CRWD Options History — September 2021

In September 2021, CRWD traded between $239.84 and $278.20. ATM implied volatility averaged 39.5%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 0.0% (HV 20d: 39.5%). Max pain ranged from $240.00 to $260.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-09-01: Highest Volume — 166,159 contracts
  • 2021-09-20: Largest IV spike — 12.9% change
  • 2021-09-28: Highest IV Rank — 19.2%
  • 2021-09-28: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$259.85$239.84$278.20$271.66$246.68
Max Pain$250.95$240.00$260.00$260.00$250.00
ATM IV39.5%36.2%43.4%41.3%40.7%
Expected Move11.3%10.1%12.4%11.5%11.6%
HV 20d39.5%28.1%49.6%48.3%32.8%
HV 60d38.6%36.4%41.5%41.5%37.7%
IV Rank7.4%0.0%19.2%6.1%12.2%
IV Percentile7.3%0.0%24.2%9.1%13.9%
Term Structure0.2%-0.3%0.9%-0.3%-0.2%
VWIV40.3%36.0%44.5%41.5%40.8%
Skew 25d2.7%0.1%5.0%0.1%4.6%
Skew 10d5.9%0.4%9.9%0.4%9.9%
Call IV 25d38.6%34.4%42.0%42.0%39.1%
Put IV 25d41.4%38.1%46.0%42.1%43.6%
Bid-Ask Spread %32.938.5452.7518.1520.89
Gamma HHI0.060.050.100.060.06
Net GEX-1.4M-30.0M43.2M11.5M-20.9M
Net DEX-799.4M-1.76B58.7M-1.35B-258.6M
Net VEX-8.7M-9.3M-8.4M-8.5M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.391.700.690.64
Total Volume35,235.42915,648166,159166,15920,336
Total OI328,994.476291,178389,351323,920342,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$271.66$260.0041.3%11.5%48.3%6.1%41.5%0.1%-0.3%11.5M-1.35B-8.5M0.6918.1598,60667,553132,101191,819
2021-09-02$272.38$240.0039.9%11.6%48.2%4.3%41.6%0.5%0.5%1.3M-1.33B-8.6M0.5339.0841,54521,928156,203217,168
2021-09-03$278.20$250.0038.9%11.3%48.3%5.8%40.3%0.1%0.8%43.2M-1.76B-8.7M0.3936.1541,41415,976168,695220,656
2021-09-07$270.22$250.0040.5%11.6%49.6%10.0%41.1%0.7%-0.0%11.8M-1.22B-8.7M0.7038.4922,33215,635136,287192,210
2021-09-08$264.71$250.0040.1%11.6%48.1%9.0%41.4%1.4%0.4%201.8K-967.0M-8.5M0.8345.6916,05013,294137,799192,330
2021-09-09$265.66$250.0039.5%11.3%42.1%7.5%40.9%1.3%-0.1%-2.2M-986.9M-8.5M0.6235.2117,55210,928141,461198,265
2021-09-10$260.85$250.0038.9%11.2%42.1%5.8%39.7%1.9%0.0%-21.2M-739.0M-8.5M0.8344.2415,15912,626141,472201,149
2021-09-13$254.35$250.0040.6%11.6%43.0%10.4%40.7%2.4%-0.1%-14.6M-571.3M-8.4M0.9642.1520,60119,678127,735191,616
2021-09-14$257.03$250.0039.8%11.4%40.6%8.0%41.2%2.3%0.4%-14.4M-651.9M-8.4M1.0031.2811,29911,282129,194194,376
2021-09-15$259.59$250.0038.3%11.0%40.3%4.1%39.7%2.8%0.6%-6.1M-764.6M-8.6M1.0724.2610,21310,911131,931198,808
2021-09-16$264.32$250.0038.0%10.9%40.5%3.2%38.1%2.7%0.2%9.7M-989.5M-8.6M0.4938.2913,3466,528134,211202,681
2021-09-17$261.90$250.0037.7%10.8%40.9%2.6%37.7%2.9%0.5%14.8M-874.7M-8.7M0.7352.7515,05611,025135,968206,009
2021-09-20$255.03$250.0042.6%12.3%42.4%15.8%43.1%5.0%-0.0%-4.2M-624.3M-8.8M0.9627.279,9869,600114,838176,340
2021-09-21$255.17$250.0039.8%11.5%40.3%8.3%41.4%4.3%-0.1%-5.3M-588.9M-8.9M0.9031.808,2197,429121,183181,307
2021-09-22$260.88$250.0037.9%10.7%31.8%3.1%37.6%4.1%0.3%3.6M-802.2M-8.8M0.5141.3812,7926,465122,570184,409
2021-09-23$262.14$250.0036.2%10.1%29.9%0.0%36.0%3.7%0.9%10.8M-871.1M-8.7M0.568.5413,6697,706124,348188,227
2021-09-24$261.05$255.0036.7%10.3%28.1%1.4%36.2%4.0%0.3%13.6M-863.6M-8.6M0.5318.5313,0876,899128,588190,682
2021-09-27$253.65$255.0038.6%10.9%29.0%6.5%38.4%3.6%0.2%-8.3M-545.4M-8.6M0.6739.3914,9009,960121,663186,241
2021-09-28$241.64$255.0043.4%12.4%31.8%19.2%44.5%4.7%-0.1%-22.0M-79.2M-8.8M1.7042.5613,06822,270124,123188,554
2021-09-29$239.84$255.0041.0%11.8%31.4%12.8%44.0%4.3%0.0%-30.0M58.7M-9.2M1.4415.429,44013,581133,974199,401
2021-09-30$246.68$250.0040.7%11.6%32.8%12.2%40.8%4.6%-0.2%-20.9M-258.6M-9.3M0.6420.8912,4297,907136,585205,707