%-2.4%15.3M-1.06B-4.1M0.6320.3116,03810,114137,324185,968
2020-11-23$147.89$120.0064.4%19.3%65.2%22.7%66.3%2.5%-2.0%8.1M-965.6M-4.0M0.4613.8114,3856,566122,114173,686
2020-11-24$148.49$120.0062.7%19.6%65.2%20.1%66.6%-0.1%-3.2%9.7M-992.2M-4.0M0.5513.0910,0005,474124,612176,438
2020-11-25$149.94$120.0061.3%19.1%64.7%18.2%65.0%-0.6%-1.9%13.1M-1.05B-4.0M0.619.1510,2776,288126,520179,147
2020-11-27$149.64$120.0063.8%19.9%63.3%21.8%69.6%-2.2%-1.1%24.7M-1.03B-4.0M0.3910.638,7553,401128,217180,724
2020-11-30$152.89$120.0065.6%21.4%61.3%24.5%74.8%-3.8%-1.9%7.0M-1.05B-3.9M0.3012.1320,8496,293119,979170,849