NCNO Options History — October 2020

In October 2020, NCNO traded between $70.27 and $81.46. ATM implied volatility averaged 63.3%. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 10.5% (HV 20d: 52.8%). Max pain ranged from $75.00 to $95.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-10-07: Highest Volume — 2,644 contracts
  • 2020-10-12: Largest IV spike — 8.9% change
  • 2020-10-07: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.41$70.27$81.46$79.27$70.27
Max Pain$80.45$75.00$95.00$80.00$75.00
ATM IV63.3%57.0%69.5%62.7%67.3%
Expected Move18.3%16.3%19.9%18.0%19.3%
HV 20d52.8%47.3%71.5%71.5%50.3%
HV 60d63.2%60.9%66.3%66.3%60.9%
Term Structure3.8%0.5%7.4%7.4%1.0%
VWIV63.9%57.2%70.1%63.3%67.2%
Skew 25d-0.1%-2.6%1.9%-2.5%1.2%
Skew 10d-0.1%-6.8%4.1%-6.2%3.1%
Call IV 25d64.1%56.6%71.2%64.3%66.8%
Put IV 25d64.0%58.0%70.6%61.8%68.0%
Bid-Ask Spread %55.1239.3373.8473.4864.13
Gamma HHI0.180.150.310.160.16
Net GEX54.9K-156.5K211.6K11.7K-20.9K
Net DEX-1.4M-5.8M3.1M-336.8K2.1M
Net VEX-39.7K-52.0K-18.8K-22.9K-46.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.121.640.670.22
Total Volume571.227752,644112138
Total OI5,059.4553,6206,4743,6285,681

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$79.27$80.0062.7%18.0%71.5%0.0%63.3%-2.5%7.4%11.7K-336.8K-22.9K0.6773.48N/AN/A67451,7741,854
2020-10-02$77.08$85.0061.9%17.8%65.0%0.0%61.4%-2.6%6.9%-28.7K581.7K-21.9K0.9773.84N/AN/A38371,7631,857
2020-10-05$75.90$95.0060.0%19.4%51.1%0.0%68.6%-0.2%4.8%-55.2K1.2M-19.7K0.7340.83N/AN/A71521,7681,874
2020-10-06$71.41$95.0063.9%19.4%55.2%0.0%68.3%-0.1%4.9%-156.5K3.1M-18.8K0.7348.08N/AN/A3912851,8021,888
2020-10-07$76.03$80.0069.5%19.9%59.4%0.0%70.1%-0.6%1.7%-28.8K234.0K-23.5K0.3541.05N/AN/A1,9566882,0462,044
2020-10-08$78.35$75.0065.1%19.3%56.9%0.0%67.7%0.2%3.3%126.0K-3.7M-36.0K0.6539.33N/AN/A8765732,9852,411
2020-10-09$80.14$75.0061.5%18.6%51.1%0.0%65.5%-0.3%4.6%188.6K-4.7M-39.9K0.7742.69N/AN/A3882993,0472,618
2020-10-12$80.46$80.0067.0%18.6%50.6%0.0%64.6%-0.3%3.3%211.6K-4.6M-37.7K0.5446.69N/AN/A4572472,9852,608
2020-10-13$78.49$80.0069.1%18.6%51.5%0.0%64.5%-2.4%4.1%124.0K-3.0M-40.2K0.6042.09N/AN/A3622173,1262,718
2020-10-14$77.46$80.0064.7%18.5%51.3%0.0%65.3%-0.7%4.5%79.5K-2.3M-42.9K0.5743.27N/AN/A2641503,2712,865
2020-10-15$77.71$80.0064.9%18.6%50.4%0.0%65.1%-2.2%1.7%87.2K-2.6M-43.9K0.8741.74N/AN/A2241953,4122,956
2020-10-16$77.06$80.0062.9%18.0%49.2%0.0%62.9%-0.4%2.7%65.7K-1.9M-43.8K1.6453.69N/AN/A1021673,4183,056
2020-10-19$80.00$80.0059.3%17.0%49.0%0.0%59.8%0.9%5.8%81.3K-3.3M-44.1K0.3167.83N/AN/A8382622,2481,708
2020-10-20$81.28$80.0060.8%17.4%49.1%0.0%60.3%0.8%4.7%137.3K-4.7M-49.1K0.1260.43N/AN/A461552,7091,927
2020-10-21$81.46$80.0057.0%16.3%47.3%0.0%57.2%0.8%5.1%172.2K-5.8M-52.0K0.4260.93N/AN/A3721582,9821,950
2020-10-22$76.26$80.0057.0%16.3%49.5%0.0%57.2%1.4%5.7%68.7K-1.5M-46.8K0.5060.63N/AN/A3181602,8061,952
2020-10-23$73.10$80.0060.1%17.2%51.2%0.0%59.7%0.3%3.5%36.5K203.6K-46.0K0.5261.66N/AN/A3521832,9392,035
2020-10-26$71.93$80.0063.0%18.1%50.2%0.0%63.6%0.7%2.9%35.9K278.5K-48.7K1.1161.21N/AN/A2132373,2302,183
2020-10-27$73.42$75.0062.0%17.8%50.6%0.0%62.7%0.9%2.9%45.2K-578.8K-50.3K0.3361.10N/AN/A99333,2572,316
2020-10-28$72.12$75.0067.4%19.3%50.7%0.0%66.5%1.9%0.5%27.5K341.7K-49.3K0.4263.19N/AN/A2811183,2522,346
2020-10-29$71.90$80.0064.8%18.6%50.6%0.0%65.0%1.8%2.5%-367917.8K-48.7K0.6064.87N/AN/A86523,1962,445
2020-10-30$70.27$75.0067.3%19.3%50.3%0.0%67.2%1.2%1.0%-20.9K2.1M-46.7K0.2264.13N/AN/A113253,1962,485