NCNO Options History — May 2021

In May 2021, NCNO traded between $49.99 and $62.59. ATM implied volatility averaged 55.8%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 13.6% (HV 20d: 42.2%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-05-07: Highest Volume — 5,857 contracts
  • 2021-05-10: Largest IV spike — 9.9% change
  • 2021-05-13: Highest IV Rank — 23.8%
  • 2021-05-13: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.41$49.99$62.59$62.59$61.24
Max Pain$58.50$55.00$65.00$65.00$55.00
ATM IV55.8%49.1%62.2%49.1%54.8%
Expected Move16.0%14.1%17.8%14.1%15.7%
HV 20d42.2%34.1%50.9%39.1%50.6%
HV 60d55.5%52.7%57.2%56.3%52.7%
IV Rank16.0%8.1%23.8%8.1%15.0%
IV Percentile20.5%9.7%50.3%9.7%14.2%
Term Structure-4.3%-8.0%2.4%2.4%-4.7%
VWIV57.1%51.6%64.2%51.6%54.8%
Skew 25d1.9%-2.1%3.8%0.1%1.7%
Skew 10d3.8%-5.6%8.8%-5.6%6.1%
Call IV 25d56.3%49.0%62.3%49.0%54.6%
Put IV 25d58.2%49.1%64.7%49.1%56.2%
Bid-Ask Spread %56.1843.8970.4670.4659.04
Gamma HHI0.190.120.280.190.14
Net GEX-113.5K-452.1K268.3K214.1K268.3K
Net DEX17.6M-3.2M33.4M9.0M-3.2M
Net VEX-131.8K-164.0K-102.7K-137.7K-164.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.044.190.110.21
Total Volume1,552.751995,8571,434540
Total OI27,225.4520,84133,64622,59622,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$62.59$65.0049.1%14.1%39.1%8.1%51.6%0.1%2.4%214.1K9.0M-137.7K0.1170.46N/AN/A1,28914514,5888,008
2021-05-04$59.30$65.0053.0%15.2%35.6%12.8%54.8%-2.1%1.3%-1.8K15.4M-124.0K1.6155.57N/AN/A7401,18914,9808,106
2021-05-05$58.07$65.0051.8%14.8%35.7%11.3%55.4%-0.1%0.8%-158.3K18.8M-120.5K0.5769.86N/AN/A60434715,2238,643
2021-05-06$56.45$65.0052.4%15.5%36.2%12.1%60.0%3.0%-3.5%-293.3K22.7M-112.6K1.6945.98N/AN/A7871,33115,3518,871
2021-05-07$56.50$60.0050.2%15.2%36.2%9.5%53.0%3.0%-3.7%-358.8K23.5M-117.5K0.4655.25N/AN/A4,0231,83415,8129,797
2021-05-10$55.84$60.0055.2%15.7%35.8%15.4%54.8%2.3%-4.1%-243.5K22.7M-134.2K0.2054.35N/AN/A78815719,13710,973
2021-05-11$54.50$60.0055.3%15.9%34.1%15.5%57.9%2.0%-4.3%-290.3K25.2M-126.4K1.4354.60N/AN/A52675019,39910,942
2021-05-12$51.38$60.0060.3%17.3%37.4%21.5%61.8%0.7%-7.8%-390.3K31.7M-108.7K1.4558.73N/AN/A1,1181,62419,70211,047
2021-05-13$50.13$60.0062.2%17.8%36.8%23.8%64.2%2.4%-8.0%-312.1K31.9M-102.7K0.5559.37N/AN/A1,28170320,01411,044
2021-05-14$49.99$60.0058.4%16.7%37.0%19.2%59.9%3.8%-6.1%-416.7K33.4M-104.8K0.6060.83N/AN/A25315220,51811,375
2021-05-17$50.23$55.0060.8%17.4%37.0%22.1%62.1%2.4%-7.2%-452.1K33.3M-103.4K4.1961.72N/AN/A17171620,59811,445
2021-05-18$53.13$55.0058.4%16.7%44.7%19.2%59.6%3.0%-6.5%-422.7K29.0M-124.6K0.2355.27N/AN/A1,48033720,66111,863
2021-05-19$55.27$55.0059.5%17.0%46.7%20.5%59.3%2.6%-6.4%-217.4K22.6M-135.2K0.2456.16N/AN/A1,15027719,88311,898
2021-05-20$57.25$55.0058.2%16.7%48.6%18.9%58.2%2.6%-4.8%166.1K14.1M-146.4K0.1162.19N/AN/A95710121,69911,947
2021-05-21$57.58$55.0056.0%16.1%48.6%16.4%56.8%2.7%-3.9%-20.0K15.4M-145.5K0.2443.89N/AN/A1,75042320,45311,968
2021-05-24$59.75$55.0056.0%16.0%50.8%16.3%55.0%1.7%-4.7%108.9K2.0M-154.0K0.0653.77N/AN/A1,71310512,0678,774
2021-05-25$59.18$55.0054.7%15.7%50.4%14.8%54.6%1.9%-4.8%156.4K2.8M-155.8K0.0954.78N/AN/A9588412,7918,813
2021-05-26$60.00$55.0054.9%15.8%50.9%15.1%54.9%2.0%-5.4%195.1K301.5K-160.3K0.0445.45N/AN/A4341913,0268,835
2021-05-27$59.78$55.0053.9%15.4%50.9%13.8%53.6%2.1%-5.1%197.6K1.1M-158.8K0.1646.32N/AN/A1722713,2678,846
2021-05-28$61.24$55.0054.8%15.7%50.6%15.0%54.8%1.7%-4.7%268.3K-3.2M-164.0K0.2159.04N/AN/A4459513,2768,869