NCNO Options History — April 2021

In April 2021, NCNO traded between $65.67 and $72.22. ATM implied volatility averaged 45.8%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 1.0% (HV 20d: 46.8%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-04-21: Highest Volume — 3,942 contracts
  • 2021-04-12: Largest IV spike — 19.0% change
  • 2021-04-12: Highest IV Rank — 9.9%
  • 2021-04-05: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.56$65.67$72.22$69.36$65.67
Max Pain$69.52$65.00$70.00$65.00$70.00
ATM IV45.8%42.3%51.7%49.5%45.8%
Expected Move13.1%12.1%14.5%14.2%13.1%
HV 20d46.8%35.9%69.4%68.6%35.9%
HV 60d56.4%55.4%58.4%58.4%56.1%
IV Rank2.2%0.0%9.9%0.0%4.1%
IV Percentile1.4%0.0%4.9%0.0%4.9%
Term Structure5.5%1.0%7.2%1.0%3.7%
VWIV45.5%39.5%51.1%51.0%44.9%
Skew 25d2.7%1.7%5.5%3.2%2.1%
Skew 10d5.1%2.9%7.5%4.8%3.6%
Call IV 25d44.8%41.0%50.6%48.7%45.2%
Put IV 25d47.5%43.9%52.3%51.9%47.2%
Bid-Ask Spread %52.1325.2268.2968.2855.95
Gamma HHI0.220.180.570.200.18
Net GEX474.6K-103.2K1.6M108.7K329.7K
Net DEX-4.9M-12.7M3.9M-2.6M3.9M
Net VEX-158.0K-173.2K-142.2K-166.8K-146.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.023.850.730.16
Total Volume1,135.7621283,9422,3261,776
Total OI21,110.71417,60422,52819,38821,315

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$69.36$65.0049.5%14.2%68.6%0.0%51.0%3.2%1.0%108.7K-2.6M-166.8K0.7368.28N/AN/A1,3469809,31610,072
2021-04-05$68.19$65.0051.7%14.5%66.9%3.0%51.1%1.8%5.3%-103.2K357.9K-163.1K0.6548.93N/AN/A143939,58110,668
2021-04-06$72.22$70.0046.2%13.9%69.4%0.0%47.1%5.5%5.0%265.4K-11.0M-156.7K0.1250.73N/AN/A2,1012439,63010,676
2021-04-07$70.81$70.0047.9%13.9%57.7%2.1%48.0%2.2%5.4%564.8K-9.7M-166.6K2.2243.00N/AN/A4701,04411,28010,657
2021-04-08$70.51$70.0045.8%13.6%55.6%0.0%47.9%2.3%6.1%286.4K-6.1M-166.2K0.5934.25N/AN/A1378111,15111,377
2021-04-09$70.60$70.0043.3%13.3%49.7%0.0%46.1%2.5%7.1%326.6K-6.2M-161.8K0.5540.57N/AN/A18110011,14811,360
2021-04-12$70.78$70.0051.5%13.6%48.3%9.9%47.0%2.8%5.4%388.4K-7.1M-153.4K0.3925.22N/AN/A1254911,16311,357
2021-04-13$72.13$70.0048.6%13.6%48.5%6.5%48.4%2.7%5.8%788.5K-12.7M-150.7K0.9658.47N/AN/A94290311,16911,344
2021-04-14$70.03$70.0046.1%13.2%49.1%3.5%46.1%2.6%6.1%277.1K-4.4M-147.5K3.8558.23N/AN/A14355011,35811,108
2021-04-15$70.30$70.0046.0%13.2%48.7%3.3%46.6%1.7%6.2%458.5K-5.7M-144.1K0.8361.35N/AN/A40433411,36411,005
2021-04-16$69.72$70.0043.1%12.4%38.7%0.0%44.5%2.1%6.6%1.6M-1.1M-142.2K0.0759.40N/AN/A3,39123811,39911,081
2021-04-19$67.31$70.0046.8%13.4%38.8%4.4%46.2%1.7%5.6%52.8K2.5M-152.2K0.2255.79N/AN/A7641709,7087,896
2021-04-20$67.04$70.0046.7%13.4%38.8%4.3%45.0%3.6%4.2%160.1K2.1M-158.3K0.2933.36N/AN/A2788210,9518,006
2021-04-21$68.64$70.0043.5%12.5%38.9%0.4%42.1%4.1%5.8%255.3K-1.6M-158.4K0.0249.50N/AN/A3,8816111,0447,990
2021-04-22$69.74$70.0043.2%12.4%38.8%0.1%42.5%3.0%5.5%674.5K-8.2M-173.2K0.0965.36N/AN/A1,15510112,9628,040
2021-04-23$70.08$70.0042.3%12.1%37.6%0.0%41.4%2.9%5.6%714.1K-8.2M-169.3K0.2350.02N/AN/A1042412,9438,050
2021-04-26$71.03$70.0043.5%12.5%37.1%1.5%44.0%2.5%6.1%815.0K-11.5M-169.9K0.4668.29N/AN/A25211712,9728,066
2021-04-27$69.25$70.0043.9%12.6%38.8%1.9%43.1%2.8%5.9%674.8K-6.0M-159.9K0.2960.23N/AN/A1715013,1777,961
2021-04-28$69.21$70.0043.0%12.3%38.6%0.8%43.2%1.8%6.6%727.9K-6.1M-158.4K0.0865.65N/AN/A1361113,4527,992
2021-04-29$68.21$70.0042.5%12.2%37.8%0.2%39.5%2.9%7.2%635.3K-2.8M-153.7K0.0642.22N/AN/A6774313,5717,965
2021-04-30$65.67$70.0045.8%13.1%35.9%4.1%44.9%2.1%3.7%329.7K3.9M-146.1K0.1655.95N/AN/A1,53224413,3138,002