NCNO Options History — February 2021

In February 2021, NCNO traded between $68.56 and $84.32. ATM implied volatility averaged 60.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 17.9% (HV 20d: 42.9%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-02-24: Highest Volume — 4,810 contracts
  • 2021-02-10: Largest IV spike — 22.1% change
  • 2021-02-10: Highest IV Rank — 18.6%
  • 2021-02-10: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.73$68.56$84.32$71.96$68.56
Max Pain$76.05$70.00$80.00$75.00$80.00
ATM IV60.8%53.8%67.2%60.6%60.2%
Expected Move18.0%16.6%19.3%17.4%17.3%
HV 20d42.9%32.6%54.6%47.4%54.6%
HV 60d48.5%46.3%52.6%48.6%52.6%
IV Rank10.6%0.0%18.6%0.0%8.8%
IV Percentile36.5%0.0%61.4%0.0%32.1%
Term Structure2.3%-3.4%7.8%6.9%5.5%
VWIV63.6%59.4%67.5%62.5%60.9%
Skew 25d-2.5%-5.7%0.2%-0.0%-0.8%
Skew 10d-3.4%-7.3%7.7%-2.6%-4.8%
Call IV 25d65.2%60.0%69.6%62.4%61.4%
Put IV 25d62.7%59.1%66.2%62.4%60.6%
Bid-Ask Spread %58.9540.4476.1169.6774.51
Gamma HHI0.190.130.320.160.14
Net GEX518.3K29.1K1.5M164.2K29.1K
Net DEX-13.9M-40.8M7.6M-7.2M7.6M
Net VEX-166.8K-202.0K-146.2K-155.4K-191.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.107.580.250.28
Total Volume1,544.3164964,810719867
Total OI17,918.89512,56820,51315,76019,453

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$71.96$75.0060.6%17.4%47.4%0.0%62.5%-0.0%6.9%164.2K-7.2M-155.4K0.2569.67N/AN/A5761438,9366,824
2021-02-02$72.03$75.0059.4%17.0%47.2%0.0%60.2%-1.7%5.6%208.5K-7.4M-155.2K0.1672.77N/AN/A518819,1986,948
2021-02-03$72.91$75.0058.0%16.6%45.8%0.0%59.4%-0.9%7.8%290.4K-9.9M-156.9K0.1363.33N/AN/A610779,4656,986
2021-02-04$75.49$70.0056.3%18.4%44.1%0.0%64.1%-0.3%-0.5%499.4K-15.7M-161.4K0.8154.08N/AN/A1,0708709,6397,039
2021-02-05$76.02$70.0053.8%18.4%36.3%0.0%66.7%-4.5%-0.5%542.1K-16.5M-162.3K0.1046.97N/AN/A735779,8157,515
2021-02-08$79.02$70.0058.8%18.7%38.1%6.9%65.6%-2.4%-0.9%868.9K-25.2M-162.8K0.6140.44N/AN/A1,48990610,1927,507
2021-02-09$78.91$70.0055.1%18.7%36.1%1.8%66.5%-5.1%-1.6%727.4K-23.2M-171.1K0.1245.87N/AN/A2,82535210,4998,195
2021-02-10$78.34$75.0067.2%19.3%36.3%18.6%67.5%-3.8%-3.4%772.1K-21.5M-171.8K0.7543.46N/AN/A66650111,1308,294
2021-02-11$78.57$75.0065.4%18.7%32.9%16.0%66.1%-5.7%-1.3%849.0K-22.5M-170.8K0.8346.04N/AN/A32827311,1208,321
2021-02-12$80.01$75.0065.7%18.8%32.6%16.4%66.5%-3.3%-2.4%992.3K-26.0M-168.8K0.2845.30N/AN/A38611011,0828,438
2021-02-16$84.32$75.0067.1%19.2%36.3%18.3%67.0%-3.4%-3.3%1.5M-40.8M-161.8K0.4648.04N/AN/A2,5891,17811,2108,462
2021-02-17$78.72$80.0063.0%18.1%44.8%12.8%63.9%-2.7%1.0%725.2K-10.8M-154.1K0.4254.62N/AN/A81834110,5599,917
2021-02-18$79.40$80.0059.4%17.0%44.7%7.7%60.3%-1.4%4.6%891.5K-10.5M-153.1K0.3472.42N/AN/A66823010,5889,925
2021-02-19$81.76$80.0059.7%17.1%45.4%8.2%61.6%-4.8%6.0%316.4K-20.6M-151.3K0.2266.21N/AN/A80417410,5219,947
2021-02-22$78.60$80.0062.0%17.8%47.7%11.4%63.0%-4.2%5.7%267.1K-11.9M-146.2K7.5863.57N/AN/A3212,4336,8355,733
2021-02-23$76.03$80.0060.4%17.3%45.5%9.1%61.0%-0.3%5.9%56.1K-1.9M-184.7K0.9664.29N/AN/A2972847,0198,149
2021-02-24$76.74$80.0063.5%18.2%45.1%13.4%63.5%0.2%1.9%70.9K-3.1M-186.9K0.1076.11N/AN/A4,3764347,1338,337
2021-02-25$70.51$80.0060.3%17.3%54.1%9.0%62.8%-2.0%6.5%108.8K3.8M-202.0K0.5472.43N/AN/A60832710,7818,747
2021-02-26$68.56$80.0060.2%17.3%54.6%8.8%60.9%-0.8%5.5%29.1K7.6M-191.6K0.2874.51N/AN/A68018710,7428,711