NCNO Options History — January 2021

Name: NCNO Options Analytics - January 2021
Creator: Options Analysis Suite

In January 2021, NCNO traded between $66.63 and $76.51. ATM implied volatility averaged 63.5%. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 10.3% (HV 20d: 53.1%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2021-01-11: Highest Volume — 2,997 contracts
2021-01-13: Largest IV drop — 13.6% change
2021-01-27: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.45	$66.63	$76.51	$71.72	$71.40
Max Pain	$75.00	$75.00	$75.00	$75.00	$75.00
ATM IV	63.5%	56.6%	73.3%	72.0%	62.9%
Expected Move	17.1%	16.2%	18.4%	17.5%	18.0%
HV 20d	53.1%	46.5%	60.1%	55.5%	48.7%
HV 60d	49.3%	47.2%	50.8%	47.2%	49.3%
Term Structure	4.8%	-0.6%	14.9%	-0.6%	3.6%
VWIV	60.3%	57.7%	66.7%	61.1%	62.6%
Skew 25d	-1.2%	-4.9%	0.7%	-0.5%	0.0%
Skew 10d	-1.0%	-13.6%	2.5%	0.5%	2.5%
Call IV 25d	60.9%	57.6%	67.0%	61.6%	62.4%
Put IV 25d	59.7%	55.8%	63.7%	61.1%	62.5%
Bid-Ask Spread %	57.90	45.57	73.40	49.53	72.31
Gamma HHI	0.29	0.13	0.66	0.42	0.15
Net GEX	-230.9K	-1.5M	359.7K	-298.4K	177.6K
Net DEX	-2.0M	-17.2M	10.1M	4.2M	-7.5M
Net VEX	-96.4K	-162.8K	-56.0K	-56.0K	-160.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.05	2.82	1.43	0.15
Total Volume	1,569.211	479	2,997	1,518	814
Total OI	11,582.421	8,027	15,818	8,027	15,818

Daily Data (19 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
2021-01-04	$71.72	$75.00	72.0%	17.5%	55.5%	0.0%	61.1%	-0.5%	-0.6%	-298.4K	4.2M	-56.0K	1.43	49.53	N/A	N/A	625	893	4,057	3,970
2021-01-05	$69.42	$75.00	72.0%	17.4%	56.1%	0.0%	60.5%	-0.2%	0.4%	-342.6K	6.9M	-56.7K	0.43	45.57	N/A	N/A	846	367	4,479	4,346
2021-01-06	$66.63	$75.00	71.4%	17.1%	54.0%	0.0%	61.1%	-1.0%	1.6%	-409.3K	10.1M	-58.3K	1.41	54.11	N/A	N/A	657	925	4,657	4,608
2021-01-07	$71.70	$75.00	70.1%	16.7%	60.1%	0.0%	59.2%	-1.2%	2.1%	-352.7K	2.0M	-68.7K	0.73	48.77	N/A	N/A	673	489	5,010	4,718
2021-01-08	$73.09	$75.00	73.3%	17.3%	58.4%	0.0%	61.0%	-1.9%	1.5%	-330.7K	-500.2K	-69.9K	0.87	49.60	N/A	N/A	1,012	884	5,069	4,998
2021-01-11	$70.97	$75.00	69.6%	17.8%	57.5%	0.0%	61.8%	-4.9%	5.8%	-665.3K	4.0M	-68.5K	1.28	67.55	N/A	N/A	1,315	1,682	5,162	5,502
2021-01-12	$71.21	$75.00	69.2%	17.4%	57.3%	0.0%	61.0%	0.5%	2.2%	-801.3K	3.0M	-80.3K	1.34	57.45	N/A	N/A	737	987	5,982	6,324
2021-01-13	$68.64	$75.00	59.8%	17.1%	58.1%	0.0%	60.1%	-0.0%	1.6%	-1.0M	8.7M	-78.3K	0.94	54.02	N/A	N/A	879	822	6,327	6,176
2021-01-14	$70.30	$75.00	58.6%	16.8%	54.6%	0.0%	59.0%	0.7%	4.8%	-1.5M	4.0M	-86.4K	1.15	58.58	N/A	N/A	714	823	6,797	6,403
2021-01-15	$71.45	$75.00	57.1%	16.4%	54.7%	0.0%	57.7%	-0.7%	5.5%	86.7K	-3.8M	-87.6K	0.81	56.35	N/A	N/A	1,216	985	6,915	6,428
2021-01-19	$70.25	$75.00	59.2%	17.0%	54.3%	0.0%	59.6%	-1.2%	5.4%	11.7K	-3.2M	-90.7K	0.95	60.36	N/A	N/A	700	665	5,287	3,994
2021-01-20	$70.09	$75.00	57.5%	16.5%	48.0%	0.0%	58.1%	-0.7%	6.0%	-21.0K	-2.3M	-95.4K	0.47	57.83	N/A	N/A	326	153	5,663	4,492
2021-01-21	$70.58	$75.00	57.5%	16.5%	48.1%	0.0%	58.4%	-1.0%	4.6%	150	-3.4M	-97.5K	1.02	53.54	N/A	N/A	254	259	5,840	4,569
2021-01-22	$72.45	$75.00	56.6%	16.2%	46.5%	0.0%	58.0%	-1.8%	7.0%	27.5K	-5.7M	-101.4K	0.05	67.10	N/A	N/A	2,206	100	5,897	4,719
2021-01-25	$76.51	$75.00	57.9%	16.6%	50.8%	0.0%	59.3%	-1.0%	7.8%	332.9K	-17.2M	-121.1K	0.17	52.60	N/A	N/A	2,059	346	7,459	4,758
2021-01-26	$75.01	$75.00	58.0%	16.6%	50.5%	0.0%	58.3%	-3.3%	6.9%	359.7K	-16.3M	-131.4K	2.82	55.21	N/A	N/A	683	1,927	8,369	4,751
2021-01-27	$73.69	$75.00	64.2%	18.4%	48.2%	0.0%	66.7%	-3.3%	14.9%	208.7K	-11.7M	-162.8K	0.14	73.40	N/A	N/A	824	115	8,543	6,610
2021-01-28	$72.40	$75.00	59.3%	17.0%	48.5%	0.0%	61.3%	-1.1%	10.5%	190.2K	-8.8M	-160.7K	0.27	66.30	N/A	N/A	673	180	8,728	6,641
2021-01-29	$71.40	$75.00	62.9%	18.0%	48.7%	0.0%	62.6%	0.0%	3.6%	177.6K	-7.5M	-160.4K	0.15	72.31	N/A	N/A	706	108	9,051	6,767