NCNO Options History — August 2020 In August 2020, NCNO traded between $75.24 and $92.29. ATM implied volatility averaged 79.9%. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 24.7% (HV 20d: 55.3%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 2 of 18 days. Put/call ratio averaged 0.59.
Notable Days 2020-08-13 : Highest Volume — 542 contracts2020-08-12 : Largest IV spike — 11.5% change2020-08-31 : Largest Expected Move — 25.5%Monthly Statistics Metric Avg Min Max Open Close Price $82.77 $75.24 $92.29 $75.85 $92.29 Max Pain $73.06 $70.00 $85.00 $70.00 $85.00 ATM IV 79.9% 68.9% 89.1% 71.6% 89.1% Expected Move 23.5% 21.9% 25.5% 23.8% 25.5% HV 20d 55.3% 54.4% 55.8% 54.4% 55.8% Term Structure -2.7% -6.1% 3.5% -6.1% -6.0% VWIV 82.5% 79.1% 89.1% 81.2% 89.1% Skew 25d -2.0% -5.8% 9.3% 0.1% -0.8% Skew 10d -2.9% -10.8% 15.9% 2.1% -10.7% Call IV 25d 84.3% 76.8% 89.7% 80.7% 88.4% Put IV 25d 82.3% 78.0% 87.5% 80.7% 87.5% Bid-Ask Spread % 47.46 38.34 63.60 54.55 46.95 Gamma HHI 0.23 0.13 0.34 0.27 0.14 Net GEX 44.2K 13.2K 109.4K 15.6K 52.8K Net DEX -1.4M -2.5M -431.4K -606.1K -2.5M Net VEX -5.7K -11.7K -2.7K -3.2K -11.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.07 1.70 1.29 0.56 Total Volume 153.444 16 542 16 142 Total OI 708 331 1,232 341 1,232
Daily Data (18 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-08-06 $75.85 $70.00 71.6% 23.8% 0.0% 0.0% 81.2% 0.1% -6.1% 15.6K -606.1K -3.2K 1.29 54.55 N/A N/A 7 9 241 100 2020-08-07 $75.24 $70.00 68.9% 23.1% 0.0% 0.0% 79.1% 0.8% -2.6% 13.2K -574.0K -3.4K 0.09 61.19 N/A N/A 116 11 246 109 2020-08-10 $76.04 $70.00 76.2% 21.9% 0.0% 0.0% 81.0% 9.3% 3.5% 14.5K -431.4K -2.7K 0.29 63.60 N/A N/A 34 10 216 115 2020-08-11 $80.36 $70.00 73.2% 24.0% 0.0% 0.0% 81.9% 0.6% -1.1% 21.8K -758.3K -2.8K 0.37 53.51 N/A N/A 46 17 227 117 2020-08-12 $81.86 $70.00 81.6% 23.4% 0.0% 0.0% 82.7% -2.4% -4.6% 26.6K -882.9K -3.0K 0.11 54.76 N/A N/A 118 13 251 127 2020-08-13 $84.67 $70.00 79.7% 22.8% 0.0% 0.0% 81.3% -2.1% -3.6% 46.8K -1.4M -3.4K 0.07 40.38 N/A N/A 508 34 317 132 2020-08-14 $81.30 $70.00 79.4% 22.8% 0.0% 0.0% 79.4% -5.8% -1.4% 69.1K -1.6M -5.6K 0.35 38.34 N/A N/A 66 23 553 149 2020-08-17 $84.71 $70.00 81.0% 23.2% 0.0% 0.0% 83.6% -2.0% -3.4% 90.3K -2.2M -5.6K 0.21 41.82 N/A N/A 160 34 585 178 2020-08-18 $81.20 $70.00 79.0% 22.6% 0.0% 0.0% 82.2% -2.5% 1.3% 93.1K -1.6M -5.5K 1.38 39.28 N/A N/A 42 58 723 199 2020-08-19 $79.51 $70.00 78.7% 22.6% 0.0% 0.0% 81.0% -3.5% -0.9% 75.6K -1.1M -5.3K 1.70 44.62 N/A N/A 20 34 728 226 2020-08-20 $83.07 $70.00 82.2% 23.6% 0.0% 0.0% 81.5% -3.1% -2.3% 109.4K -1.9M -5.6K 1.43 44.77 N/A N/A 47 67 723 248 2020-08-21 $83.04 $70.00 81.9% 23.5% 0.0% 0.0% 80.2% -4.5% -3.6% 15.5K -1.9M -5.6K 0.56 45.35 N/A N/A 45 25 725 286 2020-08-24 $83.79 $70.00 83.5% 23.9% 0.0% 0.0% 85.4% -3.2% -5.3% 17.3K -1.0M -5.8K 0.11 41.65 N/A N/A 140 15 335 199 2020-08-25 $88.51 $70.00 79.3% 22.7% 0.0% 0.0% 79.9% -4.2% -1.7% 39.0K -1.7M -6.7K 0.59 46.16 N/A N/A 63 37 458 218 2020-08-26 $86.76 $80.00 81.3% 23.3% 0.0% 0.0% 82.7% -3.3% -3.4% 34.5K -1.5M -7.2K 0.59 46.09 N/A N/A 224 133 491 252 2020-08-27 $83.58 $85.00 86.1% 24.7% 54.4% 0.0% 86.1% -4.4% -3.4% 27.8K -1.2M -8.6K 0.78 45.68 N/A N/A 134 104 605 349 2020-08-28 $88.08 $85.00 86.4% 24.8% 55.6% 0.0% 87.6% -5.5% -4.1% 33.1K -1.6M -10.4K 0.18 45.53 N/A N/A 192 34 646 438 2020-08-31 $92.29 $85.00 89.1% 25.5% 55.8% 0.0% 89.1% -0.8% -6.0% 52.8K -2.5M -11.7K 0.56 46.95 N/A N/A 91 51 764 468
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