NCNO Options History — September 2020

In September 2020, NCNO traded between $73.73 and $98.22. ATM implied volatility averaged 82.0%. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 5.5% (HV 20d: 76.5%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2020-09-10: Highest Volume — 2,935 contracts
  • 2020-09-09: Largest IV drop — 23.7% change
  • 2020-09-02: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.08$73.73$98.22$98.22$78.81
Max Pain$85.95$80.00$95.00$85.00$85.00
ATM IV82.0%61.8%126.2%95.5%61.8%
Expected Move22.8%17.7%28.5%27.4%17.7%
HV 20d76.5%56.7%83.0%57.3%71.3%
Term Structure0.6%-11.2%7.3%-9.3%7.3%
VWIV80.3%59.7%102.9%96.7%59.7%
Skew 25d-3.7%-11.0%-0.3%-9.5%-4.3%
Skew 10d-6.2%-17.6%3.2%-9.9%-4.9%
Call IV 25d82.5%63.6%106.7%102.7%63.6%
Put IV 25d78.8%59.3%98.6%93.2%59.3%
Bid-Ask Spread %52.3921.1973.7653.0473.76
Gamma HHI0.180.090.370.140.16
Net GEX-40.0K-343.9K104.2K64.2K4.4K
Net DEX48.5K-3.8M5.8M-3.6M-96.3K
Net VEX-20.6K-27.0K-12.6K-12.6K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.145.440.140.47
Total Volume572.19632,93552066
Total OI3,380.7141,2575,1871,2573,597

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$98.22$85.0095.5%27.4%57.3%0.0%96.7%-9.5%-9.3%64.2K-3.6M-12.6K0.1453.04N/AN/A45565783474
2020-09-02$96.76$85.0099.4%28.5%56.7%0.0%102.9%-11.0%-11.2%74.0K-3.8M-14.8K0.3345.28N/AN/A23778970530
2020-09-03$88.22$95.00102.0%26.2%66.7%0.0%92.5%-8.5%-3.3%60.0K-2.4M-15.1K0.2932.13N/AN/A200581,112594
2020-09-04$78.61$95.00109.1%27.5%79.6%0.0%96.6%-2.9%-4.6%24.5K-457.9K-13.0K0.2026.29N/AN/A488971,145603
2020-09-08$77.76$95.00126.2%27.6%79.7%0.0%96.9%-0.3%-5.0%32.9K-723.7K-13.4K0.2322.67N/AN/A290681,402657
2020-09-09$79.62$90.0096.3%27.6%77.6%0.0%98.1%-0.9%-6.5%49.6K-1.4M-15.1K0.6627.47N/AN/A6854541,584728
2020-09-10$84.03$85.0087.7%25.1%79.7%0.0%91.4%-3.0%-0.9%104.2K-3.1M-20.4K0.5821.19N/AN/A1,8621,0731,9761,139
2020-09-11$78.03$85.0084.0%24.1%83.0%0.0%83.9%-4.0%3.0%-190.5K3.3M-23.5K0.8458.83N/AN/A6015022,4472,326
2020-09-14$76.67$85.0083.0%23.8%82.1%0.0%87.9%-3.6%2.2%-204.1K3.0M-22.0K0.7157.18N/AN/A1491062,5402,298
2020-09-15$76.93$85.0081.3%23.3%80.5%0.0%82.1%-7.6%2.0%-253.1K3.0M-21.8K0.4059.70N/AN/A208832,6002,393
2020-09-16$75.56$80.0081.7%23.4%79.4%0.0%83.8%-4.4%0.3%-314.2K4.2M-20.7K0.7561.20N/AN/A112842,6792,437
2020-09-17$73.73$80.0080.6%23.1%79.5%0.0%82.3%-3.5%2.8%-343.9K5.8M-19.2K1.3435.12N/AN/A1992672,6662,438
2020-09-18$76.16$85.0070.3%20.1%78.7%0.0%70.9%-3.1%4.7%2.8K3.3M-19.5K5.4457.09N/AN/A2091,1372,7112,476
2020-09-21$79.22$80.0069.7%20.0%80.3%0.0%69.1%-3.3%2.4%-52.5K65.9K-24.9K0.5764.43N/AN/A4442521,2601,752
2020-09-22$80.31$85.0067.7%19.4%80.4%0.0%68.0%-1.1%5.2%1.5K-927.2K-25.9K0.9462.53N/AN/A1261181,5331,649
2020-09-23$83.26$85.0068.2%19.5%78.9%0.0%66.5%-0.4%2.0%32.6K-1.9M-26.8K0.9663.99N/AN/A4374201,5641,717
2020-09-24$79.01$85.0065.6%18.8%80.6%0.0%65.4%-2.0%5.7%-10.1K-323.2K-27.0K0.2472.05N/AN/A138331,7401,812
2020-09-25$79.93$85.0063.4%18.2%79.8%0.0%63.5%-1.7%6.8%17.2K-800.5K-25.7K1.3368.81N/AN/A36481,7551,797
2020-09-28$81.90$85.0064.1%18.4%77.9%0.0%63.4%-1.6%4.1%40.6K-1.5M-24.1K1.5269.46N/AN/A27411,7411,798
2020-09-29$79.99$85.0064.3%18.4%75.8%0.0%65.0%-0.7%3.9%20.5K-656.8K-23.8K1.1768.05N/AN/A29341,7541,818
2020-09-30$78.81$85.0061.8%17.7%71.3%0.0%59.7%-4.3%7.3%4.4K-96.3K-22.8K0.4773.76N/AN/A45211,7541,843