NCNO Options History — November 2020

In November 2020, NCNO traded between $68.96 and $80.90. ATM implied volatility averaged 60.2%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 13.7% (HV 20d: 46.5%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-11-10: Highest Volume — 2,451 contracts
  • 2020-11-04: Largest IV drop — 8.7% change
  • 2020-11-02: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.09$68.96$80.90$68.96$80.90
Max Pain$75.25$75.00$80.00$75.00$75.00
ATM IV60.2%56.9%68.0%68.0%63.6%
Expected Move17.4%16.5%19.5%19.5%18.2%
HV 20d46.5%42.3%50.4%50.4%42.5%
HV 60d59.5%53.4%61.6%61.0%53.4%
Term Structure-0.3%-3.5%2.5%-0.0%-3.5%
VWIV60.8%57.4%67.6%67.6%63.7%
Skew 25d2.6%-1.3%4.5%3.4%4.3%
Skew 10d5.5%2.2%9.0%9.0%6.7%
Call IV 25d59.6%56.5%66.4%66.4%61.2%
Put IV 25d62.2%59.4%69.8%69.8%65.5%
Bid-Ask Spread %55.0139.3375.7163.4559.94
Gamma HHI0.210.160.250.160.21
Net GEX167.8K-125.5K536.2K-45.0K533.7K
Net DEX-4.3M-14.1M3.8M3.3M-14.1M
Net VEX-51.9K-59.7K-39.5K-43.6K-57.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.162.880.370.34
Total Volume463.81572,451194289
Total OI6,807.35,5558,2135,7056,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$68.96$75.0068.0%19.5%50.4%0.0%67.6%3.4%-0.0%-45.0K3.3M-43.6K0.3763.45N/AN/A142523,1952,510
2020-11-03$71.85$75.0066.8%19.1%48.3%0.0%66.7%3.4%1.8%-22.1K1.3M-45.7K0.9566.78N/AN/A1111063,1952,510
2020-11-04$75.23$75.0060.9%17.5%45.8%0.0%61.1%2.7%2.5%28.9K-1.4M-47.9K0.3175.71N/AN/A272843,2642,501
2020-11-05$76.98$75.0059.6%18.1%45.2%0.0%62.7%2.3%-1.2%62.7K-2.5M-47.4K0.3441.60N/AN/A268903,2472,491
2020-11-06$77.08$75.0056.9%17.8%44.3%0.0%62.7%2.6%0.3%57.1K-2.3M-44.9K1.2639.33N/AN/A941183,1232,432
2020-11-09$72.53$75.0058.7%17.1%48.9%0.0%60.5%2.7%0.1%-78.8K2.0M-39.5K2.8852.01N/AN/A1353893,1402,503
2020-11-10$70.97$80.0060.1%17.4%48.8%0.0%60.1%2.5%-0.3%-125.5K3.8M-39.5K0.1647.73N/AN/A2,1143373,1962,732
2020-11-11$70.91$75.0060.2%17.3%48.7%0.0%60.7%2.3%-0.6%70.8K400.8K-53.5K0.3153.48N/AN/A3221004,9472,950
2020-11-12$73.17$75.0060.4%17.3%50.3%0.0%61.5%2.4%-0.3%120.0K-2.1M-56.4K0.3656.17N/AN/A162584,8443,026
2020-11-13$73.26$75.0058.5%16.8%50.3%0.0%58.7%2.4%0.4%91.5K-2.2M-55.2K0.3755.48N/AN/A156584,8853,023
2020-11-16$71.79$75.0058.8%16.8%48.3%0.0%58.6%0.9%0.8%29.4K105.3K-49.5K0.1955.69N/AN/A370714,8843,002
2020-11-17$73.25$75.0058.7%16.8%48.6%0.0%58.6%2.3%-0.2%68.2K-2.5M-54.4K0.8059.08N/AN/A88705,1683,045
2020-11-18$73.73$75.0058.6%16.8%48.7%0.0%58.3%2.6%-0.6%58.8K-3.6M-54.7K0.5157.42N/AN/A3531815,1803,018
2020-11-19$75.94$75.0058.5%16.8%44.5%0.0%58.1%2.9%0.4%166.7K-7.2M-55.0K0.8852.97N/AN/A2071835,1342,915
2020-11-20$77.92$75.0057.4%16.5%42.4%0.0%57.4%3.0%0.1%401.3K-10.6M-56.6K0.3650.73N/AN/A7692805,2552,796
2020-11-23$79.69$75.0059.7%17.1%42.3%0.0%58.9%4.5%-1.5%451.5K-12.4M-58.7K0.1751.97N/AN/A525914,3881,660
2020-11-24$77.36$75.0059.9%17.2%43.6%0.0%60.6%-1.3%-1.0%455.0K-10.4M-58.9K0.2454.41N/AN/A127304,6851,709
2020-11-25$79.57$75.0059.4%17.0%43.8%0.0%59.4%2.9%-1.5%495.3K-12.5M-59.7K0.1752.66N/AN/A155274,7141,734
2020-11-27$80.69$75.0059.9%17.2%43.8%0.0%59.9%2.6%-1.0%536.2K-14.0M-59.6K0.5253.69N/AN/A1921004,7681,749
2020-11-30$80.90$75.0063.6%18.2%42.5%0.0%63.7%4.3%-3.5%533.7K-14.1M-57.9K0.3459.94N/AN/A215744,7951,833