NCNO Options History — March 2021 In March 2021, NCNO traded between $61.82 and $71.87. ATM implied volatility averaged 65.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 5.2% (HV 20d: 70.2%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.63.
Notable Days 2021-03-22 : Highest Volume — 3,715 contracts2021-03-08 : Largest IV spike — 11.8% change2021-03-29 : Highest IV Rank — 27.4%2021-03-29 : Largest Expected Move — 21.1%Monthly Statistics Metric Avg Min Max Open Close Price $66.87 $61.82 $71.87 $71.51 $66.06 Max Pain $69.35 $65.00 $75.00 $75.00 $65.00 ATM IV 65.0% 59.1% 73.6% 60.8% 67.2% Expected Move 18.8% 17.0% 21.1% 17.4% 19.3% HV 20d 70.2% 56.7% 78.8% 56.7% 69.3% HV 60d 56.9% 53.1% 59.5% 53.1% 57.9% IV Rank 15.5% 7.4% 27.4% 9.7% 18.5% IV Percentile 54.6% 18.1% 82.0% 36.2% 66.9% Term Structure -3.9% -14.4% 7.9% 5.3% -8.7% VWIV 66.0% 57.5% 74.7% 60.7% 67.7% Skew 25d 0.4% -2.8% 3.5% -1.8% 0.3% Skew 10d 0.5% -6.6% 6.8% -5.2% 3.8% Call IV 25d 65.7% 59.8% 75.3% 60.4% 66.9% Put IV 25d 66.1% 57.1% 75.6% 58.6% 67.2% Bid-Ask Spread % 63.99 52.48 85.10 77.30 52.48 Gamma HHI 0.16 0.13 0.20 0.14 0.20 Net GEX -10.3K -163.0K 173.5K 141.3K -47.0K Net DEX 8.2M -251.0K 19.8M 1.8M 5.4M Net VEX -173.6K -199.7K -155.2K -199.7K -163.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.01 1.89 0.25 1.04 Total Volume 1,006.478 272 3,715 894 1,503 Total OI 20,110.087 16,121 23,102 19,719 18,214
Daily Data (23 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 2021-03-01 $71.51 $75.00 60.8% 17.4% 56.7% 9.7% 60.7% -1.8% 5.3% 141.3K 1.8M -199.7K 0.25 77.30 N/A N/A 716 178 10,894 8,825 2021-03-02 $70.09 $75.00 59.4% 17.0% 57.1% 7.7% 57.5% -2.7% 7.9% 87.4K 5.0M -194.0K 1.76 78.17 N/A N/A 169 298 11,213 9,009 2021-03-03 $68.08 $75.00 59.3% 17.0% 57.9% 7.6% 58.8% -0.0% 6.5% 6.6K 8.7M -183.7K 0.34 85.10 N/A N/A 307 103 11,274 8,880 2021-03-04 $64.53 $70.00 59.1% 19.0% 60.3% 7.4% 67.0% -0.1% -3.5% -103.9K 15.0M -170.3K 0.64 57.86 N/A N/A 987 632 11,369 8,923 2021-03-05 $61.82 $70.00 59.3% 18.2% 59.6% 7.6% 64.4% -1.2% 1.5% -150.9K 19.8M -161.8K 0.54 61.20 N/A N/A 571 310 11,826 9,283 2021-03-08 $62.49 $70.00 66.3% 19.5% 59.8% 17.2% 68.5% -2.8% -2.6% -143.4K 18.8M -163.7K 0.71 64.58 N/A N/A 337 240 11,891 9,425 2021-03-09 $69.93 $70.00 63.3% 19.1% 72.2% 13.1% 66.3% 0.7% -4.2% 40.8K 5.2M -190.1K 0.18 60.97 N/A N/A 1,386 251 12,012 9,513 2021-03-10 $67.08 $70.00 66.5% 19.1% 73.2% 17.5% 66.7% -2.2% -4.2% 19.8K 9.8M -179.6K 0.14 69.83 N/A N/A 1,026 140 12,505 9,437 2021-03-11 $71.87 $70.00 64.3% 18.4% 78.2% 14.5% 65.1% 1.8% -2.3% 173.5K -251.0K -192.0K 0.05 60.23 N/A N/A 913 46 12,409 9,500 2021-03-12 $69.54 $70.00 66.2% 19.0% 78.8% 17.1% 66.0% -0.9% -3.1% 38.7K 5.8M -185.8K 0.20 67.95 N/A N/A 803 160 12,587 9,497 2021-03-15 $70.51 $70.00 65.6% 18.8% 78.6% 16.4% 65.8% 0.8% -1.7% 98.5K 2.5M -189.3K 0.28 62.17 N/A N/A 261 72 13,056 9,581 2021-03-16 $69.09 $70.00 65.1% 18.7% 75.6% 15.7% 65.2% 1.5% -3.1% 47.3K 7.0M -181.0K 0.83 66.32 N/A N/A 225 186 13,093 9,595 2021-03-17 $70.39 $70.00 65.7% 18.8% 72.9% 16.4% 66.0% -0.4% -1.3% 101.9K 1.8M -184.7K 1.02 61.69 N/A N/A 299 304 13,191 9,494 2021-03-18 $64.97 $70.00 67.2% 19.3% 77.3% 18.5% 68.0% 1.0% -4.0% -132.5K 15.2M -166.8K 0.57 56.03 N/A N/A 936 532 13,279 9,559 2021-03-19 $67.44 $70.00 63.4% 18.2% 77.8% 13.2% 64.4% -1.2% -3.9% 84.0K 9.9M -172.9K 0.88 62.67 N/A N/A 559 492 13,383 9,719 2021-03-22 $67.49 $70.00 65.3% 18.7% 77.1% 15.9% 64.5% 1.1% -6.1% 71.4K 4.0M -167.4K 0.01 56.75 N/A N/A 3,692 23 9,851 8,386 2021-03-23 $66.10 $70.00 63.4% 18.2% 76.7% 13.3% 63.1% 3.4% -5.9% -77.4K 7.0M -157.9K 0.25 66.00 N/A N/A 304 77 7,743 8,378 2021-03-24 $65.17 $65.00 66.4% 19.0% 76.5% 17.4% 66.4% 3.4% -9.0% -87.2K 7.8M -157.6K 1.89 58.09 N/A N/A 275 519 7,947 8,420 2021-03-25 $63.79 $65.00 66.6% 19.1% 71.2% 17.7% 67.8% 3.5% -9.2% -163.0K 10.7M -155.2K 0.25 63.92 N/A N/A 716 177 7,904 8,713 2021-03-26 $62.93 $65.00 68.6% 19.7% 70.8% 20.5% 68.7% 2.2% -11.0% -146.5K 11.3M -158.2K 0.05 61.57 N/A N/A 1,066 51 8,352 8,830 2021-03-29 $63.14 $65.00 73.6% 21.1% 68.7% 27.4% 74.2% -0.2% -14.4% -68.1K 9.4M -158.1K 1.16 64.78 N/A N/A 126 146 8,929 8,826 2021-03-30 $64.07 $65.00 72.7% 20.8% 68.9% 26.1% 74.7% 3.1% -12.4% -27.6K 7.6M -160.2K 1.49 56.22 N/A N/A 416 619 8,941 8,876 2021-03-31 $66.06 $65.00 67.2% 19.3% 69.3% 18.5% 67.7% 0.3% -8.7% -47.0K 5.4M -163.5K 1.04 52.48 N/A N/A 736 767 8,770 9,444
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