CRWD Options History — December 2020

In December 2020, CRWD traded between $141.94 and $225.05. ATM implied volatility averaged 54.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 18.6% (HV 20d: 72.8%). Max pain ranged from $95.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2020-12-03: Highest Volume — 174,213 contracts
2020-12-03: Largest IV drop — 24.8% change
2020-12-02: Highest IV Rank — 24.7%
2020-12-02: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$187.30	$141.94	$225.05	$146.61	$211.91
Max Pain	$112.50	$95.00	$135.00	$120.00	$135.00
ATM IV	54.2%	49.4%	65.7%	65.2%	53.6%
Expected Move	15.9%	14.5%	22.0%	21.4%	14.9%
HV 20d	72.8%	63.6%	80.9%	64.1%	75.8%
HV 60d	58.8%	48.1%	63.2%	48.1%	62.9%
IV Rank	7.5%	0.5%	24.7%	23.8%	6.6%
IV Percentile	16.8%	1.2%	70.2%	65.5%	13.1%
Term Structure	0.1%	-2.6%	1.3%	-2.3%	0.2%
VWIV	55.7%	51.0%	75.6%	74.4%	52.8%
Skew 25d	-0.9%	-3.6%	2.5%	-3.1%	-0.5%
Skew 10d	-0.9%	-13.6%	19.1%	-9.3%	1.2%
Call IV 25d	54.8%	51.1%	68.1%	67.0%	53.8%
Put IV 25d	53.9%	48.4%	64.4%	63.9%	53.3%
Bid-Ask Spread %	11.32	6.96	16.16	12.71	10.01
Gamma HHI	0.10	0.05	0.19	0.06	0.08
Net GEX	20.8M	1.3M	32.0M	5.4M	14.8M
Net DEX	-1.71B	-2.49B	-738.2M	-896.7M	-1.85B
Net VEX	-4.0M	-4.4M	-3.6M	-4.0M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.27	0.97	0.63	0.27
Total Volume	49,411.864	10,248	174,213	22,716	25,467
Total OI	321,804.045	283,251	363,568	301,318	318,905

Daily Data (22 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
2020-12-01	$146.61	$120.00	65.2%	21.4%	64.1%	23.8%	74.4%	-3.1%	-2.3%	5.4M	-896.7M	-4.0M	0.63	12.71	13,923	8,793	128,030	173,288
2020-12-02	$141.94	$120.00	65.7%	22.0%	65.4%	24.7%	75.6%	-3.6%	-2.6%	1.3M	-738.2M	-4.1M	0.84	11.84	35,262	29,642	130,370	178,157
2020-12-03	$161.78	$95.00	49.4%	14.5%	76.3%	0.5%	51.3%	-3.0%	0.0%	28.5M	-1.49B	-3.7M	0.39	8.11	125,056	49,157	147,792	197,598
2020-12-04	$167.26	$95.00	50.3%	14.8%	76.7%	1.8%	51.8%	-2.2%	1.3%	27.3M	-1.60B	-3.8M	0.33	9.96	49,288	16,058	154,732	208,836
2020-12-07	$170.38	$97.50	50.4%	14.6%	76.6%	2.0%	51.2%	-1.0%	-0.4%	23.6M	-1.52B	-3.7M	0.48	7.62	17,009	8,098	139,104	181,673
2020-12-08	$177.42	$97.50	51.5%	14.9%	63.6%	3.5%	52.1%	-1.4%	0.3%	25.7M	-1.70B	-3.6M	0.37	6.96	25,652	9,611	136,959	183,822
2020-12-09	$165.57	$100.00	52.4%	15.2%	68.9%	4.8%	53.0%	-0.9%	0.4%	15.2M	-1.24B	-4.0M	0.78	13.30	22,640	17,738	140,435	187,088
2020-12-10	$179.40	$100.00	54.3%	15.6%	71.1%	7.7%	54.9%	-0.5%	0.5%	27.9M	-1.75B	-3.8M	0.35	8.27	59,208	20,803	141,018	189,522
2020-12-11	$175.90	$100.00	53.3%	15.5%	71.4%	6.2%	54.2%	-0.7%	0.9%	23.6M	-1.63B	-4.0M	0.45	11.24	26,688	11,965	152,601	192,683
2020-12-14	$173.14	$100.00	52.1%	15.0%	70.2%	4.5%	52.6%	0.4%	0.1%	20.4M	-1.41B	-4.0M	0.52	9.77	12,970	6,779	136,921	184,687
2020-12-15	$174.32	$100.00	51.3%	14.7%	69.8%	3.3%	51.6%	0.0%	1.0%	21.9M	-1.44B	-3.9M	0.44	12.64	7,112	3,136	138,785	187,409
2020-12-16	$179.11	$105.00	51.5%	14.8%	68.5%	3.6%	51.9%	-0.3%	0.5%	28.0M	-1.60B	-3.8M	0.42	15.57	18,063	7,665	138,764	188,368
2020-12-17	$184.15	$105.00	50.7%	14.6%	68.3%	2.4%	51.0%	0.0%	-1.1%	27.4M	-1.78B	-3.9M	0.43	12.90	19,945	8,660	140,842	190,356
2020-12-18	$203.49	$105.00	55.2%	15.8%	74.0%	9.0%	56.0%	-2.6%	-0.0%	14.3M	-2.37B	-3.6M	0.35	11.09	109,789	37,985	141,514	193,045
2020-12-21	$209.33	$110.00	55.5%	15.6%	74.1%	9.6%	56.4%	-0.4%	0.1%	25.6M	-2.01B	-3.9M	0.39	16.16	43,961	17,325	129,795	153,456
2020-12-22	$223.11	$120.00	59.0%	17.2%	75.9%	14.6%	60.3%	2.5%	0.8%	28.1M	-2.47B	-4.0M	0.37	10.29	52,670	19,260	141,465	161,205
2020-12-23	$225.05	$130.00	54.0%	15.4%	75.7%	7.3%	54.6%	-1.7%	0.7%	32.0M	-2.49B	-4.1M	0.48	15.80	29,806	14,364	149,961	168,962
2020-12-24	$221.23	$135.00	53.1%	15.6%	76.8%	6.0%	55.4%	1.8%	0.9%	29.7M	-2.31B	-4.2M	0.43	16.09	18,001	7,687	151,847	174,169
2020-12-28	$213.53	$135.00	53.9%	15.5%	79.0%	7.1%	55.0%	-1.3%	0.1%	16.9M	-1.89B	-4.3M	0.97	11.09	14,439	14,022	137,095	164,085
2020-12-29	$206.79	$135.00	54.8%	15.7%	80.9%	8.5%	55.1%	-1.6%	-0.0%	8.7M	-1.64B	-4.4M	0.68	9.18	18,758	12,761	138,708	171,031
2020-12-30	$209.08	$135.00	54.4%	15.2%	78.1%	7.9%	53.7%	0.2%	0.4%	10.7M	-1.72B	-4.4M	0.69	8.50	11,726	8,119	140,750	173,856
2020-12-31	$211.91	$135.00	53.6%	14.9%	75.8%	6.6%	52.8%	-0.5%	0.2%	14.8M	-1.85B	-4.4M	0.27	10.01	20,021	5,446	143,093	175,812